FRTB: industry pushes to use own quotes in risk factor modelling
Isda working group proposes use of own quotes to minimise non-modellable risk factors
Dealers are lobbying for a broader definition of what should count as an acceptable quote for the purposes of modelling risk factors used as inputs to calculate market risk capital requirements under the Fundamental Review of the Trading Book – a move they hope could alleviate hefty capital add-ons when trading less liquid products under the regime.
A draft working paper produced by a sub-group
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk management
How AI agents can join the dots for risk managers
Citi risk expert outlines agentic AI tool that would pull together structured and unstructured data on trading and lending approvals to create single, unified view of risk
The interplay between liquidity and collateral
The evolution of financing solutions as institutional investors raise and preserve cash
Do banks still need to validate GenAI models?
Regulators carved out GenAI models from new risk guidance. Banks shouldn’t see this as a reason to stop validating them.
FSB warns of ‘circles of risks’ in bank risk transfer deals
Credit lines, portfolio financing and NAV facilities for private credit funds could rebound on banks
Barclays built a risk framework for GenAI from scratch
Eleven teams contribute to assessing generative AI use cases in a system that includes 35 controls
Hopes, fears and ‘mass confusion’: the sudden end of SR 11-7
Banks welcome chance to prioritise model reviews, but fret over future policy changes and AI
Bootcamps and peer pressure: Goldman preps staff for AI future
Isda AGM: Tone from the top is not enough, says chief information officer Marco Argenti
In Iran war, VAR models ease cliff effect on Ice and CME margins
At 105%, EEX – using Span model – saw largest single-day jump compared with those CCPs
