Articles by Samuel Wilkes
EU預金の粘着性維持で金利リスク・モデラーは安堵
銀行は、リテール預金が以前の利上げ時期よりも飛び火することを懸念
除外：規制当局は事前ヘッジの議論に決着をつけられるか？
規制と原則のどちらで決着をつけるか、市場関係者の意見が対立
ヘッジ前の悪弊を和らげるため、より多くの情報開示が必要
透明性は投資家がディーラーを選択する際に役立ちますが、投資家は情報開示を利用するでしょうか？
EU banks lose relief on model test after FRTB delay
Deferment of new trading book regime to January 2026 eats into transition period for “erratic” P&L attribution test
EUの一部銀行、FRTBを期限内に開始するオプションを希望
加盟国代表が7月の欧州委員会会合で欧州委員会に延期の可能性を提起
イオスコ、ヘッジングの事前協議を11月に延期
業界を二分する問題行為
The boy who cried ‘outlier’: false alarms could dog EBA test
Analysis reveals banks deemed outliers by net income test are profitable post-shock, so how useful is the test?
Study finds just 10 banks plan to apply for FRTB models
Research provides extra insight on reasons for decline in internal models
EU banks hedge net interest income to pass new IRRBB test
Would-be outliers look to cut sensitivity of cashflows to rate moves, but at what cost?
Banks cry foul over shock decision from Basel Committee
Asset and liability management professionals question severity of criteria in revised IRRBB tests
Fresh EU push for single securities supervisor to compete with US
But MEP expresses “concern” EU nations will stall revival of capital markets union
Discord deepens over fund-linked trades in FRTB
More banks use punitive approach to capital treatment under new trading book regime, irking regulators
Vendors lack silver bullet for FRTB’s fund-linked issue
EU and UK legislators tried to ease capital charge by leaning on vendors, but problems persist
Why FRTB models are on the edge of extinction
With only four banks known to be applying to use internal models for market risk, the fate of advanced modelling looks precarious
Attention shifts to US, UK after European Union postpones FRTB
Risk Live: Global timeline still unclear, with banks hoping lawmakers will use delay to soften rules
Model teams fear budget cuts as FRTB wipeout looms
Senior modellers think supervisory intervention is needed to prevent funding drought
Shocks to the system: how Basel IRRBB update affects new EU test
Disclosures suggest more banks will be classified as outliers on net interest income assessment
As risk of US Basel delay grows, Europe is in a bind over CVA
European Commission may postpone FRTB, but it’s hard to separate surgically from rest of framework
FRTB start dates must align globally, says European Commission
Lawmaker could trigger delay to market risk rules in Europe if US implementation drags on