Market risk
Dark pools and platforms vie to fix credit markets
A side-effect of tough bank capital rules could be the rise of dark pools for credit trading
UK stress tests to cover trading book illiquidity and FVA
Bank of England to apply price shocks based on unwind periods
Basel scraps plans for final trading book QIS
Banks fear regulators will not have enough data to draw up sound rules by year-end
VAR limits: dislocations put focus on other lines of defence
Wild moves in the Swiss franc and US Treasuries blindsided VAR models
Trading book fears grow as rules enter home straight
Hedging threatened by treatment of liquidity and diversification, critics claim
Banks claim trading book rules will hit hedges
Regulatory measures of risk would leap 133% for some positions, warns ING
Hit the floor: banks fear Basel curbs for capital models
Regulators argue a backstop is needed to avoid too-low modelled numbers
FCA internal controls criticised in report
Report author damns "high risk" media strategy
Examining the current state and future direction of enterprise stress testing
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Best market practice for calculation and reporting of wrong-way risk
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VAR replacement may be too volatile, banks warn
Criticism of expected shortfall has been muted, but concerns are growing
How regulatory stress testing is shaping the future for banks
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Toward active management of counterparty credit risk with CVA
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Risk Books: Risk Transparency
Sanjay Sharma talks about risk transparency and how his book helps achieve it.
General covariance, the spectrum of Riemannium and a stress test calculation formula
This paper proposes a formula for a market stress test of a portfolio.
Nordea Markets: speedy trading book revamp "not safe"
Hard to gauge impact of ambitious proposals, says market risk head
Op risk tolerance, not appetite, White tells conference
UBS op risk framework head describes struggle with defining op risk appetite
Collateral and counterparty tracking: Emerging initial margin requirements
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