Market risk
Navigating volatility, AI and geopolitical uncertainty
Senior market risk executives debate whether calm markets mask deeper fragilities as AI reshapes stress-testing and governance
The new rules of market risk management
Amid 2020’s Covid-19-related market turmoil – with volatility and value-at-risk (VAR) measures soaring – some of the world’s largest investment banks took advantage of the extraordinary conditions to notch up record trading revenues. In a recent Risk.net…
ETF strategies to manage market volatility
Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…
FRTB spurs data mining push at StanChart
Bank building “single golden source” of trade data in a bid to lower NMRF burden
Asian privacy laws obstruct FRTB data pooling efforts
Bank scepticism and regulatory hurdles likely to inhibit cross-border information sharing
Seizing the opportunity of transformational change
Sponsored Q&A: CompatibL, Murex and Numerix
Doubts grow over US FRTB implementation
Fragmented roll-out would price European banks “out of the market”
Basel group shake-up has banks hoping for FRTB changes
Barger and Durand replaced by BoE's Nesbitt; banks want fresh look at P&L test
Basel takes flak over FRTB impact assessment
Market participants say capital hit has been underestimated
Inconsistent FRTB model guidance vexes dealers
Risk models pulled in opposite directions by P&L attribution test and non-modellable risk factors
FRTB: Basel guidance on backtesting frustrates dealers
Dealers blast “illogical” carve-outs for backtesting exceptions
FRTB survey: banks fear high bar for P&L test
One bank expects all of its desks to fail the P&L attribution test
FRTB data pooling crawls into action
Dealers voice concerns on data pooling as industry initiative to model risk factors faces significant challenges
The P&L attribution mess
FRTB model approval regime dogged by confusion and controversy
Brexit or Bremain: looking for clues in bubble analysis
Crisis analysis model suggests rates and credit markets see danger
Fed data dependency backfires
Past year has seen huge change in formation of rate expectations
Internal model use may decline under FRTB, banks say
"The jury is still out on whether internal models are worth the effort" – HSBC's Jenkins
The FRTB data management challenge
Sponsored forum: Asset Control
Banks seek to counter FRTB internal model add-on
Parallel shifts and trading desk reshuffles mooted as fix for non-modellable risk factors
FRTB packs bigger-than-expected capital punch
Industry study challenges regulators' estimate of a 40% capital increase
IFC risk management directors wrestle with strong dollar
Weak emerging markets and commodities downturn are also posing a challenge