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FRTB managers face hard facts about risk factors - Vimarsana News

FRTB managers face hard facts about risk factors

Published: November 20, 2023

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

Source: risk.net
Related Topics:
Basel Committee On BankingFundamental ReviewTrading BookBasel CommitteeBasel Committee On Banking Supervision BcbsOn Modellable Risk Factors Nmrf Nternal Models Approach ImaCapital RequirementsP Ampl Attribution TestMarket RiskMarket Risk ModellingData PrivacyExpected Shortfall Es Credit RiskEmerging MarketsHistorical DataUantitative Impact Study Qis Basis Risk
Party's over as more banks drop internal models for market risk - Vimarsana News

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

Published: November 13, 2023

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

Source: risk.net
Related Topics:
Basel Committee On Banking Supervision BcbsEuropean Banking Authority EbaTrading BookNternal Models Approach ImaStandardised ApproachesCapital RequirementsApital Requirements Directive CrdOn Modellable Risk Factors Nmrf P Ampl Attribution TestRisk ManagementRisk AppetiteBasel IiiInternal ModelsModel RiskModel ValidationIsk Weighted Assets Rwas Frisk MeasuresAlue At Risk Var Stress ScenariosExpected Shortfall Es Historical DataMarket RiskRisk FactorsRisk Sensitivity
Filling the gaps in Basel's interest rate risk measures - Vimarsana News

Filling the gaps in Basel's interest rate risk measures

Published: November 1, 2023

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

Source: risk.net
Related Topics:
Silicon Valley BankBasel Committee On Banking Supervision BcbsFederal Deposit Insurance Corporation FdicEuropean Banking Authority EbaFederal ReserveFirst Republic BankNited States UsInterest Rate RiskPillar 2Net Interest IncomeBanking BookCapital RatioExpected Shortfall Es Model RiskAlue At Risk Var Stress TestingPillar 1Conomic Value Of Equity Eve 2023 Banking CrisisAsset And Liability Management AlmRisk Management
As banks limit FRTB model use, outputs get more volatile - Vimarsana News

As banks limit FRTB model use, outputs get more volatile

Published: October 26, 2023

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

Source: risk.net
Related Topics:
International Swaps And Derivatives Association IsdaAssociation For Financial Markets In EuropeBasel Committee On Banking Supervision BcbsNorth AmericaExpected Shortfall Es Alue At Risk Var Stressed Value At Risk SvarTrading BookFinancial CrisisRussia Ukraine ConflictStandardised ApproachesNternal Models Approach ImaIsk Weighted Assets Rwas Market RiskRisk FactorsOn Modellable Risk Factors Nmrf
Podcast: Acerbi on backtesting ES and FRTB's patchwork rules - Vimarsana News

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

Published: June 26, 2023

Banque Pictet quant explains a new backtesting method for expected shortfall

Source: risk.net
Related Topics:
Banque PictetBalazs SzekelyCarlo AcerbiCentral BankBasel Committee On Banking RegulationBasel CommitteeBanking RegulationGoogle PodcastsBasel Committee On Banking Supervision BcbsAlue At Risk Var Expected Shortfall Es Frisk MeasuresP Ampl Attribution TestRisk Management