capital requirement

SCI Risk Transfer & Synthetics Seminar

Monday, March 5, 2018
SCI’s Synthetic Securitisation Seminar provides an in-depth exploration of how synthetic securitisation is being utilised to transfer risk, achieve capital relief and create bespoke investment opportunities in the post-financial crisis environment. ... read more

Risk Training: FRTB Course

Friday, January 19, 2018
As the FRTB implementation date looms ever closer, banks and regulators are still debating the rules and iterations of the regulations. Risk's training course returns to New York to help provide delegates with practical knowledge to better... read more

Risk Training: Fundamental Review of the Trading Book

Friday, July 14, 2017
The Fundamental Review of the Trading Book (FRTB) has been a difficult topic for both banks and regulators over the past few years. With implementation set for 2019, many companies are still establishing what their FRTB strategy will be, as well as... read more

FRTB: Strengthening Market Risk Practices?

Monday, December 19, 2016

by Quantifi and Kauri Solutions

The Basel Committee’s overhaul of the market risk capital framework marks a major change to previous versions. FRTB is likely to have a substantial influence in the way firms are organised, and their approach to measuring and reporting risk. For example, at desk level there will be a requirement to monitor SA capital in addition to IMA. Banks need to decide whether the costs associated with operational and IT change is justified. Are more complex products likely to pay for themselves given the majority of the life of a trade will need to be calculated with SA as opposed to IMA? What is the impact of CVA charges?

Comparing Alternate Methods for Calculating CVA Capital Charges Under Basel III

Monday, January 25, 2016

co-authored by Jon Gregory, Solum Financial Partners

The global financial crisis brought counterparty credit risk and CVA very much into the spotlight. The Basel III proposals first published in December 2009 introduced changes to the Basel II rules and the need for a new capital charge 'CVA VaR' against the volatility of CVA. There are two ways for banks to compute CVA VaR, so-called standardised and advanced methods, which depend on their current regulatory approval with respect to other aspects. Furthermore, there is the potential to reduce the capital charges via eligible hedges. This whitepaper explores the capital charges under the two regimes and the capital relief that can be achieved.