Market risk
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
Addressing the shortcomings of current multi-asset class risk analytics across the buy side
Sponsored webinar: Axioma
Statistical spin may decide severity of trading book rules
Capital increase levied by Basel Committee could depend on use of mean versus median
Pillar 2 'unlikely to cushion' trading book capital impact
Pillar 1 capital hike likely to outstrip any Pillar 2 add-ons, say dealers
Trading book QIS: residual risk is 'killing everybody'
Residual risk add-on more broadly applicable than first thought under Basel rules
Riskology: Did markets overreact to China sell-offs?
Analysis shows markets can be overly sensitive to single-factor events
UK banks won't face FRTB capital hike – BoE official
Policy expert says most trading risks already captured under Pillar 2 framework
New trading book QIS tackles correlation gripes
Changes proposed for correlation, exotic derivatives and hard-to-model risks
Absa: Gaining a single view of risk across both trading and banking books
Content provided by IBM
KeyBank: Starting the day with a full picture of market and counterparty credit risk
Content provided by IBM
Basel considers U-turn on fourth trading book QIS
Industry lobbying prompts regulator to revive plans for a further impact study
Banks find huge capital jump in FRTB impact study
QIS shows five-times increase under revised standardised approach to market risk
The impact of model risk on capital reserves: a quantitative analysis
This paper analyzes and quantifies the idea of model risk in the environment of internal model building.
Basel lacks data to judge FRTB impact, critics claim
Isda AGM: Proposed trading book rules are “nuts”, says Ramambason of BNP Paribas
Combine market, credit and liquidity risk simultaneously
Separate treatments can lead to underestimation of total risk
Time to see models and shocks for what they are
Market shocks are earthquakes, not a game of roulette