Over four years, US banks blitz correlation trading risks

US banks have almost eliminated capital charges attached to correlation trading positions over the last four years.

Five of the largest dealers – JP Morgan, Citigroup, Bank of America, Morgan Stanley, and Goldman Sachs – have reduced capital requirements set by the standardised comprehensive risk measures (CRM) by between 75% and 94% since Q1 2015.

The CRM charge is intended to capture risks linked to correlation trading portfolios, including credit default swap (CDS) index tranches and

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: