Market risk
Market risk solutions 2023: market and vendor landscape
A Chartis Research report that examines the structural shifts in enterprise risk systems and the impact of regulations, as well as the available technology.
Asian privacy laws obstruct FRTB data pooling efforts
Bank scepticism and regulatory hurdles likely to inhibit cross-border information sharing
Seizing the opportunity of transformational change
Sponsored Q&A: CompatibL, Murex and Numerix
Doubts grow over US FRTB implementation
Fragmented roll-out would price European banks “out of the market”
Basel group shake-up has banks hoping for FRTB changes
Barger and Durand replaced by BoE's Nesbitt; banks want fresh look at P&L test
Basel takes flak over FRTB impact assessment
Market participants say capital hit has been underestimated
Inconsistent FRTB model guidance vexes dealers
Risk models pulled in opposite directions by P&L attribution test and non-modellable risk factors
FRTB: Basel guidance on backtesting frustrates dealers
Dealers blast “illogical” carve-outs for backtesting exceptions
FRTB survey: banks fear high bar for P&L test
One bank expects all of its desks to fail the P&L attribution test
FRTB data pooling crawls into action
Dealers voice concerns on data pooling as industry initiative to model risk factors faces significant challenges
The P&L attribution mess
FRTB model approval regime dogged by confusion and controversy
Brexit or Bremain: looking for clues in bubble analysis
Crisis analysis model suggests rates and credit markets see danger
Fed data dependency backfires
Past year has seen huge change in formation of rate expectations
Internal model use may decline under FRTB, banks say
"The jury is still out on whether internal models are worth the effort" – HSBC's Jenkins
The FRTB data management challenge
Sponsored forum: Asset Control
Banks seek to counter FRTB internal model add-on
Parallel shifts and trading desk reshuffles mooted as fix for non-modellable risk factors
FRTB packs bigger-than-expected capital punch
Industry study challenges regulators' estimate of a 40% capital increase
IFC risk management directors wrestle with strong dollar
Weak emerging markets and commodities downturn are also posing a challenge
Statistical spin may decide severity of trading book rules
Capital increase levied by Basel Committee could depend on use of mean versus median
UK banks won't face FRTB capital hike – BoE official
Policy expert says most trading risks already captured under Pillar 2 framework
'Gamma trap' theory features in US Treasury meltdown report
Official post-mortem considers claims that options hedging amplified October 15 move