Capital requirements
OTC market resisting swap futures threat
Swap futures yet to break out, but backers see margin, accounting and Citadel as tailwinds
Market expects Holdco CDS switch for iTraxx index
TLAC-driven issuance changes likely to see UK and Swiss holding company CDSs included in iTraxx Financials
The impact of IFRS 9 on earnings volatility and uncertainty in the supply and demand for regulatory capital
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The death of one thousand flowers or the AMA reborn?
The author of this paper explores the reasons for the pending demise of the advanced measurement approach (AMA) to operational risk.
US inflation traders consider swap methodology change
Banks weighing up move to non-interpolated standard to cut capital costs
Vickers renews criticism of BoE systemic buffer
Blanket 3% buffer would better support ring-fencing, Vickers tells Tyrie
Taking the FRTB plunge
Banks entering chilly FRTB waters for first time facing fresh challenges
A conflict resolution strategy for capital allocation?
A recently proposed method for capital allocation has the potential to resolve internal disputes
Banks seek clarity on risk retention capital charges
CMBS issuers in dark about how much capital to hold against risk retention exposures
Regulations, sensitivities and adjoints: Using AAD for FRTB and FRTB-CVA
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Banks fear costs from loss of AAD under simpler FRTB rules
Trading book regime may force use of more expensive and time-consuming ways of computing risk sensitivities
The P&L attribution mess
FRTB model approval regime dogged by confusion and controversy
Banks fear FRTB internal model approval gridlock
UK regulator said to have concerns about the high volume of simultaneous approval requests
Doomed loop: Europe gets creative on sovereign bond risks
Political and prudential risks in huge bond-holdings force experts to consider new ideas
Opened interest: foreign firms eye China's rate swap market
However regulatory and operational challenges set to slow growth
Netting risks create pricing and operational headaches
Oversight of legal risks is not always robust
Regulatory miasma makes life difficult for Ocwen CRO
Op risk veteran Marcelo Cruz says firm faces “absurd” quantity of rules in US mortgage market
Brexit gives banks a taste of life without AFS bond filters
Liquidity buffer valuations now key concern during stress events
FCA asks prop traders about capital impact of sterling fall
Regulator seeks info on currency make-up of capital base, and capital adequacy
Banks told to seize moment to devise new op risk charge
Banks should “get clever and develop their own model” in response to SMA, says UK bank risk manager
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Basel arbitrage warning leaves dealers guessing
Banks told to avoid trades that offset regulatory adjustments, but details are thin
Fed paper stirs debate on new operational risk charge
Researchers offer academic justification for Basel's standardised measurement approach