Market risk
Will the UK’s FRTB time warp turn into a horror show?
UK regulator’s proposed transition year in 2027 could double banks’ implementation work
SEB’s market risk add-on swells 153% in Q2
Temporary adjustment more than doubles as internal model change awaits sign-off
Bank of England floats ‘quasi-IMA’ in FRTB standardised method
Dealers welcome new route to capitalising residual risk, but it could fragment global ruleset
Market shocks push IRC to records at EU banks
Component for default and migration risk hits new highs at several dealers
A dynamic method-of-moments copula model approach for market risk estimates
The authors propose a method-of-moments copula technique for estimating asset portfolios' market risk, demonstrating a significant reduction in copula estimation time.
Standard Chartered launches spot crypto market-making
Bitcoin and ethereum to trade off the bank’s FX desk, but questions remain on capital treatment
UniCredit’s market RWAs would inflate 75% under FRTB
Pro forma figures for capital floor give first look at de-modelling impact on a major EU dealer
Softer DFAST market shock favours Goldman but confounds comparability
Tweak to trading book test reveals widening gap between bank and Fed loss forecasts
Japan regulator calls on laggards to keep Basel promise
After EU and UK delays – and amid fears of US divergence – Japan is keeping a close eye on its peers, says Shigeru Ariizumi
StanChart market RWAs surge to record $37bn
SVAR jump alongside higher interest rate and FX risk behind Q1 spike
Why Iran tensions failed to rattle markets
Despite initial fears, traders say risks were signposted and investors had deleveraged after April
US banks’ VAR shortfalls are wrapped in a black box
Public disclosures only allow crude approximations of loss size and timing
The VAR-centric models that never were
Often spotlighted, rarely dominant – VAR plays a surprisingly small role in most IMA stacks
Tariff turmoil tests limits of market risk playbooks
Risk Live: Volatile markets reveal need for quicker data and more dynamic risk limits
Risk managers say second line needs to identify its value-added
Risk Live: Risk functions must see themselves as problem-solvers, but first line should share responsibility
Bucking Japan megabank trend, Norinchukin’s market RWAs spike 41%
Latest surge underscores challenge of adapting to FRTB
Barclays takes selective approach to FRTB IMA applications
Risk Live: UK bank is applying for approval for parts of its portfolio most likely to pass approval tests
The IMA map: charting market risk capital under Basel 2.5
The current market risk framework refuses to be superseded. Risk.net dissects banks’ disclosures to explore how trading book capital requirements have evolved
JP Morgan’s equity VAR hit GFC levels in March
Bank blames now-matured client position for temporary risk surge
Two years after SVB, EVE transparency remains sluggish
Only three US banks began publishing EVE figures since 2023
Morgan Stanley’s RWAs top $500bn after biggest jump since 2020
Derivatives and SFTs propel bank’s RWAs to record high
JP Morgan’s VAR limits blown twice during haywire Q1
Breaches add to the two regulatory backtesting exceptions sustained the previous quarter
Markets are mispricing tariff uncertainty, say academics
Johns Hopkins economists warn of risk from changes to the ‘rules of the game’
SVAR surges gird Europe’s trading books in H2 2024
UniCredit and UBS lead pack with hottest gauges in half a decade