Capital requirements
Getting in shape for the FRTB has to start now
Many banks are lagging behind when it comes to ensuring they are fit for the new trading book regime
Default risk floors threaten €72bn of RWAs in EU
Risk.net analysis finds PD floor would hit a swath of low-risk corporate loans at the biggest EU banks
In operational risk, the future ain’t what it used to be
Just because we can't measure op risk accurately doesn't mean we should give up, argues Peter Sime
FRTB data standards seen as threat to emerging markets
Need for 'real' prices will limit use of models, increasing capital burden
Crying wolf on CVA?
Standardised approach will hit corporates – but it's not clear that capital will jump
European dealers wrestle with corporate CVA changes
Banks say prices already diverging; CDS market could be impacted
A maximum entropy approach to the loss data aggregation problem
This paper examines and compares alternative ways of solving the problem of determining the density of aggregate losses.
Putting a price on long-term life insurance business (part II)
Extending risk-adjusted performance metrics to take into account real-world investment returns
Some European banks pricing in Pillar 2 CVA charge
But three dealers say it is too early to know whether corporate CVA exemption will be removed
Extreme value theory has hidden risks, research finds
Method for calculating capital based on sparse data can lead to additional model risk
Risk technology rankings 2015: Surgery, instead of plasters
Murex, Calypso, FIS take top spots as clients push for regulatory compliance
CFTC quizzes clearing banks over leverage-cutting tactic
Billions of dollars in client margin have already been moved off balance sheet
Basel proposal to cause ‘huge problem’ for TLAC market-making
Proposal requiring banks to deduct holdings of other banks’ TLAC debt could restrict market-making
Fundamentally fraught: the chaotic last weeks of the FRTB
Quick fixes should have no place in a sweeping three-year reform project
Bafin's Hufeld: op risk modelling 'almost impossible'
AMA can go, but other models will stay, Felix Hufeld tells Risk.net
For a few dollars more: Japan banks tackle dollar/yen basis jump
Soaring cross-currency swap prices force dollar funding rethink
Modeling operational risk capital: the inconvenient truth
This paper shows that it is an "inconvenient truth" that the largest losses by banks are not firm specific.
Insurer of the year: Allianz
Solvency ratio sets benchmark despite conservative internal model assumptions
Coen: leverage ratio hit to clearing due to clashing mandates
Coen calls for greater parity between leverage ratio and clearing requirements
Paper of the year: JD Opdyke
New technique may help limit errors in AMA capital estimates
Reining in capital models is bad for risk management
AMA's likely demise is latest sign of worrying trend in bank capital rules
Southern Europe securitisation markets thrown lifeline in EC plan
New rules ease treatment of ABS from countries with low credit ratings
Dealers criticise Basel’s 'nonsensical’ CVA impact study
Tight deadline and limited portfolio makes measurement difficult
Dealers fret over Basel CVA revisions
Punitive standardised approach may replace modelling