Trading book
London-based banks face ECB Brexit power grab
Drive to supervise swaps books from Frankfurt threatens cross-border balance sheet management
FRTB could hit syndicated loans, banks fear
Accounting classification would lump assets into regulatory trading book
Basel group said to weigh changes to key FRTB test
EC and EBA officials criticise low pass rates for P&L attribution test
Q&A: EBA’s Vaillant on Basel IV, FRTB and CVA
Authority’s “key goal” in Basel talks has been to defend risk-sensitive capital framework
EBA plans reboot of FRTB’s P&L test
Authority will explore wider range of options than outlined in CRR text
Legacy booking models impede NDF clearing, banks say
Novation lag holds up clearing of forex products; some say dealers are dragging feet
Could a phase-in save FRTB?
Regional banks fear they will run out of time to implement FRTB, but a phase-in could set a welcome trend
FRTB survey: internal model approval tops list of bank fears
Two years on from its devising, chunks of the new market risk framework remain 'unworkable'
FRTB survey: risk transfer shake-up hits home
Dealers mull creation of dedicated risk transfer desks but approval process remains unclear
FRTB: banks fearful of risk transfer missteps
Short credit and equity positions held in banking book will be caught by market risk capital requirements
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
FRTB: Is your bank on track?
Content provided by IBM
Risk optimisation: the noise is the signal
Benedict Burnett, Simon O’Callaghan and Tom Hulme introduce a new method of optimising the accuracy and time taken to calculate risk for an XVA trading book. They show how to make a dynamic choice of the number of paths and time discretisation focusing…
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
Banks brace for assault course of FRTB implementation
Dealers face test of endurance to win model approval and avoid penal standardised charge
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
Fundamentally fraught: the chaotic last weeks of the FRTB
Quick fixes should have no place in a sweeping three-year reform project
Statistical spin may decide severity of trading book rules
Capital increase levied by Basel Committee could depend on use of mean versus median
Trading book QIS: residual risk is 'killing everybody'
Residual risk add-on more broadly applicable than first thought under Basel rules
UK banks won't face FRTB capital hike – BoE official
Policy expert says most trading risks already captured under Pillar 2 framework