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ETFs, capital arbitrage and Morgan Stanley

22 January 2017Banksderivative assets, exchange-traded funds, high yield bonds, incremental risk charge, Market RWAs, Morgan Stanley, securities financingNick Dunbar

After making dramatic cuts to its balance sheet and capital requirements, Morgan Stanley is boosting returns in fixed income. Is the bank using bond ETFs for regulatory capital arbitrage?

JPMorgan vs. Fukushima

30 August 2013Articles, Banksbanking, Basel rules, comprehensive risk measure, incremental risk charge, JP Morgan, operational risk, regulatory VaRNick Dunbar

After JP Morgan’s London Whale fiasco, the new trading book risk measures introduced by Basel after the financial crisis began to be supplanted by operational risk capital.