Loss
US banks see highest number of loss-making days in six years
Wells Fargo, Citi and JP Morgan the worst performers in record-breaking Q4
Top US banks record 14 VAR breaches
JPM, Morgan Stanley, BofA, Citi, Goldman and State Street wrong-footed in volatile end to 2021
JP Morgan incurs eight VAR breaches, triggering capital hike
Largest trading loss in Q4 reached 207% of the bank’s VAR limit
Modeling multivariate operational losses via copula-based distributions with g-and-h marginals
In this paper, the authors propose a family of copula-based multivariate distributions with g-and-h marginals.
Nordea’s trading VAR keeps climbing amid rate hike jitters
Trading risk gauge surged 17% through Q4
ING’s interest rate VAR spiked in Q4
Potential-loss indicator for rates trading peaked at €20 million
UBS incurred a VAR breach in Q4
The latest larger-than-expected loss – the fourth in 2021 – leaves the bank one step closer to higher capital requirements
Deutsche’s op RWAs down 10% in 2021
‘Bad bank’ unwinding pushed op risk at multi-year low
Market reversals trigger losses for intraday quant strategy
Equity trend strategies designed to hedge against market drops have suffered in recent turmoil
Top US banks released $18.5bn of credit reserves in 2021
JP Morgan reversed over $6bn of PCLs, the most of the group
Bank of America’s VAR drops 19% in Q4
Average one-day trading VAR falls to lowest point since Q1 2020
New model simplifies loan-loss forecasts. Some say it’s too simple
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
NSCC’s liquidity pool twice short of payment obligation in Q3
The CCP reported a shortfall in its qualifying liquid resources for the third consecutive quarter
US unit of TD Group close to a VAR breach in Q3
Largest loss-to-VAR ratio at the firm was highest among 10 US intermediate holding companies
Wells Fargo records highest number of loss-making days in six years
On average, the eight top US banks reported 29 loss-making days in Q3
Bank of America, BNY Mellon incur VAR breaches
The second consecutive backtesting exception for the custodian bank brings it closer to a higher multiplier
ABN Amro’s market risk drops as VAR falls 53%
Total market RWAs down 4% quarter on quarter
Neural networks show fewer false positives on bad loans – study
Machine learning method edges regression techniques in linking nonlinearities among delinquent borrowers
Approximating lifetime expected credit loss
Credit rating and collateral value's changes have a measurable impact on creditworthiness
NSCC caught $5 billion short in June
Worst-case losses would have wiped out the CCP’s available liquid resources on two separate days in Q2
StanChart’s CVA charge up 19% in Q2
Higher capital requirements also at Barclays, Lloyds and NatWest, with HSBC the only outlier among top UK banks
A new metric for liquidity add-ons: easy as ADV, but better
Proposed measure allows brokers to calculate stable, stock-specific liquidity add-ons
JP Morgan flirts with VAR limits
Largest trading loss in Q2 reached 96% of bank’s VAR limit
EU stress tests: BNP Paribas would bear brunt of trading losses
Losses from held-for-trading balance sheet would wipe out fair value book gains