Loss
Modeling very large losses. II
This paper presents a means to estimate very large losses by supposing the event is the result of a succession of factors and estimating the probability of each factor.
Erste, RBI top up provisions with €258m in overlays
Austrian lenders remain reliant on model supplements as energy squeeze looms
Barclays frees up £4.5bn RWAs after overissuance clean-up
The bank unwound hedges that safeguarded its buyback of mis-sold US notes
As interest rates surge, bankers fret over last year’s models
IRRBB modellers trying to predict client behaviour have little relevant data to fall back on
Barclays, Deutsche, Credit Suisse take $437m hit on leveraged loans
Higher interest rates eroded value of facilities stuck in pre-syndication during Q3
BNY, State Street took $6.5bn fair-value hit to bonds in Q3
Eroding prices of RMBSs and govies keep widening unrealised losses
Morgan Stanley’s VAR averaged $61m in Q3
Trading risk indicator surged 33%, second-hottest reading since 2013
Bailed-out Uniper suffered €14bn derivatives markdown in H1
Company cut value of gas forwards contracts due to risk of reduced deliveries from Russia
EU banks add overlays as crises evade modelling
Lenders buttress provisions against unpredictable fallout from Russia's invasion of Ukraine
JSCC’s bond and IRS units hit by almost 200 breaches
Q2 volatility triggered some of the largest initial margin breaches ever reported by the CCP
BoE’s planned procyclical capital hike bewilders banks
Some doubt regulator will go through with buffer hike while forecasting recession
Credit checks, what credit checks? How crypto lending ate itself
Collapse of hedge fund Three Arrows Capital exposes “sloppy and irresponsible” credit standards among crypto lenders
LME member default fund contribution jumps 89%
Following record-breaking margin breach in Q1, the CCP plumped up its line of defence
JP Morgan’s VAR multiplier increases following Q2 breach
Citi also reported one backtesting exception but kept VAR-based market risk capital requirement flat
Net-zero pledges bring big unknown for credit risk
Uncertainty on how governments plan to curb emissions adds political dimension to credit quality assessments
Rabobank’s shaky loans up 35% on emissions cut plans
Bank says Dutch government proposal to reduce pollution from livestock farming risks making loans unviable
Allianz, Generali post €52bn in fair value losses in H1
Bond portfolio values crash as equities tailwinds fades
Commerz’s VAR multiplier ratchets up after H1 breaches
Bank dodged increase in market RWAs by rebalancing to a lower-risk trading portfolio
Fed ‘tailoring’ led to larger, less capitalised regional US banks
Lenders freed from toughest requirements in 2018 grew balance sheets but saw capital ratios slip
Foreign banks outperform US peers on DFAST
Intermediate holding companies reported higher post-stress capital and leverage ratios under the Fed’s severely adverse scenario
Fair value gains give JP Morgan DFAST edge
Bank was only one to record bigger capital lift from AOCI by end of test’s horizon
Options expiry triggered $135m liquidity shortfall at NSCC
The CCP collected supplemental liquidity deposits six times during the first quarter
BofA, Citi among hardest hit in latest Fed buffer review
Five out of eight US systemic banks face higher stress capital buffer add-ons
US banks underestimate loan losses in Fed stress test
Systemic lenders predict 34% lower hit to their loan books in latest DFAST exercise