Smaller branches of Asian banks are likely to be prevented from using a new, simpler approach to calculate market risk capital that was designed with small banks in mind. This is due to restrictions that come with it, they say, including explicit provisions from the Basel Committee on Banking Supervision that would stop banks ‘cherry-picking’ their risk methodologies.
A consultation launched by the committee last month aimed at small banks with limited trading activities proposes simplifying
- People moves: SocGen adds in prime services, Deutsche fills new rates hole, HSBC makes model move, and more
- Quant Finance Master’s Guide 2019
- Credit risk quants are hitting the tech gap
- Princeton tops inaugural Risk.net quant master’s ranking
- Does credit risk need an expected shortfall-style revamp?