Will UMR lead to a further material shift to clearing?
In my previous post Counterparty Risk: Some Way to Go for Derivatives, I concluded that uncleared OTC counterparty risk is bigger than the 80% cleared traded notional volumes might imply. Of all counterparty risk about two thirds (65%) or more is uncleared and about half (49%) or more is linear delta. A lot is riding […]
FRTB Risk Factor Eligibility Test (RFET)
In January 2019, the Basle Committee on Banking Supervision (BCBS) revised the 2016 market risk framework, generally known as the Fundamental Review of the Trading Book (FRTB) to address design and calibration issues and to provide further clarification. One of the topics of interest is an improved criteria for the identification of modellable risk factors […]