comparemela.com

Latest Breaking News On - P ampl attribution test - Page 2 : comparemela.com

Party's over as more banks drop internal models for market risk

At least three systemic banks in Europe intend to ditch IMA for capital requirements

Basel-committee-on-banking-supervision-bcbs
European-banking-authority-eba
Europe
Frtb
Trading-book
Nternal-models-approach-ima
Standardised-approaches
Capital-requirements
Apital-requirements-directive-crd
On-modellable-risk-factors-nmrf-
P-ampl-attribution-test

Podcast: Acerbi on backtesting ES and FRTB's patchwork rules

Banque Pictet quant explains a new backtesting method for expected shortfall

Geneva
Genè
Switzerland
Russia
Budapest
Hungary
Russian
Banque-pictet
Balazs-szekely
Carlo-acerbi
Central-bank
Basel-committee-on-banking-regulation

EU banks balk at new market risk models backtest

EBA proposals introduce additional expected shortfall backtest for market capital risk models under FRTB

European-banking-authority
European-union
European-banking-authority-eba
Basel-committee-on-banking-supervision-bcbs
European-central-bank-ecb
Europe
Frtb
Market-risk
Trading-book
Capital-requirements
Apital-requirements-directive-crd

EU banks fear Brexit battle over FRTB internal models

Bank of England approach looks easier, but that may not make much difference to model uptake

United-kingdom
Prudential-regulation-authority-pra
Basel-committee-on-banking-supervision-bcbs
European-banking-authority-eba
European-commission-ec
Europe
Nited-kingdom-uk
Equity-derivatives
On-modellable-risk-factors-nmrf-
Frtb
Market-risk

Banks find new uses for discarded FRTB models

Much-maligned IMA models are being upcycled and repurposed for internal risk management

Basel-committee-on-banking-supervision
Basel-committee
Banking-supervision
Fundamental-review
Trading-book
Basel-committee-on-banking-supervision-bcbs
International-swaps-and-derivatives-association-isda
Association-for-financial-markets-in-europe
Europe
Frtb
Internal-models

vimarsana © 2020. All Rights Reserved.