Banks and vendors warn risk factor data may not be usable across different jurisdictions
Lack of carve-out for market risk hedges could create hedging issues, experts say
Despite data challenges, bank is opting for IMA to enhance risk management
Only Canada, Japan and Saudi Arabia ready for full implementation as January deadline approaches
Bankers fear competitive pain due to lack of NMRF data, possible EU and US deviations from Basel
Utility companies worry about high and volatile capital requirements if they are caught under IFR
European version of CCAR is off the table, but more projections are likely to be modelled by regulator
Duncan Cryle and Jeff Aziz of SS&C Algorithmics discuss strategic questions and key decisions facing banks as they approach FRTB implementation
New framework likely to reduce use of internal models, as planned; but is that a good thing?
Shifting timetable and rule tweaks that could alter incentives dampen appetite for internal models
Drawbacks mean even fewer model approval applications planned than past ECB survey suggested
Crucial P&L test for internal models easier to pass if price swings are large, or desks poorly hedged
Banks say French presidency proposal would see PD floor slashed for sovereign bonds under IMA
Standardised model or internal model? Short-term fixes or longer-term gains? This Risk.net white paper explores the key decisions facing US banks as they look to future-proof their FRTB implementations.
Largest banks seek offsets for higher capital requirements caused by possible end of IRB, IMM
Industry insiders expect Fed to drop IRB and IMM when adopting Basel III, but market risk models may survive
European banks with large Russian derivatives exposures face risk of backtesting exceptions – and higher capital requirements
New Fed supervision head expected to align schedule with EU and Japan, but time is tight
New study shows risk weights too high for US markets, but data from 2008 still missing
EU treatment of govvies under internal models is worse than standardised approaches
Risk Awards 2022: Data giant delivered risk analytics, while playing key role in Libor transition
Dealers face disadvantage if EU implements more granular and costly version of FRTB than US, UK
Increase expected to materialise by 2024 following the implementation of new rules on FRTB, CVA, credit and operational risk
This paper discusses several methods to estimate fVaR or margin requirements and their expected time evolution, from simple options to more complex interest swaps.