Articles by Lorenzo Migliorato
The VAR-centric models that never were
Often spotlighted, rarely dominant – VAR plays a surprisingly small role in most IMA stacks
Bucking Japan megabank trend, Norinchukin’s market RWAs spike 41%
Latest surge underscores challenge of adapting to FRTB
Unseasonal Q1 surge lifts US G-Sib scores to record highs
Latest systemic risk scores for JP Morgan, Citi, Goldman and Morgan Stanley could lead to extra 50bp to their respective capital surcharges
CRR III curbs charges for BPCE’s equity stakes
RWAs for subsidiaries outside prudential consolidation drop 82% after Basel revamp
Norinchukin trims slotting approach reliance, expands A-IRB scope
Bank’s models recover ground after Basel III curtailing
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The current market risk framework refuses to be superseded.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
UBS hit with $761m capital add-on for uncollateralised hedge fund lending
Finma imposes Pillar 2 buffer over Archegos-style exposures
JP Morgan’s equity VAR hit GFC levels in March
Bank blames now-matured client position for temporary risk surge
Wells Fargo’s commodity book hits record size after 36% surge
Notional growth far outpaces Wall Street heavyweights
CRE non-accruals still rising at Western Alliance and Valley National
Troubled CRE loans rise further in Q1 despite rate cuts and loan modifications
JP Morgan’s VAR limits blown twice during haywire Q1
Breaches add to the two regulatory backtesting exceptions sustained the previous quarter
BNP Paribas’s CVA risk charges swell 56% on Basel III overhaul
Impact of new formulas is largest yet for a G-Sib