Market risk
Forming an effective FRTB action plan
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Comparing risk measures when aggregating market risk and credit risk using different copulas
The authors of this paper simulate realistic total bank return distributions by means of a top-down copula approach for different parameter settings.
Manipulation threat to FRTB data pooling
Concerns over the governance of submitted data and costs could spawn rival initiatives
Testing value-at-risk models in emerging markets during crises: a case study on South Eastern European countries
This paper examines the applicability of a wide range of VaR models in emerging markets, focusing on South Eastern European countries.
Internal model use may decline under FRTB, banks say
"The jury is still out on whether internal models are worth the effort" – HSBC's Jenkins
The FRTB data management challenge
Sponsored forum: Asset Control
Banks seek to counter FRTB internal model add-on
Parallel shifts and trading desk reshuffles mooted as fix for non-modellable risk factors
FRTB packs bigger-than-expected capital punch
Industry study challenges regulators' estimate of a 40% capital increase
Technological nightmares worry Zurich Global Corporate CRO
Cyber crime and nanoparticles represent emerging risks for insurers, says John Scott
Blockchain tech for derivatives CCPs – friend or foe?
Distributed ledgers can benefit – and won't replace – CCPs, says Nasdaq Clearing president
Bloomberg works with banks on FRTB data pool
Pooling market risk factor data could cut capital requirements
Capital sums set to drive FRTB desk decisions
Using Volcker desk structure may hurt model approval chances, banks say
Banks brace for assault course of FRTB implementation
Dealers face test of endurance to win model approval and avoid penal standardised charge
A framework for market, credit and transfer risk aggregation and stress testing
The authors develop a framework that consistently and fully integrates the market, credit and country transfer risks of a general portfolio of financial assets in a multi-period setup.
Revised Basel III better reflects bank risk, research finds
Study says 2013 capital rules more in line with actual risk, but can be easily gamed
Final FRTB is a game of give-and-take, say dealers
Relaxation in some areas of Basel market risk rules offset by harsher treatment in others
Basel may soften trading book rules on emissions
Latest FRTB tweaks also include increasing granularity of commodity risk weights
FRTB may lead banks to take more risk, says Deloitte
Analysis shows some trading desks receive lower capital with stressed market risk charge
Custody Risk European Awards 2015: Insurance Custodian of the Year
Sponsored feature: BNP Paribas Securities Service
Fundamentally fraught: the chaotic last weeks of the FRTB
Quick fixes should have no place in a sweeping three-year reform project
Downside risk measure performance in the presence of breaks in volatility
This paper proposes a loss function-based framework for the comparative measurement of the sensitivity of quantile downside risk measures to breaks in volatility or distribution.
Basel Committee readies op risk and FRTB releases
Supervisors under pressure to finalise post-crisis reforms to capital rules
FRTB: the nightmare before Christmas
Unwanted gift will be delivered, say regulators, and only its size is up for debate