Internal models approach (IMA)
The FRTB’s P&L attribution-based eligibility test: an alternative proposal
Spinaci, Benigno, Fraquelli and Montoro propose two alternatives to the P&L attribution test
Unlucky for some: Europe’s war on 13 Dutch prop traders
Liquidity hit feared as FlowTraders, IMC, Optiver and other non-banks face bank-style capital rules
Asian regulators need to step up to swaps challenge
Markets on the cusp of change require new supervisory capabilities
FRTB: Basel mulls capital relief for internal model desk fails
Market risk group member describes intermediate capital charge for desks that marginally fail the P&L attribution test
Volcker desks unlikely to meet FRTB requirements
Some trading activities will need to be reorganised to comply with market risk rules
ECB tells IMA banks to apply before rules are complete
Dealers criticise “unreasonable” timetable for FRTB model approvals, revealed in September call
FRTB: industry pushes to use own quotes in risk factor modelling
Isda working group proposes use of own quotes to minimise non-modellable risk factors
FRTB to create winners and losers on the buy side
Wider spreads could hit returns, but some funds eye opening in exotic and securitised markets
Adjusting to the P&L attribution test in FRTB
Consultants offer tips on eligibility framework for new internal models approach
Malaysia set to delay FRTB implementation
Local lenders wait on central bank’s interpretation of Basel standards before upgrading IT infrastructure
Prop traders rebuffed by FCA on capital modelling
Non-banks may have to use tougher market risk approach than bank competitors
P&L test in FRTB may not work – research
Delays in approval and small data sets may doom internal model approach, research finds
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Solving the FRTB puzzle
Sponsored FRTB forum: IHS Markit
Basel takes flak over FRTB impact assessment
Market participants say capital hit has been underestimated
Inconsistent FRTB model guidance vexes dealers
Risk models pulled in opposite directions by P&L attribution test and non-modellable risk factors
FRTB: Basel guidance on backtesting frustrates dealers
Dealers blast “illogical” carve-outs for backtesting exceptions
Crowd trouble: the FRTB’s war on basis risk
FRTB will lead to build-up of risks around liquid benchmarks, dealers warn
FRTB will spark rise in basis risk, firms warned
Dealers using standardised approach may be incentivised to push clients towards less precise hedges
Basel IV – a timeline
How Basel's plans to tighten control over banks' internal models have evolved since 2014
Doom loop reloaded: CRR II goes soft on sovereign debt
EC dilution of Basel liquidity and market risk rules could create new regulatory arbitrage
FRTB survey: internal model approval tops list of bank fears
Two years on from its devising, chunks of the new market risk framework remain 'unworkable'
FRTB survey: banks fear high bar for P&L test
One bank expects all of its desks to fail the P&L attribution test