Market risk
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
JP Morgan hires Credit Suisse’s FRTB lead
John Mitchell led various FRTB work streams at the Swiss bank
FRTB: proxy risk factors may trigger model failures
Swapping non-modellable risk factors for proxies may make it harder to pass P&L attribution test
HSBC’s model risk chief departs
Exit follows February reshuffle of UK lender’s global risk analytics unit
Malaysia set to delay FRTB implementation
Local lenders wait on central bank’s interpretation of Basel standards before upgrading IT infrastructure
FRTB: Asian banks criticise simpler standardised approach
Branch entities of larger banks barred from using simplified version of SBA
Asian privacy laws obstruct FRTB data pooling efforts
Bank scepticism and regulatory hurdles likely to inhibit cross-border information sharing
FRTB could hit syndicated loans, banks fear
Accounting classification would lump assets into regulatory trading book
FRTB threatens Canadian bond market, dealers say
Modelling the risk factors of Canadian corporate debt is “almost impossible”
FRTB standardised approach threatens commodity hedging
Basel language would force unnatural treatment of offsetting positions
EU lawmakers consider extending FRTB deadline
European Commission policy expert says current deadline is too ambitious
Basel group said to weigh changes to key FRTB test
EC and EBA officials criticise low pass rates for P&L attribution test
UBS to get new market risk head
Internal move sees equities risk chief replace Kasenally, after her move to UBS AM