Wind-down of bank trading books

Alessandro Santoni, Ghislain Rossignol and Richard Akhouen

No 316, Occasional Paper Series from European Central Bank

Abstract: This article focuses on some of the operational aspects of winding down a bank’s trading book portfolio and discusses the hidden exit costs that can sometimes exist. The article provides a deep dive on valuation principles and exit strategies currently considered by industry practitioners when designing a solvent wind-down plan. It also provides the reader with an overview of key underpinning valuation or pricing concepts, such as ‘fair value’, ‘realisable value’ and ‘solvent wind-down (SWD) value’. JEL Classification: G12, G13, G14, G15, G17, G18, G32, G33, G34

Keywords: bank’s trading book; crisis management; fair value; market risk; realisable value; recovery plan; resolution plan; solvent wind-down; solvent wind-down value (search for similar items in EconPapers)
Date: 2023-05
New Economics Papers: this item is included in nep-ban
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbops:2023316

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