Market risk
Rewriting the output floor: how EU reform options would split the banks
Making transitional relief permanent would offer the biggest cut by 2033, while market-risk changes would create winners and losers
The effective use of AI in market risk: cutting through the hype
Market risk leaders are bringing AI tools under control while retaining the data, governance and human judgement on which risk management depends
Permanent FRTB reforms seen as vital for IMA adoption
Temporary relief granted in June has done little to encourage internal model use in Europe
Bank of China’s CVA exposures soar ahead of peers
The bank leads Chinese G-Sibs to log the largest quarterly increase on record
Asian dealers may be more exposed than US in AI selloff scenario
Prime brokers face regional counterparty risk from huge flows in leveraged ETFs, say risk managers
Already under FRTB, some banks hope for modelling reprieve
Risk Live: BMO and UBS opted for SA, but believe regulators could still opt to follow softer US rules
Market RWAs surge at mid-sized banks in Q2
Mizuho Americas adds $3.6 billion, while Northern Trust posts 212% increase
PRA struggles to follow Fed’s FRTB modelling moves
Market risk experts say minor differences in US rules add up to more incentives for IMA adoption
The evolution of stress testing: unlock one integrated balance sheet
Stress-testing moves from a periodic regulatory exercise to a continuous, strategic discipline that asks: how bad can it get – and do we have a plan to survive it?
Equity VAR at top US banks hits highest level since 2020
Goldman Sachs, Morgan Stanley and JP Morgan lead surge; Citi bucks trend with unusual negative reading
Market RWAs surge across Chinese banks in Q1
Eleven of 13 lenders report increases as total hits record 2.97 trn yuan
Europe’s banks can’t agree on how to fix the output floor
Some want market risk excluded, while others push for greater savings from credit modelling
UBS VAR nearly doubles to hit decade high
Hedging activity behind spike as equity markets withstood Iran turmoil
Modelled RWAs at systemic banks undershoot standardised by $441bn
Wells Fargo and Bank of America have largest gap between internal and regulator-set models
0DTE options and non-banks could accelerate market risk
Risk Live: Risk managers warn trading desks in “uncharted territory” with shocks moving faster
Banks welcome UK IMA eligibility test delay, but some want more
Risk Live: PRA extends monitoring for ‘Spearman’ test, while US regulators drop correlation metric
EBA’s repack answers leave dealers guessing
Spire dealers are split – some see worst-case scenario, others assume gentler treatment
Basel’s CVA upgrade: persuasive in the US, less so in Europe
Ban on credit risk models could encourage US banks to adopt more sophisticated CVA method
US regulators cut FRTB’s IMA capital hit by 59%, Isda finds
Trade body pushes for further changes to cross-product netting, default risk charge
US FRTB glitch could spit out negative capital charges
Effort to recognise risk diversification between IMA and standardised approach went too far
Don’t mind the gap risk: regulatory treatment of credit repacks
Gap risk in repackaging is not a credit valuation adjustment for Basel III capital purposes, argues senior quant Andrey Chirikhin