Non-modellable risk factors (NMRFs)
Libor reform threatens risk modelling under FRTB
Dearth of liquid products and historic data threatens banks with capital hit under new market risk rules
Dealers seek FRTB carve-out for Libor transition
Swaps could be judged non-modellable – and hit with capital add-on – as liquidity tails off in Libor
FRTB: trade bodies reveal threat to risk factor modellability
Swaptions, sovereign CDS and long-dated swaps at risk of being NMRFs
French regulator voices doubts on Europe’s FRTB timeline
Federal Reserve warns EU delay would force US to reconsider 2022 implementation
Japan regulator: we are racing to finish FRTB in 2018
Japanese banks warn against rushing rules with poor data, and fret over EU delays
Banks fear more trades will be caught in NMRF trap
“Many risk factors now will essentially look like NMRFs,” says North American bank’s risk manager
FRTB: Nordic banks mull regional data pool
Local tie-up could “prevent big banks entering the markets in the Nordics”, says local risk manager
How banks should organise themselves for FRTB
New market risk rules require a rethink on trading and ops, argue market risk experts
Regional banks cheer tweaks to FRTB standardised approach
Planned softening of SBA makes it more appealing, but most banks still expect to adopt IMA
Basel to scrap automatic fails for P&L test
“Amber zone” will protect near-miss desks, but regulators not convinced by NMRF complaints
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
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
Basel delay does not ensure global FRTB consistency
A European Parliament draft would let supervisors decide response to P&L attribution test fails
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
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
Asian privacy laws obstruct FRTB data pooling efforts
Bank scepticism and regulatory hurdles likely to inhibit cross-border information sharing
FRTB threatens Canadian bond market, dealers say
Modelling the risk factors of Canadian corporate debt is “almost impossible”
FRTB Special Report 2017
Confronting the challenges of FRTB in P&L attribution, non-modellable risk factors and technology
FRTB: a Sisyphean labour
Banks continue to struggle with ever-shifting regulatory parameters
Seizing the opportunity of transformational change
Sponsored Q&A: CompatibL, Murex and Numerix
Solving the FRTB puzzle
Sponsored FRTB forum: IHS Markit