Capital requirements
CFTC set to flex its muscles in FSOC meetings
FSOC must study the impact of capital rules on trading liquidity, Giancarlo says
Banks seek capital relief for ECL reserves
Capital rules fail to recognise risk-reducing effect of loss reserves, lenders say
EBA call for simpler IFRS 9 phase-in applauded
Lawmakers aim to fast-track IFRS 9 rules in the revised Capital Requirements Regulation, but are also urged to clarify them
Hidden Markov regimes in operational loss data: application to the recent financial crisis
The authors propose a method to consider business cycles in the computation of capital for operational risk.
Crowd trouble: the FRTB’s war on basis risk
FRTB will lead to build-up of risks around liquid benchmarks, dealers warn
Indirect clearing rules too demanding, warn EU regulators
EBA and Esma call for clarity on capital relief for exposures to clearing members
Why the leverage ratio distorts market-making
Darrell Duffie argues the rule hurts market efficiency for very safe assets
OTC market resisting swap futures threat
Swap futures yet to break out, but backers see margin, accounting and Citadel as tailwinds
Market expects Holdco CDS switch for iTraxx index
TLAC-driven issuance changes likely to see UK and Swiss holding company CDSs included in iTraxx Financials
The impact of IFRS 9 on earnings volatility and uncertainty in the supply and demand for regulatory capital
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The death of one thousand flowers or the AMA reborn?
The author of this paper explores the reasons for the pending demise of the advanced measurement approach (AMA) to operational risk.
US inflation traders consider swap methodology change
Banks weighing up move to non-interpolated standard to cut capital costs
Vickers renews criticism of BoE systemic buffer
Blanket 3% buffer would better support ring-fencing, Vickers tells Tyrie
Taking the FRTB plunge
Banks entering chilly FRTB waters for first time facing fresh challenges
A conflict resolution strategy for capital allocation?
A recently proposed method for capital allocation has the potential to resolve internal disputes
Banks seek clarity on risk retention capital charges
CMBS issuers in dark about how much capital to hold against risk retention exposures
Regulations, sensitivities and adjoints: Using AAD for FRTB and FRTB-CVA
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Banks fear costs from loss of AAD under simpler FRTB rules
Trading book regime may force use of more expensive and time-consuming ways of computing risk sensitivities
The P&L attribution mess
FRTB model approval regime dogged by confusion and controversy
Banks fear FRTB internal model approval gridlock
UK regulator said to have concerns about the high volume of simultaneous approval requests
Doomed loop: Europe gets creative on sovereign bond risks
Political and prudential risks in huge bond-holdings force experts to consider new ideas
Opened interest: foreign firms eye China's rate swap market
However regulatory and operational challenges set to slow growth
Netting risks create pricing and operational headaches
Oversight of legal risks is not always robust