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zequant
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Posts: 10
Joined: December 5th, 2019, 7:50 pm

Hypothetical Portfolio Exercises

December 7th, 2020, 12:21 pm

When regulators (e.g. EBA) do HPEs, they typically just publish the list of instruments and position sizes they want institutions to consider, Does anybody know if they ever publish actual portfolio values (e.g. calculated off some representative/official market data, or as submitted by participating banks, etc)?

Thanks 
 
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DavidJN
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Joined: July 14th, 2002, 3:00 am

Re: Hypothetical Portfolio Exercises

December 7th, 2020, 3:29 pm

The HPEs are used to, among other things, inform regulators about marked inconsistencies in the treatment of RWAs across firms. As a practical matter, the major impediments to publishing the details of HPEs are the restrictions the data vendors have placed on the use of such data. Redistribution is either prohibited or extremely expensive. One cannot generally even buy such data anymore, one can only lease it from the vendors. Data prices rose dramatically dramatically after the FRTB announcements, imagine that!
 
zequant
Topic Author
Posts: 10
Joined: December 5th, 2019, 7:50 pm

Re: Hypothetical Portfolio Exercises

December 9th, 2020, 9:14 pm

Interesting, thanks. I was hoping they could at least publish derived values (e.g. total portfolio value rather than components), but it sounds like even that is not going to happen.