Trading book
Toward active management of counterparty credit risk with CVA
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Collateral and counterparty tracking: Emerging initial margin requirements
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Baskets will suffer in trading book regime, warns HSBC exec
Capital charges will be ‘very difficult to explain’, conference hears
Trading strategies via book imbalance
Predicting equity and futures tick by tick price movements
Margin calling: Is your VAR methodology ready for initial margin on uncleared derivatives?
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The white elephant of the trading book review
The Basel Committee’s fundamental review of the trading book raises some serious issues, but David Rowe argues its central proposed revision to the market risk capital regime is little more than a costly distraction
Incentives remain in banking book vs trading book choice
Regulators have attempted to address a flaw within Basel II that gave banks an incentive to hold assets in the trading book. But Basel 2.5 may have gone too far, and made it more attractive to place assets in the banking book instead. By Giovanni Pepe
Regulators should keep internal models
The Basel Committee on Banking Supervision is looking closely at the use of supervisor-approved internal models by banks, but the alternatives, such as a leverage ratio, are not a realistic option, argues Uwe Gaumert
OpRisk North America: Confusion remains between trading book and banking book definitions
International definitions of banks' trading book and banking book still woolly, keynote speaker Charles Taylor tells conference
The false promise of expected shortfall
The false promise of expected shortfall
Scotiabank: Enabling real-time credit analysis
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Forex options traders count the cost of stressed VAR
Costing stressed VAR
Industry split over Basel trading book review
Comment period ends on September 7, but banks are struggling to find common ground
JP Morgan loss was bungled attempt to cut Basel III RWAs, says Dimon
Loss-making unit's RWAs would have tripled under Basel III, JP Morgan chief executive says - but attempting to cut capital burden made its hedges more complex
Risk.net poll: Industry divided over plan to scrap VAR
Poll on Basel Committee proposal to ditch VAR attracts close to 1,000 votes - with a narrow victory for critics of the metric
Dangerous embrace: disentangling bank and state
Dangerous embrace
Basel Committee proposes scrapping VAR
Review recommends switch to expected shortfall, postpones CVA charge overhaul, and retains split between banking and trading books
Bank capital
In depth: bank capital introduction
Quants weigh up VAR's flawed alternatives
VAR at risk
Beyond Basel 2.5: regulators prepare trading book review
Beyond Basel 2.5
Ambition of Basel's trading book review has faded, sources say
Patchwork of risk measures - including standalone CVA charge - may be left intact