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Using Regulatory Disclosures to Estimate a Bank’s Trading Book

Article Quant Q&A · Author: Bard
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Summary

The document asks how to estimate the size of a particular bank’s trading book using only its annual financial report. Its answer points to regulatory reporting requirements that distinguish trading book positions from banking book positions, suggesting that regulatory disclosures may help locate or infer the relevant amounts.

The response is very brief and does not identify which report, table, or measurement to use, nor does it explain how to combine disclosures into an estimate. It provides no worked example or evidence about a specific bank. As a result, it offers a useful starting point for financial statement research, but not a complete estimation method; the applicable regulatory framework and the bank’s own disclosure detail would need to be checked.

Key ideas

  • Regulatory reporting commonly separates trading book and banking book positions.
  • A bank’s regulatory disclosures may provide information useful for estimating trading book size.
  • The document does not specify which disclosures or calculations produce a reliable estimate.

Tags

Fixed incomeRisk management
Full text
# Trading book estimation


# Trading book estimation












Do you have any idea/hints how could I estimate the size of the trading book of a particular bank relying solely on its annual financial report? Any help would be much appreciated!

## Answer by AK88 (score 1)

https://quant.stackexchange.com/a/31704

Regulatory bodies usually require distinction between trading and banking book for all positions. Have a look at this page

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.