Sensitivities-based approach (SBA)
Japanese megabanks shun internal models as FRTB bites
Isda AGM: All in-scope banks opt for standardised approach to market risk; Nomura eyes IMA in 2025
EU banks fear Brexit battle over FRTB internal models
Bank of England approach looks easier, but that may not make much difference to model uptake
Banks find new uses for discarded FRTB models
Much-maligned IMA models are being upcycled and repurposed for internal risk management
Banks look back in anger as FRTB revives 1990s risk test
Institutions bemoan need for parallel framework to measure portfolios’ sensitivities to market moves
Fragmented rules muddy Asian FRTB implementation
Banks and vendors warn risk factor data may not be usable across different jurisdictions
Singapore’s UOB bucks trend to seek FRTB model approval
Despite data challenges, bank is opting for IMA to enhance risk management
Early FRTB adoption piles pressure on Japanese banks
Bankers fear competitive pain due to lack of NMRF data, possible EU and US deviations from Basel
Banks turn away from FRTB internal models in Europe
Drawbacks mean even fewer model approval applications planned than past ECB survey suggested
Why FRTB model test loves volatility, but hates hedges
Crucial P&L test for internal models easier to pass if price swings are large, or desks poorly hedged
EU banks fear outlier status on non-modellable risk charges
Dealers face disadvantage if EU implements more granular and costly version of FRTB than US, UK
EU offers reprieve for fund-linked derivatives trades
Banks hope FRTB draft allowing fund managers to supply standardised inputs will cut risk weights
Basel crypto rules: bad for traders, good for risk managers?
Practitioners divided over potential bank capital treatment for assets with no intrinsic value
FRTB starts ‘tug of war’ between front and back offices
Risk USA: dealers face trade-off between accuracy of pricing models and level of capital charges
Range accruals under spotlight as Taiwan prepares for FRTB
Taiwanese banks review viability of products offering options on long-dated rates
Final Volcker rule spurs rethink on FRTB trading desks
Regulators encourage structural alignment between the two rules, but hurdles remain
Floating start date for 2020 stress test alarms EU banks
Regulator proposal could lead to less reliable market risk data, critics warn
Global banks fear Hong Kong frontrunning FRTB
Local subsidiaries of EU and US banks may be forced to adopt models before their parents
Can bankers stop the trading book killer?
FRTB won’t obliterate your whole markets business any more, just some very specific parts
Fund-linked structured products face extinction under FRTB
Global market risk capital standards carry sky-high charges for fund derivatives
Banks rethink fund-linked trades ahead of FRTB
Some stop offering longer-dated structured products ahead of expected 2023 rules in EU
FRTB 2.0: lower capital but high running costs
Revisions to market risk rules fail to ease complexities of internal models approach