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'Nightmare' of uncertainty plagues FRTB model applications

Shifting timetable and rule tweaks that could alter incentives dampen appetite for internal models

European-union
European-parliament
Federal-reserve
Deloitte
International-swaps-and-derivatives-association-isda
Kpmg
European-commission-ec
European-central-bank-ecb
Europe
Nited-kingdom-uk
Nited-states-us

Banks turn away from FRTB internal models in Europe

Drawbacks mean even fewer model approval applications planned than past ECB survey suggested

Basel-committee-on-banking-supervision
European-central-bank
Basel-committee
Banking-supervision
European-central-bank-ecb
Basel-committee-on-banking-supervision-bcbs
Europe
Frtb
Market-risk
Nternal-models-approach-ima
Apital-requirements-directive-crd

Why FRTB backtesting loves volatility, but hates hedges

Crucial P&L test for internal models easier to pass if price swings are large, or desks poorly hedged

Basel-committee-on-banking-supervision
Basel-committee
Banking-supervision
Basel-committee-on-banking-supervision-bcbs
Uropean-union-eu
Kpmg
Europe
Frtb
P-ampl-attribution-test
Market-risk
Capital-requirements

FRTB news and analysis articles

Latest FRTB articles on risk management, derivatives and complex finance

Japan
United-states
Russia
United-kingdom
France
French
Russian
Basel-committee-on-banking-supervision
Credit-suisse
European-commission
Asia-risk-congress

EU eyes fix to FRTB's capital asymmetry for govvies

Banks say French presidency proposal would see PD floor slashed for sovereign bonds under IMA

France
French
European-council
Council-of-the-european-union
Basel-committee-on-banking-supervision-bcbs
Europe
France
Sovereign-bonds
Frtb
Nternal-models-approach-ima
Standardised-approaches

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