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Isda broadens FRTB carbon trading study to win over sceptics

New study shows risk weights too high for US markets, but data from 2008 still missing

International swapsEuropean unionDerivatives associationInternational swaps and derivatives association isdaBasel committee on banking supervision bcbsEuropean commission ecCouncil of the european unionNorth americaNited states usCarbon tradingMissions allowancesIsk weighted assets rwasStandardised approachesNternal models approach imaCapital floorCapital requirements

Harmonisation of FRTB data compliance requirements by local jurisdictions is crucial

Banks face uncertainty over changing responsibilities under the Fundamental Review of the Trading Book (FRTB), but potential jurisdictional divergence on

United kingdomCity ofFausto marsegliaBasel committee on banking supervisionEuropean banking authorityThomson reutersLondon stock exchange groupBasel committeeEuropean unionFundamental reviewTrading bookBanking supervisionCapital requirements regulationReuters consultingXchange traded products etpsNternal models approach ima

Lloyds IMA RWAs up 43% in run-up to Ibor switch

VAR multiplier and RNIV charges rose in 2021 on account of transition risk

Lloyds banking groupPrudential regulation authority praNited kingdom ukRisk free rates rfrsMarket riskIsk weighted assets rwasNternal models approach imaIsks not in var rnivStressed value at risk svarAlue at risk varIsk quantum

SA extends reach over EU banks market and op risk

Regulator-devised models have been capturing a bigger chunk of RWAs through the pandemic

European banking authorityEuropean unionEuropean banking authority ebaMarket risk modellingMarket riskOperational riskOperational risk modellingStandardised approachesNternal models approach imaDvanced measurement approach amaAsic indicator approach biaIsk weighted assets rwasBasel iiiInternal modelsIsk quantum

EU offers reprieve for fund-linked derivatives trades

Banks hope FRTB draft allowing fund managers to supply standardised inputs will cut risk weights

Basel committee on banking supervisionBasel committeeBanking supervisionFundamental reviewTrading bookEuropean commission ecBasel committee on banking supervision bcbsAssociation for financial markets in europeStructured productsCapital requirementsBasel iiiMarket riskNternal models approach imaStandardised approachesIsk weighted assets rwasEnsitivities based approach sba

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