Trading book
Legacy booking models impede NDF clearing, banks say
Operational issues frustrate client clearing of forex products – but some accuse dealers of deliberate foot-dragging
Could a phase-in save FRTB?
Regional banks fear they will run out of time to implement FRTB, but Europe’s proposal for a phase-in could set a welcome trend
FRTB survey: internal model approval tops list of bank fears
Two years on from its devising – and two years out from its implementation – large parts of the Basel Committee’s new market risk framework currently remain unworkable. That’s according to the banks charged with implementing it, who responded to Risk’s…
FRTB survey: risk transfer shake-up hits home
Basel’s new market risk capital framework imposes strict conditions on internal risk transfers between the banking and trading books. These promise to load new costs and operational burdens on dealers. Plenty of unanswered questions on the specifics…
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 the first time are 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?
This infographic looks at the operational impacts of implementing new measures and new technologies, and the expected impact on regulatory capital requirements
Risk optimisation: the noise is the signal
Burnett, O’Callaghan and Hulme introduce a new method for optimising accuracy and risk's computing speed for an XVA trading book
The P&L attribution mess
Seven months after new market risk capital rules were finalised, regulators and lobbyists are still locked in discussion over one of its key elements – the result of a mysterious eleventh-hour change to the text
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
BBVA: Optimising counterparty risk capital with real-time simulation-based exposure and limits management
Read this BBVA case study and learn how a real-time, pre-trade limit checking workflow helps traders avoid breaches and seize opportunities while keeping exposure to risk under control
Statistical spin may decide severity of trading book rules
Capital increase levied by Basel Committee on Banking Supervision could depend on use of mean versus median figures
Trading book QIS: residual risk is 'killing everybody'
Residual risk add-on more broadly applicable than first thought under Basel review of trading book capital rules
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
Learn how Absa Corporate & Investment Banking, member of Barclays, is using IBM Algo Credit Manager to streamline operations and accelerate insight into exposure
Dealers slam Basel plans for hard-to-model trading risks
Fundamental review of the trading book would prevent modelling for too many risk factors, critics claim
Speaking as one: Convergence in Basel standards will require banks to rethink their risk infrastructures
This article addresses the mandatory standardised model approach required under FRTB