Articles by Samuel Wilkes
Standardised FRTB leaves banks befuddled on residual risk
Benchmarking exercises find “weak consensus” among banks over notional values for exotics
Why Canada is giving FRTB internal models the cold shoulder
“Crazy” cost of tech upgrades among reasons why banks snub own models to calculate market risk capital
No Canadian banks using internal models as FRTB kicks in
One bank still plans to adopt IMA after delays prevented it going live in January
BoE puts American spin on fix for FRTB’s govvies dilemma
Four jurisdictions find four different ways to resolve Basel market risk capital quirk
Basel’s cherry-picking toughens IRRBB shock scenarios
European banks want higher outlier thresholds to offset higher confidence level in new standard
Prop traders call for new rules on pre-close briefings
Price swings after private meetings alarm PTFs, but Esma gives regulators no ‘specific guidance’
UBS to lose group banking book risk manager
Senior risk manager of Swiss banks’ combined banking books to leave for new opportunities
UK tiptoes away from Europe on bank CDS transparency
Only a small number of instruments are affected, but some worry it will distort competition
EBA seeks to tighten up uneven prudent value adjustments
Regulator to consult ‘soon’ on changes to improve consistency of capital deductions
Post-Brexit divergence puts EU subsidiaries on the rack
Banks face choice between higher staffing costs or over-engineered processes at UK headquarters
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?