表达爱情的话语

The scale of the surprise $2bn loss at JPMorgan Chase last week is accelerating plans by global regulators to force banks to improve their trading risk models – a move that could sharply push up costs and capital requirements for big banks worldwide.

While initial reactions to the JPMorgan loss focused on how it could reshape the US debate over implementing the Volcker rule ban on proprietary trading, the misstep by one of the world’s largest banks could have far broader consequences.

The Basel Committee on Banking Supervision, which sets global rules, has already sought a replacement for value at risk – the main measure of potential trading losses – and looked at additional capital requirements to cover potential damages not adequately measured by existing models.

That project was seen as a long-term effort when it was announced two weeks ago, but it has since gained urgency and could be pushed through much quicker, according to three people familiar with the committee’s thinking.

“There are shortcomings to VaR which suggest alternate measures like ‘expected shortfall’ are worth exploring, and regulators need to look harder at which risks are modelled and which ones might be too hard to model,” one of them said.

VaR measures how much banks could lose on their trading on most days. Expected shortfall focuses on capturing risk from rare but awful events.

A senior bank regulator from one of the 27 countries on the Basel committee said the JPMorgan loss could galvanise those members who also want to scrap the current practice of different, often lower, capital requirements for assets held for trading compared with those in the banking book.

As part of the loss announcement, JPMorgan revealed it was sharply increasing the VaR figure for the chief investment office where the trading errors occurred. After reporting an average daily VaR of $67m for the CIO in the first quarter, JPMorgan said it would almost double the figure to $129m.

The bank said it was reverting to an older version of its VaR metric after having switched to a new model earlier in the year.

来自： 文章地址: