Market risk
Goldman’s VAR drops 20% in Q4
Retreat led by commodities and interest rate risk
Collateralised exposure modelling: bridging the gap risk
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
US banks’ loss-to-VAR ratios fell in Q3
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
Standardised market charges rose faster at IMA users in H1
Market convulsions and structural FX hedge crackdown felt less acutely at SA-only banks, finds EBA data
Fragmented rules muddy Asian FRTB implementation
Banks and vendors warn risk factor data may not be usable across different jurisdictions
How risk managers can stop the FTX infection from spreading
Segregation and transparency can save investors from imploding crypto trading venues
RBI’s VAR gauges hit new record
Banking and trading book risk rose in Q3 amid shifts in risk factor mix
Crédit Agricole VAR hits highest since 2010
Trading risk gauge rose as high as €27 million during Q3
Vol pushed HSBC’s modelled market risk up 37% in Q3
Erratic markets in Europe and Asia blamed for $6.4bn increase led by VAR and SVAR-based charges
NatWest’s modelled market RWAs up 10% on RNIV backstop
Bank sees higher charges while it reworks VAR engine
Singapore’s UOB bucks trend to seek FRTB model approval
Despite data challenges, bank is opting for IMA to enhance risk management
Modelled RWAs diverge from standardised at Wells Fargo
Gap between the two methodologies hits $152bn – its widest ever
Morgan Stanley’s VAR averaged $61m in Q3
Trading risk indicator surged 33%, second-hottest reading since 2013
Hong Kong, India, Turkey lag behind on Basel III framework
Only Canada, Japan and Saudi Arabia ready for full implementation as January deadline approaches
Market risk capital relief could cut charges at 13 EU banks
EBA says Covid-style measures could be considered to tackle energy crisis
European banks set for 17.5% capital hike under Basel III
Output floor could account for almost half the increase in Tier 1 capital requirements by 2028
Esma renews Mifid pursuit of energy firms amid crisis
Utility companies worry about high and volatile capital requirements if they are caught under IFR
EU dealers’ IRC charges surge on debt market jitters
Santander and Natixis among hardest hit, with charges up 117% over first six months of the year
China’s ABC, BoC buck H1 trend and cut market risk
Market risk charges keep rising at CCB, ICBC and all non-systemic banks
RBC takes $296m hit on underwritten syndicated loans
The latest markdowns were higher than at the outbreak of the pandemic
ING’s market RWAs jump 30% as FX positions breach waiver limit
Increase arose from stricter EU rules under which FX exposures qualify as structural hedges
JP Morgan’s VAR multiplier increases following Q2 breach
Citi also reported one backtesting exception but kept VAR-based market risk capital requirement flat
Archegos revives Lehman-era trade booking controversy
Experts debate whether defaulted TRS positions should have become house exposures immediately
Commerz’s VAR multiplier ratchets up after H1 breaches
Bank dodged increase in market RWAs by rebalancing to a lower-risk trading portfolio