
Errors In Derivatives Pricing Models Fuel Sfr 200m Trading Loss At UBS
MANAGEMENT & OPERATIONS
UNION Bank of Switzerland (UBS) has sacked four senior executives after its equity derivatives trading operation lost some 200 million Swiss francs ($140 million). UBS attributes the losses to errors in derivatives pricing models and changes in UK tax legislation.
The bank has completed an internal review looking into the SFr 200 million loss and is framing it as "one-off calculation error", says a spokesperson for UBS. The spokesperson adds that the bank is reviewing its risk management
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Regulation
Risk managers mull Basel-style climate standards
Risk Live: Splintered approach to stress-testing across jurisdictions “very, very worrying”, says risk expert
Forced CS merger casts doubt on use of resolution regimes
Risk Live: Spreads on European AT1 bonds still wider than before March bail-in
Regulators’ remorse: SVB and the case for IRRBB capital charges
Basel Committee chair among those who say Pillar 1 capital requirement could have helped control SVB risks
Improving efficiency and your financial crime compliance programme
The financial crime landscape is constantly evolving, and organisations are facing increasing pressure to stay compliant with rapidly changing regulations and combat financial crime effectively. At the same time, organisations must balance the need for…
Basel’s IRRBB shock scenario update hit by US crisis
Recalibration of shocks had been touted for Q3, but wider rethink may now cause delay
HKMA launches consultation on green taxonomy
Regulator could use proposal to assess progress of banks towards climate goals
After SVB downfall, EBA stress test seeks out unrealised losses
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
EU banks fear Brexit battle over FRTB internal models
Bank of England approach looks easier, but that may not make much difference to model uptake