Historical data
Capital One changed SVAR window 24 times in Q1
Since 2020, the lender updated its chosen stress period dozens of times each quarter, far more frequently than peers
Danske, Deutsche and PNC pin SVAR to Covid-19
Most global banks continue to use the global financial crisis to stress-test their portfolios
JP Morgan leads US banks on surging VAR capital charges
Requirements connected to commodity positions jumped 426% in the first quarter
Deutsche’s SVAR window update adds €2.2bn to RWAs
First-quarter surge comes after four consecutive reductions
Banks tout CCAR-style stress tests for emergent risks
Extreme-but-plausible scenario planning is being applied to geopolitical events such as Ukraine conflict
US unit of Barclays close to a VAR breach in Q4
Largest loss-to-VAR ratio at the firm was highest among 10 US intermediate holding companies
Banks balk at SEC backloading rule
Reporting requirements for expired security-based swaps “not justified”, dealers say
Applying scenario analysis to climate risk
Matthew Lightwood, director, risk solutions at Conning, discusses the application of stochastic modelling with scenario analysis to quantify climate risk in a portfolio
Quant funds tackle chronic overfitting in crypto strategies
Firms adapt backtests and tread lightly to address “huge” overfitting risk, magnified by scarce data
Citi leads US banks in shrinking market risk
First aggregate drop in capital charges stemming from market risk since mid-2020
BNY Mellon incurred a VAR breach in Q2
The highest losses-to-VAR ratio was 145.75%, in the first backtesting exception reported by the bank since 2018
Goldman’s market RWAs grew $14.9 billion in Q1
The increase was largely due to higher VAR and SVAR measures
Fake data can help backtesters, up to a point
Synthetic data made with machine learning will struggle to capture the caprice of financial markets
In fake data, quants see a fix for backtesting
Traditionally quants have learnt to pick data apart. Soon they might spend more time making it up
Model misfires raise questions over training data
Quants wrestle with how far into the past their machine learning models should peer
Factoring in Covid turmoil amped Bank of America's VAR in Q3
Value-at-risk averaged $109 million over three months to end-September
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
Funds try to predict behaviour of mystery investors
New EU rules on liquidity stress-testing force fund managers to hunt out clues on investors
Top 10 op risks 2020: data compromise
Hackers, thieves and wobbly in-house data management keep this category near the top of the list
Fuzzy data stalls ESG alpha hunt
Quants searching for ESG signals have reached very different conclusions. Mostly they blame the data
Signing the Libor fallback protocol: a cautionary tale
As Orwell’s Room 101 beckons for Libor publication, muRisQ Advisory’s Marc Henrard warns of a potential pitfall in the fallback protocol
Cat risk: why forecasting climate change is a disaster
Forecasters are poles apart on climate-driven catastrophes; insurers fear worse ahead