Basel 2.5
Nomura eyes FRTB models expansion for FX desks
With rates desks all now on FRTB internal models, markets head says FX is next
Double VAR breach in Q2 adds $4.1bn to JP Morgan’s market RWAs
Sixth regulatory backtesting exception in nine months lifts the multiplier above minimum for the first time since Q3 2022
Will the UK’s FRTB time warp turn into a horror show?
UK regulator’s proposed transition year in 2027 could double banks’ implementation work
Market shocks push IRC to records at EU banks
Component for default and migration risk hits new highs at several dealers
UniCredit’s market RWAs would inflate 75% under FRTB
Pro forma figures for capital floor give first look at de-modelling impact on a major EU dealer
The VAR-centric models that never were
Often spotlighted, rarely dominant – VAR plays a surprisingly small role in most IMA stacks
During Trump turbulence, value-at-risk may go pop
Trading risk models have been trained in quiet markets, and volatility is now looming
Singapore’s UOB bucks trend to seek FRTB model approval
Despite data challenges, bank is opting for IMA to enhance risk management
Fortunes of VAR: dealers decry effect of war on risk models
European banks with large Russian derivatives exposures face risk of backtesting exceptions – and higher capital requirements
Isda disputes excessive FRTB charges for carbon trading
EU carbon certificates show lower volatility and higher netting than Basel approach assumes
EU urged to pass permanent market risk capital relief
Council agrees temporary changes, but ECB’s Enria wants legislators to trust supervisors
EU Parliament ‘likely’ to allow market risk capital relief
MEPs propose allowing supervisors to temporarily exclude Covid-related backtesting exceptions
Rewards for failure: the ECB’s topsy-turvy market risk relief
Eurozone banks with better models are least able to offset Covid-driven rise in backtesting multiplier
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
Eurozone banks fear market risk capital hike due to Covid-19
Hopes that ECB will fix double-counting as VAR breaches rise on market volatility
VAR lookbacks should shift dynamically, research suggests
Change-point analysis method helps identify regime shifts in equities markets, quants claim
FRTB could ‘kill’ local markets – South African banks
Dealers urge South African Reserve Bank to depart from Basel standards on NMRFs
FRTB: Nordic banks mull regional data pool
Local tie-up could “prevent big banks entering the markets in the Nordics”, says local risk manager
Basel’s Coen warns on FRTB complexity
Isda AGM: Regulators may consider “simpler and more robust” approaches when finalising rules this year
Q&A: EBA’s Vaillant on Basel IV, FRTB and CVA
Authority’s “key goal” in Basel talks has been to defend risk-sensitive capital framework
Lifetime achievement award: Yann Gérardin, BNP Paribas
Risk Awards 2017: Understated CIB chief helped build – and protect – today’s BNPP