Vibrato and automatic differentiation for high-order derivatives and sensitivities of financial options
This paper deals with the computation of second-order or higher Greeks of financial securities. It combines two methods, vibrato and automatic differentiation (AD), and compares these with other methods.
State Street had the lowest LCR, at 108%, and UniCredit the head of the pack with an LCR of 179%
Learning the wrong lesson from Lehman? Ring-fencing hikes risk of bank failure, says Credit Suisse’s Wilson Ervin – he proposes an alternative
Bank of England changes exempt central bank claims from UK measure, causing discrepancies with CRR version
Will Jelena McWilliams finally nail down the FDIC’s role as a resolution authority?
Data highlights the risks posed by economic protectionism, writes David Carruthers of Credit Benchmark
Sovereign credit risk-weighted assets jump 19% as Barbadian loans sour
Across 14 G-Sibs, IRB assets fell 10% over three years, while standardised assets dropped 20%
A review of the fundamentals of the Fundamental Review of the Trading Book II: asymmetries, anomalies, and simple remedies
This paper highlights some anomalies and asymmetries in the new market risk paradigm of the Fundamental Review of the Trading Book (FRTB) framework.
Treating eurozone as single jurisdiction could slash G-Sib capital, but the 19 member nations have differences to settle first
Barclays, HSBC, BNP Paribas, and Deutsche Bank slim the most in five years
Swiss bank has rung the changes in its attempt to catch hard-to-measure risks, but “you are never safe”, warns Christian Bluhm
HSBC cut counterparty credit risk-weighted assets by 18% – $10.4 billion – in the second quarter
Bank estimates Sfr35 billion jump in RWAs from Basel III, with credit modelling one driver, says CRO Bluhm
Delayed Pillar 2 capital charge could help US banks take EU market share in corporate hedging
Operational RWAs grow €6 billion in the second quarter
Rules loosened on affiliated counterparties, but supervisor can reject banks’ findings
It could be unwise to ignore disproportionate regulatory impacts on specific business lines
EU countries could seek to benefit from exclusion of state-backed deposits from leverage ratio
EU banks may have to calculate leverage ratios daily, potentially hitting their repo market share
ACPR official wants to set asset threshold for full CRR application below current €30 billion
Analysis shows many desks would not benefit from safe harbour in Basel FRTB proposals