Fundamental Review of the Trading Book (FRTB)

Fundamental Review of the Trading Book (FRTB)

Contracts back on the radar – Counterparty Credit Risk   The 2007-8 global financial crisis is starting to dim into distant memory, but such is the slow pace of regulatory change that initiatives inspired by these events are still only just coming to...
Regulatory Capital / IMM

Regulatory Capital / IMM

The ECB recently published its assessment methodology for banks using the internal model method (IMM) for calculating counterparty credit risk and credit valuation adjustment risk.  Given the very large differences IMM has on regulatory capital versus standard...