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Podcast: Olivier Daviaud on P&L attribution for options

JP Morgan quant discusses his alternative to Greeks decomposition

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Revealed: the three EU banks applying for IMA approval

BNP Paribas, Deutsche Bank and Intesa Sanpaolo ask ECB to use internal models for FRTB

Intesa sanpaoloDeutsche bankEuropean unionBnp paribasDeutsche bankEuropean central bank ecbIntesa sanpaoloCapital requirementsInternal modelsNternal models approach imaMarket riskP ampl attribution testRisk managementIngle supervisory mechanism ssmStandardised approachesTrading book

Regulators FRTB estimates based on faulty premise – industry study

US market risk capital requirements could more than double if banks abandon IMA

International swapsDerivatives associationFinancial markets associationSecurities industryFederal deposit insurance corporation fdicFederal reserveOffice of the comptroller currency occInternational swaps and derivatives association isdaSecurities industry and financial markets association sifmaNited states usNorth americaBasel iiiOn modellable risk factors nmrfP ampl attribution testNternal models approach imaEnsitivities based approach sba

FRTB could put Indian banks at competitive disadvantage

Simplified approach could leave local banks with higher capital charges than foreign branches

Reserve bank of india rbiBasel committee on banking supervision bcbsMarket riskCapital requirementsBasel iiiCross border tradingP ampl attribution testEnsitivities based approach sbaSimplified standardised approachNternal models approach ima

FRTB managers face hard facts about risk factors

There are ways to reduce the capital charges caused by NMRFs, but they come at a price

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