Risk.net
Latest on Regulation
Imperfect harmony: industry balks at EU foreign venue rules
Proposal could force non-EU platforms to choose between following Mifid II or ditching EU firms
Esma’s Brexit novation relief falls short
Proposed clearing reprieve too narrow to alleviate burden of mass swaps migration
Derivatives exposures at US G-Sibs on the wane
Bank of America cuts $15 billion in third quarter, the most of the big eight firms
Latest
Quotes
Banks have their native territory where they are market-makers of certain securities and certain markets. For everything else they will have to use general market indices for their market data – a large part of which will not be modellable
Azar Khurshid, Mizuho
In contrast to the other non-bank Sifis, all of which shrunk or simplified themselves, Prudential did none of that. To the contrary, Prudential has only become more systemic since it was designated
Jeremy Kress, University of Michigan
Quite rightly, each regulator expects you to demonstrate the model works on the scope they are supervising. But the model was not built on one country – it was built on a global dataset
Horst Kausch, HSBC
Editor's Choice
EU seeks US-style freedom to delay rules
Power to grant “no-action relief” appears in proposals from EU Council and Parliament
Big Figure
Unlevel playing field
The proposal by some European lawmakers to introduce bank-style market risk rules for non-bank proprietary traders would have very unequal implications, depending on which asset classes the firms trade. In the worst case, a fixed income arbitrage portfolio could face a 5,100% capital increase.
Read the full article
Comment
Podcast: Montoro on FRTB thresholds and non-modellable risks
The price of trust: tackling the risks of ring-fencing
Our Take
Lobbing out the Clobs?
In EU stress tests, everyone’s a loser