Market risk
How Basel III endgame will reshape banks’ business mix
B3E will affect portfolio focus and client strategy, says capital risk strategist
The consequences of the Basel III requirements for the liquidity horizon and their implications for optimal trading strategy
The authors put forward a formula-based approach for determining the optimal liquidity horizon used in scaling the base expected shortfall under Basel III.
EU’s FRTB multiplier risks picking winners and losers
Attempts to find capital-neutral way to implement new rules might create unlevel playing field
LSEG adds market risk optimisation for FX options
Tool attracts eight dealers and could be expanded to rates and equity options
Market RWAs climb to new highs at top Chinese banks
Bank of China, China Construction Bank and Shanghai Pudong Development Bank set records for second successive quarter
Market-makers near limit for lira carry-based options trades
FX Markets Europe: Questions around liquidity, market risk and crowding constrain new Turkey flows
Default risk overtakes credit spreads in Japan's first year under FRTB
Securitisation charges lift a bigger slice of banks’ market risk requirements
BNP, Deutsche, SocGen face steep RWAs surge under FRTB SA
Pro forma disclosures for output floor show 2.5–2.8x increases if banks used only standardised formulas – far above peers
Has the Collins Amendment reached its endgame?
Scott Bessent wants to end the dual capital stack. How that would work in practice remains unclear
Basel III reforms expected to lift large bank capital requirements by 2.1%
Latest BCBS analysis highlights increased capital needs from the output floor
The curious case of the missing volatility risk premium
Volatility investors will need to work harder and smarter to capture value, says Capstone
EU banks’ incremental risk charges up 20% in H1 2025
Heightened trading flows and worsening credit outlooks leave dealers with more risk-heavy books
Basel III alone won’t be capital neutral, says Fed official
Endgame may raise requirements, but will be offset by changes to G-Sib and stress capital buffers
Basel III adoption gap widens as Turkey and India stall
With just a third of jurisdictions fully compliant, progress on the post-crisis banking reforms remains uneven worldwide
UniCredit’s VAR cools as Commerz swaps convert to shares
Average reading down by over a third after Italian bank settles part of its stake in the German lender
US banks’ OTC derivatives climb to new highs amid tariff woes
Notionals up more than 7% in largest Q2 jump on record
Regulatory capital calculation product of the year: S&P Global Market Intelligence
S&P Global Market Intelligence’s win highlights its Traded Market Risk Solution’s effectiveness in meeting the stringent requirements of FRTB
Market RWAs climb at top Chinese banks as risk sensitivities spike
China Construction Bank records biggest rise on record in Q2
Some European banks still failing net interest income test
Swedbank joins seven other outliers after it updates methodology assumptions
Tariffs turmoil propels Deutsche’s SVAR to record €490m
Stressed risk gauge surpasses prior high by €25 million
Nomura’s ES requirement swings 75% in turbulent debut
New gauge for modelling interest rate desks’ charges ranged from ¥23bn to ¥41bn over the course of Q1