Basel rethink on FRTB capital ratio hedging prompts fresh questions over EU implementation
Industry says recent Basel proposals are unclear and retain burden of pre-approval for hedges
New market risk rules require a rethink on trading and ops, argue market risk experts
Research on AAD is not complete until it becomes easier to implement, says quant
Planned softening of SBA makes it more appealing, but most banks still expect to adopt IMA
Quants show popular risk measures fail to limit risk-seeking behaviour among traders
Postponement follows Basel’s decision to revise key elements of new market risk framework
Varloot joins as CIB head of market and counterparty risk
“Amber zone” will protect near-miss desks, but regulators not convinced by NMRF complaints
This paper assesses the model risk associated with the copula choice for the calculation of the Default Risk Charge (DRC) measure.
Smaller banks unwilling to hand over localised trade information to data utilities
EU Council mulls introducing only reporting requirements in CRR II, or a very low scalar
The aim of this paper is to validate profit and loss attribution generated by daily movements of option prices as seen through their Black–Scholes (Black and Scholes 1973) and Merton (1973) implied volatilities.
Industry calls for series of changes as regulators prepare new consultation, says Nomura’s Epperlein
Local lenders reject advances of major data utilities to build own solution
Swiss, UK bank efforts to comply with regulators’ risks-not-in-VAR rules may be undone by transition to FRTB
Content provided by IBM
Minor tweaks don’t make up for removal of internal modelling, say banks
In this paper, the authors analyze the failure probabilities of the profit-and-loss attribution (PLA) test as defined in the final market risk standard published in January 2016 by the Basel Committee on Banking Supervision.
Markets were oddly calm this year, while everything else was in motion
A European Parliament draft would let supervisors decide response to P&L attribution test fails
Streamlined process could take just six months, says official
Spinaci, Benigno, Fraquelli and Montoro propose two alternatives to the P&L attribution test
Vendor expects more demand from squeezed banks; move also hints at modular future for risk systems