Market risk
Eight US dealers set to dodge FRTB application
Revised trading-activity thresholds would narrow scope of market risk framework
US regulators bid to save FRTB IMA, but it’s no small task
Even if industry wish-list is granted, a 2028 start date might be too soon for model adoption
Banks urge EBA to delay risk benchmarking amid Iran conflict
Risk managers say hypothetical portfolio exercise clashes with severe market turbulence
Goldman tripped up by VAR in Q4
BNY and Citizens also record backtesting exceptions
Macro shocks prompt reset in Apac risk management
Leading institutions are rethinking stress-testing, liquidity management and market risk strategies to remain resilient in an era of uncertainty
Exceedance-based backtesting of expected shortfall
The authors apply exceedance-based validation techniques often used for VaR model validation the the validation of ES models, showing such an application to be feasible.
ECB seeks capital clarity on Spire repacks
Dealers split between counterparty credit risk and market risk frameworks for repack RWAs
The state of IMA: great expectations meet reality
Latest trading book rules overhaul internal models approach, but most banks are opting out. Two risk experts explore why
How geopolitical risk turned into a systemic stress test
Conflict over resources is reshaping markets in a way that goes beyond occasional risk premia
Santander SVAR surge lifts IMA RWAs 22%
Third-quarter spike contrasts with broad European declines
Hong Kong derivatives regime could drive more offshore booking
Industry warns new capital requirements for securities firms are higher than other jurisdictions
The relative entropy of expectation and price
The replacement of risk-neutral pricing with entropic risk optimisation
Equity VAR hovering near four-year high at US banks
Gauges of stock market risk rise 36% in just one year
How Basel III endgame will reshape banks’ business mix
B3E will affect portfolio focus and client strategy, says capital risk strategist
US banks hoping for end of DFAST global market shock
As Fed consults on stress-test reform, lobby group argues regulator is double-counting market risk
SS&C Algorithmics: winner’s interview with Curt Burmeister
SS&C Algorithmics wins three categories in this year’s Markets Technology Awards in addition to Technology vendor of the year at the Risk Awards
NMRF framework: does it satisfy the ‘use test’?
Non-modellable risk factors affect risk sensitivity and face practical and calibration difficulties, argue two risk experts
The consequences of the Basel III requirements for the liquidity horizon and their implications for optimal trading strategy
The authors put forward a formula-based approach for determining the optimal liquidity horizon used in scaling the base expected shortfall under Basel III.
EU’s FRTB multiplier risks picking winners and losers
Attempts to find capital-neutral way to implement new rules might create unlevel playing field
LSEG adds market risk optimisation for FX options
Tool attracts eight dealers and could be expanded to rates and equity options
Market RWAs climb to new highs at top Chinese banks
Bank of China, China Construction Bank and Shanghai Pudong Development Bank set records for second successive quarter