Market risk
JP Morgan shook up market risk stress tests in Q2
Bank switched stressed VAR historical periods 60 times
Market risk management product of the year: FIS
Asia Risk Technology Awards 2020
The long-term effect of Covid-19 on market risk capital
Covid-19 has replaced the global financial crisis in some banks’ stressed VAR calculations
FRTB implementation – Covid-19 and Libor pressure
Industry leaders discuss the pressures FRTB is placing on banks’ data infrastructure and systems, how FRTB may constrain banks’ ability to manage future volatility, and the potential complications to implementation caused by such factors as the Covid‑19…
RBC’s VAR doubled in pursuit of trading windfall
Stressed VAR also surged as the bank switched stress periods
Citi, Goldman, had most winning trading days of top banks in Q2
In aggregate, US G-Sibs racked up 314 profit-making days over the quarter
Market, interest rate risks surged at Commonwealth Bank in H1
Market RWAs jumped 129% over the first half
How UBS AM dealt with Covid-19 crunch
Buy-side risk survey: Swiss giant had planned for liquidity squeeze, says CRO – but not one like March
Goldman breached VAR limit 16 times in H1
US dealer also racked up 40 days on which trading profits exceeded $100 million
Axa’s solvency ratio continues fall in Q2
French insurer’s core ratio has dropped 18 percentage points year-to-date
Market risks push Allianz’s Solvency II ratio lower in Q2
Whipsawing markets help take three percentage points of the firm’s core solvency ratio
Natixis’s market RWAs grew 49% over Q2
Average VAR spiked to €18 million over Q2
SocGen’s VAR jumped 54% in Q2
Credit VAR more than doubled to €43 million
NatWest reaps benefits of PRA’s market risk relief
Suspension of capital multiplier contributes to £1.5 billion of RWA savings
BNP tags €10bn of equity derivatives as hard-to-value
Over 12% of exposures classified as Level 3 at end-June
Trading VAR surged at Credit Suisse in Q2
Market risk-weighted assets up 20% quarter-on-quarter
Top US banks reined in RWAs in Q2
Credit exposures fall after a wild first quarter
Stuart Lewis, Deutsche’s survivor, confronts Covid-19
CRO talks loan reserves, VAR breaches, and the lessons of a lurid past
At Danske Bank, market RWAs soar as credit risks dip
Bond binge contributes to 36% increase in market risk charge
Trading risks lurched higher at top US dealers in Q2
Bank of America and Morgan Stanley saw VAR levels surge over 50%
VAR doubles at JP Morgan in Q2
Trading risk for fixed income products jumps to $129 million
Market risks push up top EU insurers’ capital charges
Allianz sees SCR for market risk surge 28% year-on-year