Market risk
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
Basel group shake-up has banks hoping for FRTB changes
Barger and Durand replaced by BoE's Nesbitt; banks want fresh look at P&L test
Basel takes flak over FRTB impact assessment
Market participants say capital hit has been underestimated
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
EC gold-plating of FRTB raises risk of global divergence
Some interpret draft CRR II changes to NMRF framework as raising the bar for compliance
Market risk technology vendor of the year (system): Murex
Risk Awards 2017: 30-year-old incumbent moves with the times
In-house system of the year: Citadel
Risk Awards 2017: Futuristic control centre has transformed dialogue between risk and business
Fintech start-up of the year: Beacon
Risk Awards 2017: Ex-bankers bring top dealer risk tech to the masses
FRTB will spark rise in basis risk, firms warned
Dealers using standardised approach may be incentivised to push clients towards less precise hedges
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: banks fear high bar for P&L test
One bank expects all of its desks to fail the P&L attribution test
FRTB survey: risk transfer shake-up hits home
Dealers mull creation of dedicated risk transfer desks but approval process remains unclear
Why did the crisis cause such large op risk losses?
Huge losses from the 2008 crisis can be seen as a short option position
SGX risk chief urges Asia lobbying push on FRTB
Asian markets could be stifled by “irrelevant” global standards, warns Koh
Taking the FRTB plunge
Banks entering chilly FRTB waters for first time facing fresh challenges