JP Morgan and the CRM: How Basel 2.5 beached the London Whale
It’s the untold story of JP Morgan’s credit trading losses – how traders were able to reduce risk-weighted assets while loading up on risk, and the part played by Basel 2.5. Michael Watt reports
Anyone trying to make sense of the credit trading losses at JP Morgan – and understand why a simple hedging strategy became a complex bet on the relationship between different credit spreads – first needs to understand the comprehensive risk measure (CRM), part of the Basel 2.5 package of trading book capital rules, which is due to be implemented for US banks at the start of 2013.
According to 10
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