Market risk
Munich Re's P&C capital charge swells €2bn in 2018
Property and casualty capital requirement pushes overall SCR to €14.7 billion
Higher market risk raises Basel III capital shortfall to €36bn
Internationally active banks further from capital targets than at end-2017
Japan regulator: new FRTB will help uniform Asian uptake
Relaxation of non-modellable risk factors, among other revisions, welcomed by FSA
Securitisations push Barclays' market risk capital higher
UK bank reports 37% hike in securitisation capital charge year-on-year
Derivatives assets soar at eurozone insurers
Surge in values near year-end hint at hedging gains
PRA's Pillar 2 add-ons reflect mixed verdict on UK banks
Median CET1 Pillar 2A charge for big six banks rises to 2.25%
Last orders at the VAR
Inaccurate risk-of-loss estimates threaten to load extra capital charges on US dealers
US G-Sibs’ VAR-based charges jump 23% in Q4 2018
On aggregate, the eight G-Sibs posted a VAR-based capital charge of $2.9 billion
Choppy markets, buying spree cause 28% VAR surge at BMO
The bank's VAR spiked for all asset classes bar commodities on the prior quarter
FRTB 2.0: lower capital but high running costs
Revisions to market risk rules fail to ease complexities of internal models approach
US banks’ trading edge slips in 2018
G-Sibs lost on almost half of all trading days last year
At US G-Sibs, 11 VAR breaches in 2018
The final quarter of 2018 saw a record number of VAR breaches at the biggest US banks
Goldman suffers first VAR breach since 2016
Goldman reported 45 days in the calendar quarter where it suffered a trading loss
Banks hope final FRTB rules will ease NMRF burden
Internal models approach buoyed by more liberal rules on price observations and risk factor aggregation
VAR model under scrutiny as RBS’s breaches spike
Excessive backtesting exceptions lead to increase in capital multiplier
VAR surges, revenues tank at French banks hurt by volatility
Revenues decline €1.2 billion at big four banks' trading arms
Equity risk amps up Citi’s VAR charges
Requirements connected to equity positions jumped 49% quarter-on-quarter
BNP Paribas’ VAR soars 17% after brutal Q4
Equity revenues fall 70% on year-ago quarter
Banks rocked by U-turn on FRTB equity risk weights
Risk managers warn of higher capital charge after Basel reverts to original 2016 treatment
Deutsche’s market RWAs surge €8bn on volatility spike
Elevated VAR levels and a temporary increase in the incremental risk charge, drove the market RWA increase
Santander tames its trading risk
Group value-at-risk falls 40% in 2018
One-quarter of market risk not modellable
US banks have largest portion of capital requirement set by the SA
Stock slump dents income, hikes VAR by 22% at UBS
Income from equity derivatives trading plummeted $47 million quarter-on-quarter
Final FRTB internal model rules get mixed reviews
Bankers divided on whether changes to two key tests will ease ‘penal’ capital charges