Market risk
Model risk in the Fundamental Review of the Trading Book: the case of the Default Risk Charge
This paper assesses the model risk associated with the copula choice for the calculation of the Default Risk Charge (DRC) measure.
Global fragmentation looms in FRTB data pooling stand-off
Smaller banks unwilling to hand over localised trade information to data utilities
European FRTB capital charges hang by a thread
EU Council mulls introducing only reporting requirements in CRR II, or a very low scalar
Banks make new push on FRTB’s P&L test
Industry calls for series of changes as regulators prepare new consultation, says Nomura’s Epperlein
Canada’s banks go it alone with FRTB data utility
Local lenders reject advances of major data utilities to build own solution
FRTB: banks grapple with hard-to-model risks
Swiss, UK bank efforts to comply with regulators’ risks-not-in-VAR rules may be undone by transition to FRTB
Estimation risk for value-at-risk and expected shortfall
This paper provides a detailed analysis of the relationship between approximate VaR (ES) and exact VaR (ES) by finding a linear regression model in which the response variable is the approximate VaR (ES) and the explanatory variable is the exact VaR (ES)…
Revised Basel output floor could hit US banks after all
Fall in operational risk weights could push up capital requirements for market and credit risk
RBS loses markets CRO
Brush set to launch new venture; RBS’s group CRO also on way out
Basel delay does not ensure global FRTB consistency
A European Parliament draft would let supervisors decide response to P&L attribution test fails
New historical bootstrap value-at-risk model
This paper presents a new value-at-risk (VaR) model for the estimation of market risk in banks and other financial institutions.
Dealers warn of FRTB impact on funding programmes
EMTNs issued by treasury functions may need to be moved to trading desk because of new market risk rules
Asian regulators need to step up to swaps challenge
Markets on the cusp of change require new supervisory capabilities
FRTB: Basel mulls capital relief for internal model desk fails
Market risk group member describes intermediate capital charge for desks that marginally fail the P&L attribution test
Prudential’s Silitch on the blindspots in Basel III
Risk30 profile: Post-crisis reforms have failed to fully address systemic risk, Prudential’s CRO warns
Quintenz: former CFTC leadership failed commodities end-users
Commissioner says regulator “poorly defined populations and risk” under Obama administration
Volcker desks unlikely to meet FRTB requirements
Some trading activities will need to be reorganised to comply with market risk rules
Bankers lament growing global regulatory fragmentation
Piecemeal roll-out of Basel III will be “enormously costly”
ECB tells IMA banks to apply before rules are complete
Dealers criticise “unreasonable” timetable for FRTB model approvals, revealed in September call
DTCC muscles in on FRTB data pooling race
Rival to Bloomberg and Markit offerings claims ability to squash banks’ NMRF exposure by 50%
FRTB: industry pushes to use own quotes in risk factor modelling
Isda working group proposes use of own quotes to minimise non-modellable risk factors