Trading book
FRTB sends banks around the bend
Banks uncover hidden challenges of data, computing power and need for joined-up approach
FRTB: Is your bank on track?
Content provided by IBM
Risk optimisation: the noise is the signal
Benedict Burnett, Simon O’Callaghan and Tom Hulme introduce a new method of optimising the accuracy and time taken to calculate risk for an XVA trading book. They show how to make a dynamic choice of the number of paths and time discretisation focusing…
The P&L attribution mess
FRTB model approval regime dogged by confusion and controversy
Details of vital FRTB model test still up for grabs
Banks argue valuation adjustments should be left out of the model approval process
Banks brace for assault course of FRTB implementation
Dealers face test of endurance to win model approval and avoid penal standardised charge
Revised Basel III better reflects bank risk, research finds
Study says 2013 capital rules more in line with actual risk, but can be easily gamed
Final FRTB is a game of give-and-take, say dealers
Relaxation in some areas of Basel market risk rules offset by harsher treatment in others
Fundamentally fraught: the chaotic last weeks of the FRTB
Quick fixes should have no place in a sweeping three-year reform project
Statistical spin may decide severity of trading book rules
Capital increase levied by Basel Committee could depend on use of mean versus median
Trading book QIS: residual risk is 'killing everybody'
Residual risk add-on more broadly applicable than first thought under Basel rules
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
Dealers slam Basel plans for hard-to-model trading risks
FRTB would prevent modelling for too many risk factors, critics claim
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
Basel lacks data to judge FRTB impact, critics claim
Isda AGM: Proposed trading book rules are “nuts”, says Ramambason of BNP Paribas
Banks see clash in Basel's trading and banking book work
Draft rules on interest rate hedging could set back arbitrage fix, critics claim
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