Basel 2.5
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
ROE hurdles cause pricing impasse
In the Basel III world, traders know their business must deliver a target return on equity, or risk being shut down – but working out the capital cost, or benefit, of a trade at inception is so difficult that banks only have approximations to guide them…
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
Capital relief accounts for 70% of some CDS spreads, quants say
New research sheds light on implications of product's role as regulatory capital hedge
Incentives remain in banking book vs trading book choice
Regulators have attempted to address a flaw within Basel II that gave banks an incentive to hold assets in the trading book. But Basel 2.5 may have gone too far, and made it more attractive to place assets in the banking book instead. By Giovanni Pepe
Risk Espana survey 2014: Spanish banks play catch-up as regulation looms
Respondents to Risk España’s survey expect to see declines in over-the-counter derivative volumes as a result of regulation and believe less than half the OTC market’s total notional value will be eligible for clearing
Basel RWA review said to show banks 'many multiples' apart
Regulators are bracing for fresh criticism of bank capital modelling, say industry sources
JP Morgan report confirms RWA reduction led to CIO loss
A misguided plan to reduce Basel 2.5 RWAs and a series of management failures combined to leave JP Morgan’s chief investment office with a $6 billion loss, the bank finds
A cracking time: Banks turn to CDO unwinds
A cracking time
Replacing VAR, OIS discounting and the future of quant finance – the top stories of 2012
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
Derivatives traders optimistic for 2013, according to Risk.net poll
Nearly two-thirds of respondents to a Risk.net survey think they’ll make more money from derivatives trading in 2013
Majority of firms expect to up IT spend in 2013
Nearly 60% of financial institutions say they will increase spending on technology next year – and new regulatory requirements are a big driver
Risk USA: "We needed to run a simpler bank," says UBS risk manager
Capital pressures that drove UBS out of fixed income could force other banks to follow suit, says market risk head – and names Société Générale and BNP Paribas as examples
Risk-based approach "remains the foundation" of bank capital, says Basel Committee's Byres
Risk-based capital creates right incentives for banks, according to head of Basel Committee secretariat - but critics claim supervisors are making models less risk-sensitive
Basel 2.5 behind JP Morgan’s CIO trading loss
Rehedging mechanism within the comprehensive risk measure allowed JP Morgan to reduce risk-weighted assets while increasing market risk, claim industry experts
JP Morgan and the CRM: How Basel 2.5 beached the London Whale
It’s the untold story of JP Morgan’s credit trading losses – how traders were able to reduce risk-weighted assets while loading up on risk, and the part played by Basel 2.5. Michael Watt reports
Responding to the eurozone crisis
The cutting crew
ALM Europe: Basel right to rein in capital models, says EIB exec
Regulators should be more intuitive in their approach to capital levels, EIB treasury risk head tells conference
Forex options traders count the cost of stressed VAR
Costing stressed VAR
Regulation to hit bank profitability - Risk survey
Dealers expect new rules to hit the profitability of their business, but fewer expect to be able to pass the costs along – and more are anticipating a big drop in OTC trading volumes
Industry split over Basel trading book review
Comment period ends on September 7, but banks are struggling to find common ground