Market risk
ECB tells IMA banks to apply before rules are complete
Dealers criticise “unreasonable” timetable for FRTB model approvals, revealed in September call
DTCC muscles in on FRTB data pooling race
Rival to Bloomberg and Markit offerings claims ability to squash banks’ NMRF exposure by 50%
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
JP Morgan hires Credit Suisse’s FRTB lead
John Mitchell led various FRTB work streams at the Swiss bank
FRTB: proxy risk factors may trigger model failures
Swapping non-modellable risk factors for proxies may make it harder to pass P&L attribution test
HSBC’s model risk chief departs
Exit follows February reshuffle of UK lender’s global risk analytics unit
Malaysia set to delay FRTB implementation
Local lenders wait on central bank’s interpretation of Basel standards before upgrading IT infrastructure
FRTB: Asian banks criticise simpler standardised approach
Branch entities of larger banks barred from using simplified version of SBA
Asian privacy laws obstruct FRTB data pooling efforts
Bank scepticism and regulatory hurdles likely to inhibit cross-border information sharing
FRTB could hit syndicated loans, banks fear
Accounting classification would lump assets into regulatory trading book
FRTB threatens Canadian bond market, dealers say
Modelling the risk factors of Canadian corporate debt is “almost impossible”
FRTB standardised approach threatens commodity hedging
Basel language would force unnatural treatment of offsetting positions
EU lawmakers consider extending FRTB deadline
European Commission policy expert says current deadline is too ambitious
Basel group said to weigh changes to key FRTB test
EC and EBA officials criticise low pass rates for P&L attribution test
UBS to get new market risk head
Internal move sees equities risk chief replace Kasenally, after her move to UBS AM
Memo to bank CEOs: treat op risk with more respect
High-profile critics of op risk capital rules are misguided, say Ariane Chapelle and Evan Sekeris
FRTB threatens popular hedge fund strategies
Brevan exec says market risk capital rules could force buy side out of certain trades
Industry divided on case for European phase-in of FRTB
Isda AGM: transition period may allow time for Basel to recalibrate rules, panellists note
Research finds ways to tame FRTB’s biases in forex charges
New paper shows ways to reduce influence of reporting currency
Q&A: EBA’s Vaillant on Basel IV, FRTB and CVA
Authority’s “key goal” in Basel talks has been to defend risk-sensitive capital framework
EBA plans reboot of FRTB’s P&L test
Authority will explore wider range of options than outlined in CRR text
Default risk charge: modeling framework for the “Basel” risk measure
This paper presents a comprehensive model framework for DRC that is compliant with the revised Basel regulatory framework.
Doubts grow over US FRTB implementation
Fragmented roll-out would price European banks “out of the market”
From swaps to software: rivals eye Goldman and JP tech plans
Goldman Sachs and JP Morgan upending years of bank strategy by making systems available to clients