Market risk
'Gamma trap' theory features in US Treasury meltdown report
Official post-mortem considers claims that options hedging amplified October 15 move
Standardised approaches pile up capital and data woes
Banks round on one-size-fits-all rules for market, credit and op risk
Basel lacks data to judge FRTB impact, critics claim
Isda AGM: Proposed trading book rules are “nuts”, says Ramambason of BNP Paribas
SNB’s Danthine: traders wrong to paint Sfr surge as black swan
It was “absolutely certain” that SNB would end Swiss franc floor, says vice-chair
UK stress tests to cover trading book illiquidity and FVA
Bank of England to apply price shocks based on unwind periods
VAR limits: dislocations put focus on other lines of defence
Wild moves in the Swiss franc and US Treasuries blindsided VAR models
CME price limits caught out by Swiss franc surge
Exchange bins month-old rule after it led to huge spot-futures basis
Trading book fears grow as rules enter home straight
Hedging threatened by treatment of liquidity and diversification, critics claim
Bank risk manager of the year: Deutsche Bank
Risk Awards 2015: Teamwork allowed bank to cut VAR by $30 million in three days
Asset manager of the year: DoubleLine Capital
Risk Awards 2015: Critics challenged to look at the data by fund branded ‘not rateable’
The future of risk
Sponsored video: MSCI
No flash crash: Paulson, Pimco and the US Treasury meltdown
Market’s big beasts played a part in wild and weird October 15 volatility
BoE’s Cunliffe: era of free liquidity is over
Market participants ‘will have to pay more’ to get in and out of positions
Hull and White on the pros and cons of expected shortfall
Expected shortfall may be more conservative than VAR, but there are backtesting and stability concerns
Nordea Markets: speedy trading book revamp "not safe"
Hard to gauge impact of ambitious proposals, says market risk head
Cutting Edge introduction: The trouble with algorithmic execution
New set-up allows fast, tractable optimisation of trade execution, without neglecting downside risk
Replacing VAR: smaller banks fear expected shortfall workload
Some banks worry they may not have enough data to implement expected shortfall safely
Baskets will suffer in trading book regime, warns HSBC exec
Capital charges will be ‘very difficult to explain’, conference hears
Models could lose appeal under new trading book rules
Rise of standardised approach would be 'a loss for the banking industry'
Banks ask Basel Committee to delay trading book impact studies
Completing the two studies on schedule will be "nigh-on impossible" bankers claim – but regulators are thought to be wary of a postponement
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
FI trading revenues expected to slide further – Risk.net poll
Fixed-income trading revenues will continue to fall in 2014, believe respondents to a Risk.net poll
Basel Committee drops fixed correlations in new trading book proposals
Banks relieved as revised trading book proposals drop plans for capital to be based on regulator-set correlations
Risk USA: Buy-side prepares for fixed-income storm
Artificially low volatility leaves firms nervous about the future – and looking for fixed-income alternatives