BCBS 239
Standard risk measures low-balled Archegos exposures
When a potential blow-up doesn’t show up, what use are VAR, SA-CCR and stress tests?
Fire drills, initial margin issues and Libor replacement
The week on Risk.net, February 1–7, 2020
Frustrated authorities resort to BCBS 239 ‘fire drills’
ECB and Finma lob impromptu data requests at banks, as BCBS 239 quietly permeates everyday supervision
The Fundamentals of market risk rules
With the 2022 Fundamental Review of the Trading Book (FRTB) deadline looming, banks are fast coming to grips with the amount of work still to be done to achieve a successful implementation
On the selection of loss severity distributions to model operational risk
This paper presents truncation probability estimates for loss severity data and a consistent quantile scoring function on annual loss data as useful severity distribution selection criteria that may stabilize regulatory capital.
Risk data validation under BCBS 239
Based on a survey of twenty-nine major financial institutions, this paper aims to advise banks and other financial services firms on what is needed to get ready for and become compliant with BCBS 239, especially in the area of risk data validation.
A tech-driven transformation
A panel of experts explores how greater collaboration between risk and finance teams can garner significant benefits and add value, how technological innovation is making the regulatory landscape more complicated to navigate and produce transformative…
Compliance preparations amid uncertain rules
A forum of industry leaders discusses how banks will define individual trading desks under FRTB, whether BCBS 239 compliance projects can help banks meet FRTB risk data challenges, which model validation obstacles banks still face and other key topics
Banks can’t get a straight answer on BCBS 239 compliance
Regulators sidestep questions on whether ‘material compliance’ amounts to full compliance
Regulators bristle at slow progress on BCBS 239
Three out of 30 banks compliant with six months to go; talk of capital add-ons for laggards
Banks struggle with BCBS 239 implementation
Only three G-Sibs fully compliant with all risk data and reporting principles at end-2017
Webinar: Measuring the return of improved data management
Sponsored by Oracle
Implementing and capturing value from BCBS 239
Sponsored forum: Intralinks
Webinar: Stress testing
Sponsored by Wolters Kluwer
BCBS 239: Data harmonisation heaven?
Sponsored webinar: Wolters Kluwer
Audio webinar: Implementing and capturing value from BCBS 239
Sponsored by Intralinks
Time is tight: Implementing the IFRS 9 three-stage approach
Sponsored interview: Oracle
Risk Chartis Market Report: IFRS 9
Sponsored by Oracle, Moody's Analytics and AxiomSL
Creating business value: Measuring the return of improved data management
Sponsored survey analysis: Oracle Financial Services
Banks brace for qualitative objections from CCAR
Fed stress tests tilt towards data, governance, internal controls and modelling techniques
Fed to use CCAR to push BCBS 239 compliance
"The stick they're wielding right now is around CCAR," says SunTrust executive