Articles by Samuel Wilkes
FRTB managers face hard facts about risk factors
There are ways to reduce the capital charges caused by NMRFs, but they come at a price
EC to adopt NII outlier test within ‘weeks’
New IRRBB rules could come into force in early 2024; industry hoping EBA draft is softened
Party’s over as more banks drop internal models for market risk
At least three systemic banks in Europe intend to ditch IMA for capital requirements
EU and UK to rework flawed identifiers for swaps transparency
European Commission and FCA both plan to consult on Mifir replacement for unpopular Isins
Filling the gaps in Basel’s interest rate risk measures
Reverse stress-testing or VAR may work better than existing outlier tests, but are hard to manage
As banks limit FRTB model use, outputs get more volatile
Risk managers say selection of stress window becomes more sensitive if fewer desks are on IMA
Metro Bank bets the house on lending pivot
New portfolio will need to grow quickly to avoid squeezing net interest margins, say experts
US takes scissors to repos. In Europe, it’s not cut and dried
Stateside banks fear disadvantage over haircut rules that EU sees as not ready to implement
Don’t count on repo to monetise liquidity books, say experts
QT could force banks to sell bonds during stress, underlining need for fair value accounting
Europe’s lenders sail into uncharted waters of the banking book
Regulators are pushing banks to map their credit spread risk. Here be dragons?
ECB mulls intervention on uneven banking book reporting
Inconsistency among EU banks on whether deposits and loans are in scope for credit spread risk
Industry divided on whether Europe should delay FRTB
Most bankers prefer to keep to earlier start date, even though it puts continent out of sync with US
HKEX expected to cover damages in LME nickel lawsuits
Legal costs cannot be passed to members as non-default losses under the LME’s rule book, lawyers say
We need to talk about pre-hedging
Dealers claim it’s a vital tool for managing risk. Clients say it’s open to abuse. How should regulators treat the problem child of financial markets?
LME case could redefine exchange powers to cancel trades
European trading venues have broad discretion when responding to market emergencies
Iosco takes aim at pre-hedging with new probe
Global standard-setter intends to release results of review in third quarter of 2024
The strange effect of US clampdown on FRTB models
Ban on internal models for trading book default risk could provide some banks with unexpected capital relief
Eurex wargames pricing derivatives during disruption events
Ukraine war and tech glitches prompt German exchange to set out methods for handling market closures
Banks begin tackling climate stress tests of trading books
Market risk professionals see major shortcomings in available scenarios
Relief (and some regret) as EU scales back swaps transparency
Leaked document outlines plans to narrow scope of dysfunctional OTC disclosure regime
EU inks softer version of cross-border banking ban
Post-Brexit capital rules may allow Mifid activities, but corporate lending faces restrictions
EU’s late CDS transparency push triggers trader fears
Leaked proposal to shoehorn public disclosure of CDS into Mifir placates Esma, but alarms traders
EU banks balk at new market risk models back test
EBA proposals introduce additional expected shortfall back test for market capital risk models under FRTB
Raft of EU clearing changes is self-defeating – BNPP lobbyist
Diverging rules between EU and UK starting to threaten EU firms’ competitiveness