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Basel to propose IM offset in leverage ratio
Four sources say draft will make concession; it could also revive EU-US segregation drama
European funds wary of stress-test ‘straitjacket’
As Esma finalises guidance, some fear a one-size-fits-all approach
SRB should publish banks’ MREL requirements, says Enria
But market abuse rules need amending to avoid SRB disclosing confidential resolution actions
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Risk Quantum
Data insights, delivered daily
Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
Editors' choice
Day one of a no-deal Brexit: swaps and chaperones
Banks, trading platforms, repositories tee up EU entities – and dread the repapering crunch that would follow
Big Figure
Stressed?
The stress periods used by the largest US banks to determine a portion of their market risk capital requirements vary markedly and change frequently. Stressed value-at-risk-based capital requirements are calculated by running a bank’s trading portfolio through a regulatory VAR model with inputs calibrated to historical data from a 12-month period of financial stress. Market risk capital rules state that a firm may select a stress period that is is appropriate to the “composition and directional bias of its current portfolio”. The six largest US banks all use data from various stages of the global financial crisis spanning December 1, 2007 to September 1, 2009.
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Comment
Lessons from two commodity defaults
Swaps data: Sonia growth spreads down the curve
Op risk data: SEC issues first fine under cyber risk rule
Credit data: doom loop depends on sovereign strength
Our Take
Fischer Black was right. Somewhat
Let regulators manage no-deal risks
Searching for the end of Giancarlo’s white-paper trail
Compression lessons from Japan