Non-modellable risk factors (NMRF)
Global fragmentation looms in FRTB data pooling stand-off
Smaller banks unwilling to hand over localised trade information to data utilities
European FRTB capital charges hang by a thread
EU Council mulls introducing only reporting requirements in CRR II, or a very low scalar
Canada’s banks go it alone with FRTB data utility
Local lenders reject advances of major data utilities to build own solution
FRTB: banks grapple with hard-to-model risks
Swiss, UK bank efforts to comply with regulators’ risks-not-in-VAR rules may be undone by transition to FRTB
Basel delay does not ensure global FRTB consistency
A European Parliament draft would let supervisors decide response to P&L attribution test fails
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
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
Asian privacy laws obstruct FRTB data pooling efforts
Bank scepticism and regulatory hurdles likely to inhibit cross-border information sharing
FRTB threatens Canadian bond market, dealers say
Modelling the risk factors of Canadian corporate debt is “almost impossible”
FRTB Special Report 2017
Confronting the challenges of FRTB in P&L attribution, non-modellable risk factors and technology
FRTB: a Sisyphean labour
Banks continue to struggle with ever-shifting regulatory parameters
Seizing the opportunity of transformational change
Sponsored Q&A: CompatibL, Murex and Numerix
Solving the FRTB puzzle
Sponsored FRTB forum: IHS Markit
Inconsistent FRTB model guidance vexes dealers
Risk models pulled in opposite directions by P&L attribution test and non-modellable risk factors
FRTB: Basel guidance on backtesting frustrates dealers
Dealers blast “illogical” carve-outs for backtesting exceptions
Identification and capitalisation of non-modellable risk factors
Adolfo Montoro, Tim Becker and Lars Popken propose techniques for systematically capturing and categorising non-modellable risk factors and risk-adequate aggregation
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
FRTB’s risk factor framework is more punitive than it seems
Regime’s constraints may mean risk factors drop in and out of modellability far more frequently than dealers think
FRTB survey: internal model approval tops list of bank fears
Two years on from its devising, chunks of the new market risk framework remain 'unworkable'
FRTB data pooling crawls into action
Dealers voice concerns on data pooling as industry initiative to model risk factors faces significant challenges
Taking the FRTB plunge
Banks entering chilly FRTB waters for first time facing fresh challenges
Banks plan risk factor exclusion to avoid FRTB surcharge
Firms hope to leave out non-modellable risk factors deemed "immaterial"
Manipulation threat to FRTB data pooling
Concerns over the governance of submitted data and costs could spawn rival initiatives