Basel 2.5
Singapore’s UOB bucks trend to seek FRTB model approval
Despite data challenges, bank is opting for IMA to enhance risk management
EU Parliament ‘likely’ to allow market risk capital relief
MEPs propose allowing supervisors to temporarily exclude Covid-related backtesting exceptions
Rewards for failure: the ECB’s topsy-turvy market risk relief
Eurozone banks with better models are least able to offset Covid-driven rise in backtesting multiplier
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
Eurozone banks fear market risk capital hike due to Covid-19
Hopes that ECB will fix double-counting as VAR breaches rise on market volatility
VAR lookbacks should shift dynamically, research suggests
Change-point analysis method helps identify regime shifts in equities markets, quants claim
FRTB could ‘kill’ local markets – South African banks
Dealers urge South African Reserve Bank to depart from Basel standards on NMRFs
FRTB: Nordic banks mull regional data pool
Local tie-up could “prevent big banks entering the markets in the Nordics”, says local risk manager
Basel’s Coen warns on FRTB complexity
Isda AGM: Regulators may consider “simpler and more robust” approaches when finalising rules this year
Q&A: EBA’s Vaillant on Basel IV, FRTB and CVA
Authority’s “key goal” in Basel talks has been to defend risk-sensitive capital framework
Lifetime achievement award: Yann Gérardin, BNP Paribas
Risk Awards 2017: Understated CIB chief helped build – and protect – today’s BNPP
Taking the FRTB plunge
Banks entering chilly FRTB waters for first time facing fresh challenges
The P&L attribution mess
FRTB model approval regime dogged by confusion and controversy
Bafin's Hufeld: op risk modelling 'almost impossible'
AMA can go, but other models will stay, Felix Hufeld tells Risk.net
UK banks won't face FRTB capital hike – BoE official
Policy expert says most trading risks already captured under Pillar 2 framework
The rise of KVA: how 10 banks are pricing the capital crunch
Risk survey shows new add-on is gaining acceptance and could reshape the swaps business
BoJ and JFSA officials seek bank capital clarity
BoJ’s Nakaso suggests moratorium after current rule-book changes are complete
Banks find huge capital jump in FRTB impact study
QIS shows five-times increase under revised standardised approach to market risk
Basel scraps plans for final trading book QIS
Banks fear regulators will not have enough data to draw up sound rules by year-end
Capital hit from death of 0% sovereign weight 'not enormous'
Banks would have to raise equity equal to 0.7% of current levels, ESRB finds
Trading book fears grow as rules enter home straight
Hedging threatened by treatment of liquidity and diversification, critics claim