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 assets...
International definitions of banks' trading book and banking book still woolly, keynote speaker Charles Taylor tells conference
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
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The Basel Committee on Banking Supervision has proposed using expected shortfall instead of value-at-risk as the central metric for regulatory market risk capital. David Rowe argues this will be both ineffective and dangerous
Stressed value-at-risk has been less controversial than the other capital charges introduced in response to the financial crisis – but some dealers say the new metric is decreasing appetite for risk in foreign exchange options markets and might drive...
Loss-making unit's RWAs would have tripled under Basel III, JP Morgan chief executive says - but attempting to cut capital burden made its hedges more complex
Poll on Basel Committee proposal to ditch VAR attracts close to 1,000 votes - with a narrow victory for critics of the metric
The Basel Committee’s newly formed standards implementation group is charged with monitoring how banks are adhering to the requirements of the Basel III accord. The chair of the group, Ryozo Himino, talks to Nick Sawyer about consistency with Basel...
In the four months between the start of December last year and the end of March, Italian and Spanish banks bought more than €140 billion in government bonds – much of them issued by their domestic debt offices. They did it using the 1% loans offered...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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