Capital increase levied by Basel Committee could depend on use of mean versus median
Residual risk add-on more broadly applicable than first thought under Basel rules
Policy expert says most trading risks already captured under Pillar 2 framework
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FRTB would prevent modelling for too many risk factors, critics claim
Isda AGM: Proposed trading book rules are “nuts”, says Ramambason of BNP Paribas
Draft rules on interest rate hedging could set back arbitrage fix, critics claim
Bank of England to apply price shocks based on unwind periods
Hedging threatened by treatment of liquidity and diversification, critics claim
First consultation paper on banking book interest rate exposure is expected in March
Capital charges will be ‘very difficult to explain’, conference hears
Regulators have attempted to address a flaw within Basel II that gave banks an incentive to hold assets in the trading book. But Basel 2.5 may have gone too far, and made it more attractive to place...
International definitions of banks' trading book and banking book still woolly, keynote speaker Charles Taylor tells conference
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.