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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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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

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Filling the gaps in Basel s interest rate risk measures

Reverse stress-testing or VAR may work better than existing outlier tests, but are hard to manage

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As banks limit FRTB model use, outputs get more volatile

Risk managers say selection of stress window becomes more sensitive if fewer desks are on IMA

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Podcast: Acerbi on backtesting ES and FRTB s patchwork rules

Banque Pictet quant explains a new backtesting method for expected shortfall

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