Market risk
Crowd trouble: the FRTB’s war on basis risk
FRTB will lead to build-up of risks around liquid benchmarks, dealers warn
EC gold-plating of FRTB raises risk of global divergence
Some interpret draft CRR II changes to NMRF framework as raising the bar for compliance
Market risk technology vendor of the year (system): Murex
Risk Awards 2017: 30-year-old incumbent moves with the times
In-house system of the year: Citadel
Risk Awards 2017: Futuristic control centre has transformed dialogue between risk and business
Fintech start-up of the year: Beacon
Risk Awards 2017: Ex-bankers bring top dealer risk tech to the masses
FRTB will spark rise in basis risk, firms warned
Dealers using standardised approach may be incentivised to push clients towards less precise hedges
Doom loop reloaded: CRR II goes soft on sovereign debt
EC dilution of Basel liquidity and market risk rules could create new regulatory arbitrage
FRTB survey: banks fear high bar for P&L test
One bank expects all of its desks to fail the P&L attribution test
FRTB survey: risk transfer shake-up hits home
Dealers mull creation of dedicated risk transfer desks but approval process remains unclear
Why did the crisis cause such large op risk losses?
Huge losses from the 2008 crisis can be seen as a short option position
SGX risk chief urges Asia lobbying push on FRTB
Asian markets could be stifled by “irrelevant” global standards, warns Koh
Taking the FRTB plunge
Banks entering chilly FRTB waters for first time facing fresh challenges
FRTB sends banks around the bend
Banks uncover hidden challenges of data, computing power and need for joined-up approach
Lining up the fundamentals
Sponsored Q&A: Asset Control, Murex, Vector Risk, CompatibL, Parker Fitzgerald and Numerix
Banks plan risk factor exclusion to avoid FRTB surcharge
Firms hope to leave out non-modellable risk factors deemed "immaterial"
Cargill sees growth in plastics hedging
Swaps unit of commodity trading giant describes increasing need for derivatives on resins prices
The P&L attribution mess
FRTB model approval regime dogged by confusion and controversy
Details of vital FRTB model test still up for grabs
Banks argue valuation adjustments should be left out of the model approval process
Brexit clauses put brakes on big UK property loans
Collapse in sterling expected to see in-flight deals renegotiated
Forming an effective FRTB action plan
Content provided by IBM
Comparing risk measures when aggregating market risk and credit risk using different copulas
The authors of this paper simulate realistic total bank return distributions by means of a top-down copula approach for different parameter settings.
Manipulation threat to FRTB data pooling
Concerns over the governance of submitted data and costs could spawn rival initiatives
Testing value-at-risk models in emerging markets during crises: a case study on South Eastern European countries
This paper examines the applicability of a wide range of VaR models in emerging markets, focusing on South Eastern European countries.
Internal model use may decline under FRTB, banks say
"The jury is still out on whether internal models are worth the effort" – HSBC's Jenkins