Trading book
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
The Fundamental review of the trading book QIS shows five-times increase under revised standardised approach to market risk
Basel lacks data to judge FRTB impact, critics claim
Isda AGM: Proposed trading book rules are “nuts”, says Ramambason of BNP Paribas
Banks see clash in Basel's trading and banking book work
Draft rules on interest rate hedging could set back arbitrage fix, critics claim
UK stress tests to cover trading book illiquidity and FVA
Bank of England to apply price shocks based on unwind periods, and require banks to calculate a stressed FVA
Basel scraps plans for final trading book QIS
Banks fear regulators will not have enough data to draw up sound rules by year-end
Trading book fears grow as rules enter home straight
The Basel Committee is aiming to wrap up its overhaul of trading book capital rules this year. Banks are worried about that – the treatment of liquidity risk is too harsh, the standardised approach is too complex, and the capital impact still too high,…
Basel rates split heralds soft landing, banks hope
Regulators have spent two years exploring a possible Pillar I charge for interest rate risk in the banking book, but are said to be more divided now than when they started. Industry sources are hoping it results in a cautious first consultation paper.
Liquidity risk management: Assessing and planning for adverse events
Recent turmoil in global finance markets has yielded new evidence of the importance of liquidity risk management
Examining the current state and future direction of enterprise stress testing
Although the primary reason for regulatory stress-testing in today's banks is to ensure capital adequacy, the ultimate goal is long-term stability in the financial markets with better-run banks. For that reason, stress testing is an evolving, high…
Best market practice for calculation and reporting of wrong-way risk
This paper explores approaches for quantifying and incorporating wrong-way risk (WWR), a natural extension of the risk management methodologies used to calculate credit valuation adjustments (CVA) measures
How regulatory stress testing is shaping the future for banks
White paper: IBM Business Analytics
Toward active management of counterparty credit risk with CVA
Emerging from the credit crisis that began in 2007, many financial institutions recognise the need to better manage CCR
Societe Generale: Leading industry practices for real-time identification of risk-efficient trades with a centralised CVA desk
Sophisticated IBM risk analytics equip traders with powerful and accurate CVA desk solution
Baskets will suffer in trading book regime, warns HSBC exec
Assigning liquidity horizons to risk factors will produce confusing capital charges for products with multiple underlyings, says HSBC exec
Trading strategies via book imbalance
The imbalance between bid and ask orders in a limit order book tends to predict trade arrivals and price movements. Alex Lipton, Umberto Pesavento and Michael Sotiropoulos calculate probabilities of price movements given the level of book imbalance, and…
The white elephant of the trading book review
The Basel Committee’s fundamental review of the trading book raises some serious issues, but David Rowe argues its central proposed revision to the market risk capital regime is little more than a costly distraction
Incentives remain in banking book vs trading book choice
Regulators have attempted to address a flaw within Basel II that gave banks an incentive to hold assets in the trading book. But Basel 2.5 may have gone too far, and made it more attractive to place assets in the banking book instead. By Giovanni Pepe
Regulators should keep internal models
The Basel Committee on Banking Supervision is looking closely at the use of supervisor-approved internal models by banks, but the alternatives, such as a leverage ratio, are not a realistic option, argues Uwe Gaumert
OpRisk North America: Confusion remains between trading book and banking book definitions
International definitions of banks' trading book and banking book still woolly, keynote speaker Charles Taylor tells conference
The false promise of expected shortfall
The Basel Committee on Banking Supervision has proposed using expected shortfall instead of value-at-risk as the central metric for regulatory market risk capital. David Rowe argues this will be both ineffective and dangerous
Scotiabank: Enabling real-time credit analysis
IBM delivered a unified solution for measuring and managing counterparty exposures and CVA