Market risk
Wells Fargo’s VAR spiked in Q4
Interest rate VAR increased to $211 million in last quarter of the year
SOFR discounting – Analysing the market impact
The switch to secured overnight financing rate (SOFR) discounting brings several complex issues and is impacting market practices. Ping Sun, senior vice‑president of financial engineering at Numerix, discusses the key issues, such as the differences…
HSBC to reallocate $100bn of RWAs in shake-up
Global banking and markets division to take brunt of cuts
An internal default risk model: simulation of default times and recovery rates within the new Fundamental Review of the Trading Book framework
This paper presents a new default risk model for market risk that is consistent with these requirements. The recovery rates follow a waterfall model that is based on a minimum entropy principle.
Fed’s stress tests to gauge banks’ leveraged loan risks
CLOs to suffer “severe corrections” under 2020 scenario
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
BofA nabs top market risk quant from Deutsche
Move for senior risk analytics exec comes as go-live for FRTB approaches
At UBS, asset cull drives down RWAs
Final quarter of 2019 saw risk-weighted assets fall $5.4 billion
Haitong taps NLP to inform collateral coverage
Hong Kong broker scours news and blogs in bid for better corporate signals in China’s opaque markets
Morgan Stanley unruffled by VAR model update
Quiet last quarter of 2019 saw average VAR down to $38 million
On eve of Brexit, PPF’s chief risk officer isn’t too worried
Stephen Wilcox talks about getting pensions paid without the benefit of controlling ‘UK Plc’
HSBC leads EU banks on VAR measures
In aggregate, IMA risk exposures focused on traded debt
EU banks pare back commodities risk
Risk-weighted assets for commodities trading positions under standardised approach fall almost 30%
At UK stress test banks, loan-loss estimates up £8bn in 2019
Impairments estimated to cut 5.7% off of the banks’ aggregate CET1 capital ratio
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
Bank risk manager of the year: HSBC
Risk Awards 2020: New market risk system proves its worth in a year of emerging market blow-ups
Credit valuation adjustment wrong-way risk in a Gaussian copula model
In this paper, we present an analytical expression for CVA with WWR under the assumption of the lognormally distributed trade value.
FRTB to double market RWAs of EU banks
Risk-weighted assets across 44 banks to increase 105% on average
Final Volcker rule spurs rethink on FRTB trading desks
Regulators encourage structural alignment between the two rules, but hurdles remain
Goldman leads US banks on trading VAR, but not on revenue
NY-based dealer makes $9.1bn trading revenue year-to-date to JP Morgan’s $18.7bn
Technology vendor of the year: Murex
Risk Awards 2020: Firm bets heavy R&D spend will keep it ahead of shifting client needs
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
G-Sibs eye simpler market risk calculations in Hong Kong
HKMA may need to ease rules on NMRFs to incentivise use of internal models