Vlad Ender
21.9.2016
From September 1, the new rules for margining uncleared derivatives are live – at least for US and Japanese companies (EU delayed the implementation earlier this year). The rules now cover only the initial margin, but […]
12.9.2016
FRTB (or Minimal Capital Requirements for Market Risk, as BCBS would like us to know it now that it’s past the review stage, although I will keep using FRTB) has clearly non trivial impact on how […]
12.9.2016
The last part of the new market risk regulation are rules capitalising CVA risk. Hotfix of Basel 2.5 CVA is where most of the losses suffered by the banks in 2008-2009 happened, yet Basel 2 had […]
24.8.2016
In the last post I looked at the new overall market risk regulation, and its split into Trading Book (TB) and CVA. In this note I will focus on FRTB-TB. The major changes that FRTB-TB brings can […]
24.8.2016
For the last few years, Basel Committee for Banking Supervision was trying to finish the largest regulatory overhaul in living memory – Basel 3, as a replacement of Basel 2 that was found wanting in the crisis […]