Incremental risk charge (IRC)
ING market risk charge edges higher
Dutch bank adds €0.8 billion of market RWAs
An analytical value-at-risk approach for a credit portfolio with liquidity horizon and portfolio rebalancing
The authors provide a two-period analytical value-at-risk approach for credit portfolios with a liquidity horizon and a constant level of risk.
Trading book fears grow as rules enter home straight
Hedging threatened by treatment of liquidity and diversification, critics claim
Risk USA: "We needed to run a simpler bank," says UBS risk manager
Capital pressures that drove UBS out of fixed income could force other banks to follow suit, says market risk head – and names Société Générale and BNP Paribas as examples
JP Morgan and the CRM: How Basel 2.5 beached the London Whale
It’s the untold story of JP Morgan’s credit trading losses – how traders were able to reduce risk-weighted assets while loading up on risk, and the part played by Basel 2.5. Michael Watt reports
Responding to the eurozone crisis
The cutting crew
Risk 25: Banks prepare for a low-RWA future
Weight loss: preparing for a low-RWA future
Writing love letters to models
Love letters to models
US and EU banks face different Basel III floors
Regulators propose overhaul of US capital framework in long-awaited response to Basel III and Basel 2.5 - but there are differences to the European version of the rules
Spanish banks allowed to ignore default risk for sovereign bonds
Banco de España is one of a number of European supervisors allowing its banks to ignore a Basel 2.5 requirement to model default risk on government bonds
Dangerous embrace: disentangling bank and state
Dangerous embrace
Stress test struggle: separating liquidity and market risks
Stress test struggle
Beyond Basel 2.5: regulators prepare trading book review
Beyond Basel 2.5
Ambition of Basel's trading book review has faded, sources say
Patchwork of risk measures - including standalone CVA charge - may be left intact
Credit derivatives house of the year: Deutsche Bank
Risk awards 2012
Basel 2.5 prompts flurry of asset sales and risk transfer deals
The profits of imbalance
Credit Suisse and UBS on Basel 2.5: Half a world away
Half a world away
Q&A: Stefan Walter on Basel III, RWAs, 'anti-American' rules and CVA
“It’s good to have hard deadlines”
Basel 2.5: regulators still wrestling with Dodd-Frank clash
Barriers to Basel
Complexity Basel 2.5's biggest problem, Risk.net poll finds
As banks prepare for year-end introduction of new trading book rules, poll respondents single out the framework's modular approach for criticism
A practical anatomy of IRC modelling
Research Papers
Back to the drawing board for trading book rules
Throwing the book