Basel 2.5
Taking the FRTB plunge
Banks entering chilly FRTB waters for first time facing fresh challenges
The P&L attribution mess
FRTB model approval regime dogged by confusion and controversy
Bafin's Hufeld: op risk modelling 'almost impossible'
AMA can go, but other models will stay, Felix Hufeld tells Risk.net
UK banks won't face FRTB capital hike – BoE official
Policy expert says most trading risks already captured under Pillar 2 framework
The rise of KVA: how 10 banks are pricing the capital crunch
Risk survey shows new add-on is gaining acceptance and could reshape the swaps business
BoJ and JFSA officials seek bank capital clarity
BoJ’s Nakaso suggests moratorium after current rule-book changes are complete
Banks find huge capital jump in FRTB impact study
QIS shows five-times increase under revised standardised approach to market risk
Basel scraps plans for final trading book QIS
Banks fear regulators will not have enough data to draw up sound rules by year-end
Capital hit from death of 0% sovereign weight 'not enormous'
Banks would have to raise equity equal to 0.7% of current levels, ESRB finds
Trading book fears grow as rules enter home straight
Hedging threatened by treatment of liquidity and diversification, critics claim
Models could lose appeal under new trading book rules
Rise of standardised approach would be 'a loss for the banking industry'
Banks ask Basel Committee to delay trading book impact studies
Completing the two studies on schedule will be "nigh-on impossible" bankers claim – but regulators are thought to be wary of a postponement
The white elephant of the trading book review
The Basel Committee’s fundamental review of the trading book raises some serious issues, but David Rowe argues its central proposed revision to the market risk capital regime is little more than a costly distraction
ROE hurdles cause pricing impasse
In the Basel III world, traders know their business must deliver a target return on equity, or risk being shut down – but working out the capital cost, or benefit, of a trade at inception is so difficult that banks only have approximations to guide them…
Basel Committee drops fixed correlations in new trading book proposals
Banks relieved as revised trading book proposals drop plans for capital to be based on regulator-set correlations
Capital relief accounts for 70% of some CDS spreads, quants say
New research sheds light on implications of product's role as regulatory capital hedge
Incentives remain in banking book vs trading book choice
Regulators have attempted to address a flaw within Basel II that gave banks an incentive to hold assets in the trading book. But Basel 2.5 may have gone too far, and made it more attractive to place assets in the banking book instead. By Giovanni Pepe
Risk Espana survey 2014: Spanish banks play catch-up as regulation looms
Respondents to Risk España’s survey expect to see declines in over-the-counter derivative volumes as a result of regulation and believe less than half the OTC market’s total notional value will be eligible for clearing
Basel RWA review said to show banks 'many multiples' apart
Regulators are bracing for fresh criticism of bank capital modelling, say industry sources
JP Morgan report confirms RWA reduction led to CIO loss
A misguided plan to reduce Basel 2.5 RWAs and a series of management failures combined to leave JP Morgan’s chief investment office with a $6 billion loss, the bank finds
A cracking time: Banks turn to CDO unwinds
A cracking time
Replacing VAR, OIS discounting and the future of quant finance – the top stories of 2012
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
Derivatives traders optimistic for 2013, according to Risk.net poll
Nearly two-thirds of respondents to a Risk.net survey think they’ll make more money from derivatives trading in 2013