Market risk
Final FRTB internal model rules get mixed reviews
Bankers divided on whether changes to two key tests will ease ‘penal’ capital charges
Standardised approaches lose out in FRTB update
Ratio of standardised approach to IMA capital estimated to increase
JP Morgan VAR surges 46% in Q4
The bank’s average VAR jumped $16 million to $51 million at end-December
Regulators demand action on rogue market risk models
Thirteen banks out of 49 face remedial action
Teach history to avoid mistakes of yesterday’s quants
Quant grads should be taught follies of LTCM, Gaussian copula and London Whale, writes UBS’s Gordon Lee
Bond trading dominates EU bank market risk
Traded debt position risk accounts for 60% of market risk capital requirements
Fall in market risk prods UK bank RWAs lower
Total RWAs amounted to £2.9 trillion at end-September
EU lawmakers delay FRTB capital charges
Leaked paper potentially pushes market risk capital charges beyond Basel’s 2022 deadline
Goldman sees third-quarter fall in market RWAs
Market RWAs fell $13 billion across the eight US G-Sibs
Brexit set to jack up banks’ capital costs
Split into UK and EU arms will reduce netting benefits and capital flexibility
Market risk drops €5 billion at big EU banks, reversing trend
Banco Santander posts largest reduction of group, with market RWAs falling €2.2 billion
Risk Markets Technology Awards 2019 winners' review
This year’s Risk Markets Technology Awards reveal a sector in flux. The judging panel of practitioners and Risk.net editorial staff recognised a mix of incumbents and insurgents that were able to demonstrate they had responded to the market’s changing…
Risk Markets Technology Awards 2019: Vendors enter the pick-and-mix era
Modular tech and micro-services – plus new risk and regulatory needs – are creating openings for insurgents and incumbents
Lifetime achievement award: Craig Broderick
Risk Awards 2019: Goldman’s long-serving CRO helped bank survive the crisis, and then adapt to new world
Best newcomer, Asia: CubeLogic
Energy Risk Asia awards, 2018: Enterprise risk management software firm brings new tools to Asia market, particularly around credit
VAR-based charges drop at Goldman and Wells, rise at JP
VAR-based capital requirements fell 7% on average across the eight G-Sibs
BNPP, Credit Suisse, State Street incur VAR breaches
BNP Paribas capital multiplier increases on seventh breach in nine months
FRTB spurs data mining push at StanChart
Bank building “single golden source” of trade data in a bid to lower NMRF burden
US banks continue to lop back market risk
Goldman Sachs, Morgan Stanley shrink requirements by over $1 billion year to date
StanChart slashes $6.6 billion of RWAs
Two-thirds of reduction achieved through RWA efficiencies
Trading costs versus arrival price – An intuitive and comprehensive methodology
Craig Niven, managing director, cash equity execution at Societe Generale Prime Services explores how a five‑month study allowed the organisation to develop a market impact model using historical data, and why it is key for clients in the long term to…
FRTB could ‘kill’ local markets – South African banks
Dealers urge South African Reserve Bank to depart from Basel standards on NMRFs
Compliance preparations amid uncertain rules
A forum of industry leaders discusses how banks will define individual trading desks under FRTB, whether BCBS 239 compliance projects can help banks meet FRTB risk data challenges, which model validation obstacles banks still face and other key topics