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When bonds struggle, so does alt premia – research
Ties between alternative risk premia and fixed income closer than appreciated
JP Morgan’s CVA charge jumps $203m in Q3
Median CVA capital charge for US G-Sibs was $2.1bn in third quarter
CECL fans and foes cross swords on Capitol Hill
Dispute over economic impact rages on despite agreement on capital relief
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Risk Quantum
Data insights, delivered daily
Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
Editors' choice
As Brexit looms, Mifid transparency faces the chop
EU law and equivalent UK draft threaten to split and undermine trade disclosure rules
Big Figure
VAR off
State Street and the US units of BNP Paribas and Credit Suisse all reported value-at-risk backtesting exceptions in the third quarter of the year, as a result of larger-than-expected trading losses. The US custody bank experienced one day during the three months to end-September in which trading losses exceeded its VAR model estimates. BNP Paribas USA incurred two breaches, while Credit Suisse Holdings (USA) suffered one.
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Comment
How to stress-test portfolios for Brexit and trade wars
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Our Take
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