When a potential blow-up doesn’t show up, what use are VAR, SA-CCR and stress tests?
No G-Sib was non-compliant with any key data management principles
New technology and reams of red tape make non-compliance fines more likely
Hackers, thieves and wobbly in-house data management keep this category near the top of the list
The week on Risk.net, February 1–7, 2020
ECB and Finma lob impromptu data requests at banks, as BCBS 239 quietly permeates everyday supervision
With the 2022 Fundamental Review of the Trading Book (FRTB) deadline looming, banks are fast coming to grips with the amount of work still to be done to achieve a successful implementation
This paper presents truncation probability estimates for loss severity data and a consistent quantile scoring function on annual loss data as useful severity distribution selection criteria that may stabilize regulatory capital.
Based on a survey of twenty-nine major financial institutions, this paper aims to advise banks and other financial services firms on what is needed to get ready for and become compliant with BCBS 239, especially in the area of risk data validation.
A panel of experts explores how greater collaboration between risk and finance teams can garner significant benefits and add value, how technological innovation is making the regulatory landscape more complicated to navigate and produce transformative…
A forum of industry leaders discusses how banks will define individual trading desks under FRTB, whether BCBS 239 compliance projects can help banks meet FRTB risk data challenges, which model validation obstacles banks still face and other key topics
Regulators sidestep questions on whether ‘material compliance’ amounts to full compliance
Three out of 30 banks compliant with six months to go; talk of capital add-ons for laggards
Only three G-Sibs fully compliant with all risk data and reporting principles at end-2017
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Sponsored survey analysis: Oracle Financial Services
Fed stress tests tilt towards data, governance, internal controls and modelling techniques
"The stick they're wielding right now is around CCAR," says SunTrust executive