Market Risk

12.9.2016

FRTB impact on business strategy

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

New market risk regulations – FRTB-CVA

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

New Market Risk Regulations – Trading Book

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

New Market Capital Rules are here (finally)

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 […]