Market risk
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
Embracing the sea change to come with FRTB
Firms have until 2021 to implement FRTB, and those yet to begin compliance efforts risk putting themselves at a disadvantage. EY‘s financial services risk partners Shaun Abueita and Sonja Koerner explore the current level of readiness within the industry…
Goldman VAR drops again in third quarter
The firm’s average daily VAR dropped $11 million (17%) to $53 million
US banks’ internal stress tests vary
Choice of stress period affects market risk capital requirements
Market risk capital requirements will soar come 2022
FRTB implies 54% capital uplift for G-Sibs
Output floor to constrain almost half of G-Sibs – Basel study
The Basel III output floor will impose the single largest Tier 1 capital requirement on 46% of G-Sibs
IFRS 9 versus IAS 39: Opportunities in changes to hedge accounting
With financial reporting in a state of flux amid the introduction of several new accounting standards, many corporates may feel overburdened by the need to ensure accounting compliance to take full advantage of IFRS 9 from the point of adoption. Robert…
Basel III: EU G-Sib capital requirement to jump 25%
Basel III output floor will add 5.4% to minimum required capital
Standardised market RWAs on the rise at EU banks
Standardised approach-generated RWAs increase €4.7 billion across 12 banks
Moving the goalposts: EU fights over prop trader rules
French proposals could drive larger non-banks out of fixed income futures and options
UK banks build up risk in Q2
Total RWAs were up £57 billion, from £2.89 trillion to £2.94 trillion
Is Libor going away?
Amid widespread expectation that Libor will soon be discontinued, questions are being asked around whether the transitioning towards risk-free rates will prove too onerous to achieve. Christopher Dias, principal, advisory, at KPMG, explores whether the…
Modelled market risk falls for UK banks as standardised risk rises
Barclays had the lowest percentage of market RWAs calculated under IMA, at 49.6%, and Lloyds Banking Group the highest, at 86.1%
US banks' VAR-based charges drop in Q2
The average decrease in the VAR-based capital requirement across the eight US G-Sibs was 10.4%, compared with a 23% increase in the first quarter
Swiss banks’ market risk drops by $12 billion
Lower risk levels drive quarter to quarter fall
VAR switch may explain $500 million capital hike at Wells Fargo
Change in stress period drives 15% increase in market risk capital requirement
US banks curb market risk
G-Sibs cut $31 billion of market RWAs in three months to June
Quants tout improved expected shortfall backtest
Measure aims to provide better gauge of VAR violations
Scotiabank acquisitions come with risks attached
The bank’s RWAs jumped 9.4% in the third quarter