Market risk
Capital sums set to drive FRTB desk decisions
Using Volcker desk structure may hurt model approval chances, banks say
Banks brace for assault course of FRTB implementation
Dealers face test of endurance to win model approval and avoid penal standardised charge
A framework for market, credit and transfer risk aggregation and stress testing
The authors develop a framework that consistently and fully integrates the market, credit and country transfer risks of a general portfolio of financial assets in a multi-period setup.
Revised Basel III better reflects bank risk, research finds
Study says 2013 capital rules more in line with actual risk, but can be easily gamed
Final FRTB is a game of give-and-take, say dealers
Relaxation in some areas of Basel market risk rules offset by harsher treatment in others
Basel may soften trading book rules on emissions
Latest FRTB tweaks also include increasing granularity of commodity risk weights
FRTB may lead banks to take more risk, says Deloitte
Analysis shows some trading desks receive lower capital with stressed market risk charge
Custody Risk European Awards 2015: Insurance Custodian of the Year
Sponsored feature: BNP Paribas Securities Service
Fundamentally fraught: the chaotic last weeks of the FRTB
Quick fixes should have no place in a sweeping three-year reform project
Downside risk measure performance in the presence of breaks in volatility
This paper proposes a loss function-based framework for the comparative measurement of the sensitivity of quantile downside risk measures to breaks in volatility or distribution.
Basel Committee readies op risk and FRTB releases
Supervisors under pressure to finalise post-crisis reforms to capital rules
FRTB: the nightmare before Christmas
Unwanted gift will be delivered, say regulators, and only its size is up for debate
Addressing the shortcomings of current multi-asset class risk analytics across the buy side
Sponsored webinar: Axioma
Statistical spin may decide severity of trading book rules
Capital increase levied by Basel Committee could depend on use of mean versus median
Pillar 2 'unlikely to cushion' trading book capital impact
Pillar 1 capital hike likely to outstrip any Pillar 2 add-ons, say dealers
Trading book QIS: residual risk is 'killing everybody'
Residual risk add-on more broadly applicable than first thought under Basel rules
Riskology: Did markets overreact to China sell-offs?
Analysis shows markets can be overly sensitive to single-factor events
UK banks won't face FRTB capital hike – BoE official
Policy expert says most trading risks already captured under Pillar 2 framework
New trading book QIS tackles correlation gripes
Changes proposed for correlation, exotic derivatives and hard-to-model risks
Absa: Gaining a single view of risk across both trading and banking books
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KeyBank: Starting the day with a full picture of market and counterparty credit risk
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