Market risk
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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Basel considers U-turn on fourth trading book QIS
Industry lobbying prompts regulator to revive plans for a further impact study
Banks find huge capital jump in FRTB impact study
QIS shows five-times increase under revised standardised approach to market risk
The impact of model risk on capital reserves: a quantitative analysis
This paper analyzes and quantifies the idea of model risk in the environment of internal model building.
Basel lacks data to judge FRTB impact, critics claim
Isda AGM: Proposed trading book rules are “nuts”, says Ramambason of BNP Paribas
Combine market, credit and liquidity risk simultaneously
Separate treatments can lead to underestimation of total risk
Time to see models and shocks for what they are
Market shocks are earthquakes, not a game of roulette
Dark pools and platforms vie to fix credit markets
A side-effect of tough bank capital rules could be the rise of dark pools for credit trading
UK stress tests to cover trading book illiquidity and FVA
Bank of England to apply price shocks based on unwind periods
Basel scraps plans for final trading book QIS
Banks fear regulators will not have enough data to draw up sound rules by year-end
VAR limits: dislocations put focus on other lines of defence
Wild moves in the Swiss franc and US Treasuries blindsided VAR models
Trading book fears grow as rules enter home straight
Hedging threatened by treatment of liquidity and diversification, critics claim
Banks claim trading book rules will hit hedges
Regulatory measures of risk would leap 133% for some positions, warns ING
Hit the floor: banks fear Basel curbs for capital models
Regulators argue a backstop is needed to avoid too-low modelled numbers
FCA internal controls criticised in report
Report author damns "high risk" media strategy
Examining the current state and future direction of enterprise stress testing
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