Stressed value-at-risk (SVAR)
Isda study reveals size of Covid’s trading book capital hike
Procyclicality led to aggregate 25% rise in market, CVA risk-weighted assets
UBS market RWAs dropped 25% in Q3 as VAR cooled
High value-at-risk outputs dropped out of averaging window in Q3
VAR spasms heap market risk charges on EU G-Sibs
VAR-based charges increase 94% on end-2019
JP Morgan shook up market risk stress tests in Q2
Bank switched stressed VAR historical periods 60 times
Stuart Lewis, Deutsche’s survivor, confronts Covid-19
CRO talks loan reserves, VAR breaches, and the lessons of a lurid past
Eurex’s risk chief on the need for boring models
Banks need stability and predictability of VAR-based margin when volatility spikes, says clearing house CRO
Covid tumult pushed VAR capital charges up 72% at US G-Sibs
JP Morgan’s charge increases 148% quarter-on-quarter
SocGen’s trading VAR unmoved by wild markets
Though market RWAs soared, VAR dipped 7% quarter-on-quarter
PRA relief blunts market risk surge at Barclays, StanChart
Without temporary measures, market RWAs would have been 18% higher at StanChart
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
Eurozone banks fear market risk capital hike due to Covid-19
Hopes that ECB will fix double-counting as VAR breaches rise on market volatility
VAR models at odds on forex, commodities, credit risks – EBA
Interquartile distribution of VAR outputs highest for small banks, watchdog finds
Six EU banks need to fix market risk models – EBA
Nineteen firms underestimated capital requirements versus benchmarks
JP Morgan takes axe to tough-to-model trading risks
US G-Sibs see market RWAs fall 4.1% quarter on quarter
Model tweaks lift Danske’s market RWAs 30%
Tough trading quarter could also have pushed VAR-based charges higher
RBC expands market risk model scope
Moving assets off standardised approach contributed to 6% quarter-on-quarter RWA decline
At US G-Sibs, market RWAs fall $18bn in Q2
Fall in VAR-based measures of risk behind the decrease
VAR breaches force capital add-on at StanChart
Value-at-risk capital requirement soars 38% to $161.8 million quarter-on-quarter
Over four years, US banks blitz correlation trading risks
JP Morgan’s CRM charge has fallen 94% since Q1 2015
EU’s model study finds problems with bank VAR methods
Banks surveyed by the ECB had an average of 32 issues with their market risk models
VAR model under scrutiny as RBS’s breaches spike
Excessive backtesting exceptions lead to increase in capital multiplier
One-quarter of market risk not modellable
US banks have largest portion of capital requirement set by the SA
Regulators demand action on rogue market risk models
Thirteen banks out of 49 face remedial action
US banks’ internal stress tests vary
Choice of stress period affects market risk capital requirements