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Subjects / Capital

Newsletter Jul/Aug 2007: SEC conducts ‘holistic’ trading book review

Simon Turmaine | August 29, 2007

NEW YORK – The concerns of the US Securities and Exchange Commission (SEC), over the adequacy of investment banks’ capital to cover their trading book risks were spelt out in early July by a senior regulator. Commissioner Annette Nazareth told a risk management conference in New York that there are, today, a variety of products and exposures exhibiting risks that may not be measured well by the widely-used value-at-risk (VaR) models. These include a range of securitised products and certain loan assets.

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