“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
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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
Basel Committee ready to release new accord but patchy adoption of internal model floor and FRTB expected
Winners' Circle Q&A: Risk Market Technology Awards 2018 | Murex
EMTNs issued by treasury functions may need to be moved to trading desk because of new market risk rules
US commitment to FRTB is essential to persuade Europe to adopt a 72.5% output floor
Markets on the cusp of change require new supervisory capabilities
Market risk group member describes intermediate capital charge for desks that marginally fail the P&L attribution test
Some trading activities will need to be reorganised to comply with market risk rules
Piecemeal roll-out of Basel III will be “enormously costly”