Risk Quantum/UniCredit
UniCredit’s VAR cools as Commerz swaps convert to shares
Average reading down by over a third after Italian bank settles part of its stake in the German lender
SVAR surges gird Europe’s trading books in H2 2024
UniCredit and UBS lead pack with hottest gauges in half a decade
UniCredit tops Europe’s VAR breach leaderboard in 2024
Swedbank, Commerzbank and SocGen among model users repeatedly blindsided by volatility
Commerzbank wager swells UniCredit’s modelled RWAs by 62.5%
Total return swaps on German shares inflate VAR and SVAR components
UniCredit slashes CCP exposures by nearly 40% in a year
Lower exposures at default for exchange-traded derivatives the main driver behind overall drop
UniCredit-Commerz merger could spawn sixth-largest EU G-Sib
Analysis of banks’ risk indicators suggest combined entity could have larger systemic footprint than ING and BPCE
False start: 13 EU banks miscalculate new GAR coverage metric
Unclear instructions, late guidance and poor font choices among reasons behind diverging interpretations from EBA’s template
EBA’s correlated currencies shake-up raises EU banks’ charges
Capital requirements for FX risk double after EUR/USD and other 196 pairs deemed no longer in sync
First green asset ratios come in low as EU banks protest methodology
ABN Amro only bank to break double digits in a sample of 23 lenders
EU banks’ incremental risk charges soared in volatile H2
Charge for traded-bond default and downgrade risk hit 10-year high at BNP Paribas