Banks make new push on FRTB’s P&L test
Industry calls for series of changes as regulators prepare new consultation, says Nomura’s Epperlein
Banks have renewed calls for changes to the new approval regime for market risk capital models, in an attempt to make one of its key tests easier to pass, and to reduce the impact of failure.
Some of the industry’s proposals were described by Eduardo Epperlein, global head of risk methodology at Nomura, who was speaking at the Quant Summit Europe conference in London yesterday (March 7). Without
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
Jane Street claims may prompt bank scrutiny
Reputational risk policies require dealers to quiz clients that hit the headlines
Can behavioural science curb rogue traders… and compliance costs?
Instead of using surveillance to catch endless bad apples, experts urge banks to clean the barrel
Former regulator urges new approach to AI explainability
Ex-OCC chief Michael Hsu suggests shift from academic analysis to decision-based techniques
Asic probe piles pressure on ASX to deliver Chess replacement
But market insiders think late intervention by regulators could even slow down implementation
Derivatives players divided over 24/7 trading
For some, round-the-clock markets are inevitable. Others see “enormous risks”
Hong Kong watchdog taps GenAI to monitor shadow banking risk
News headlines, social media and bank earnings calls all followed using in-house tools
From fragmented signals to confident credit decisions
Credit Benchmark and Oliver Wyman explore how aggregated bank data and advanced analytics are helping risk teams make confident, forward-looking credit decisions
FICC’s Klimpel on ironing out the kinks in UST clearing
Focus shifts to margin efficiency and capital treatment of cleared trades
