Market risk
Goldman, BBVA and TD Group incur VAR breaches in Q3
US unit of TD Group endures four breaches in three months to end-September
Banks warn of trader crunch at CCP default auctions
Risk USA: dealers hope for more cross-CCP fire drills
FRTB costs force banks to weigh IMA desk by desk
Risk USA: Some desks “may not be able to pass these more rigorous standards”, says Morgan Stanley FRTB lead
Model tweaks lift Danske’s market RWAs 30%
Tough trading quarter could also have pushed VAR-based charges higher
Interest rate, credit risk push BNP Paribas’ VAR up 25%
French bank also reported a VAR breach in Q3
VAR breaches push NatWest Markets’ RWAs higher
Turbulence in rates behind higher market risk charges
Stress-testing to improve strategic decision‑making
Banking regulators remain focused on expanding and developing the range of stress-testing regimes across the globe to maintain stability, monitor emerging risks and avoid another financial crisis. Here, a forum of industry leaders discusses the evolution…
Double trouble: don’t blur FRTB deadlines, warns ECB
Ignoring reporting model deadline could muddy capital approval cut-off
At UBS, market risk charge falls following model updates
Market RWAs dropped on the quarter, even though risk levels increased
Best CVA practices in Japan
At a recent roundtable in Tokyo, banks and regulators discussed progress on credit valuation adjustment (CVA). While, in many respects, the work towards implementing best practices in the country is on track, challenges remain in resourcing and…
UK banks accelerate RWA increases in Q2
Market and operational RWAs return to growth after shrinking in Q1
Basel output floor to bind 29% of big banks
But risk-based capital requirements would constrain the largest number of international lenders
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…
Basel III capital shortfall estimate drops by €9 billion
Lower projected credit and market risk capital requirements and model output floor drive reduction
European FRTB proposals spark XVA overload fears
Banks warn of overly complex revaluation process and heightened risk of backtest fails
How banks rode out the EU stress tests’ market shock in 2018
During the last round of tests, projected trading portfolio losses sapped 89 basis points off EU banks’ aggregate CET1 ratio
Floating start date for 2020 stress test alarms EU banks
Regulator proposal could lead to less reliable market risk data, critics warn
Libor transition and implementation – Covering all bases
Sponsored Q&A
RNIV charges account for big chunk of Swiss banks’ capital
At UBS, 37.5% of its market risk capital requirement was for risks-not-in-VAR
Industry expects US FRTB proposals by year-end
Fed likely to co-ordinate progress with EU, which may also accelerate its timetable
Backtesting expected shortfall: mission accomplished?
A rigorous backtest for ES cannot exist, but a good approximation might do the job
Revealed: FRTB impact three times higher than expected
Undisclosed Isda study finds capital hike outweighs previous Basel Committee estimate
The minimally biased backtest for ES
Acerbi and Szekely present a backtest for expected shortfall
Global banks fear Hong Kong frontrunning FRTB
Local subsidiaries of EU and US banks may be forced to adopt models before their parents