PRA capital relief for market risk eased the CVA burden at some lenders
An internal default risk model: simulation of default times and recovery rates within the new Fundamental Review of the Trading Book framework
This paper presents a new default risk model for market risk that is consistent with these requirements. The recovery rates follow a waterfall model that is based on a minimum entropy principle.
In just four years, market-maker has become the largest provider of liquidity in energy derivatives
Most rules now adopted by more than half of member jurisdictions
This paper evaluates the operational risk capital requirements of large US banks to determine whether they are forward looking, sensitive to banks’ current exposures and designed to allow for risk mitigation.
FBOs attract hundreds more matters requiring attention than domestic banks
Banks and regulators grapple with ‘XAI’ challenge
Market share in long-dated trades has halved since metric was imposed at start of year
In this paper, the authors look at B-tests: methods by which it is possible to identify internal fraud among employees and partners of the bank at an early stage.
This paper proposes an alternative framework for setting banks’ operational risk capital, which allows for forward-looking assessments and limits gaming opportunities by relying on an incentive-compatible mechanism.
Will Jelena McWilliams finally nail down the FDIC’s role as a resolution authority?