Market risk
BofA nabs top market risk quant from Deutsche
Move for senior risk analytics exec comes as go-live for FRTB approaches
At UBS, asset cull drives down RWAs
Final quarter of 2019 saw risk-weighted assets fall $5.4 billion
Haitong taps NLP to inform collateral coverage
Hong Kong broker scours news and blogs in bid for better corporate signals in China’s opaque markets
Morgan Stanley unruffled by VAR model update
Quiet last quarter of 2019 saw average VAR down to $38 million
On eve of Brexit, PPF’s chief risk officer isn’t too worried
Stephen Wilcox talks about getting pensions paid without the benefit of controlling ‘UK Plc’
HSBC leads EU banks on VAR measures
In aggregate, IMA risk exposures focused on traded debt
EU banks pare back commodities risk
Risk-weighted assets for commodities trading positions under standardised approach fall almost 30%
At UK stress test banks, loan-loss estimates up £8bn in 2019
Impairments estimated to cut 5.7% off of the banks’ aggregate CET1 capital ratio
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
Bank risk manager of the year: HSBC
Risk Awards 2020: New market risk system proves its worth in a year of emerging market blow-ups
Credit valuation adjustment wrong-way risk in a Gaussian copula model
In this paper, we present an analytical expression for CVA with WWR under the assumption of the lognormally distributed trade value.
FRTB to double market RWAs of EU banks
Risk-weighted assets across 44 banks to increase 105% on average
Final Volcker rule spurs rethink on FRTB trading desks
Regulators encourage structural alignment between the two rules, but hurdles remain
Goldman leads US banks on trading VAR, but not on revenue
NY-based dealer makes $9.1bn trading revenue year-to-date to JP Morgan’s $18.7bn
Technology vendor of the year: Murex
Risk Awards 2020: Firm bets heavy R&D spend will keep it ahead of shifting client needs
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
G-Sibs eye simpler market risk calculations in Hong Kong
HKMA may need to ease rules on NMRFs to incentivise use of internal models
JP Morgan takes axe to tough-to-model trading risks
US G-Sibs see market RWAs fall 4.1% quarter on quarter
Sandbar's focus on idiosyncratic factors sets it apart from its peers in equity market‑neutral
With investors sometimes struggling to find hedge funds that deliver uncorrelated, consistent returns, Sandbar Asset Management stands out from its peers. Its success in running an equity market-neutral strategy is a reflection of its founder and chief…
Goldman, State Street amass losing trading days in Q3
Tough market conditions also led to VAR breach at Goldman Sachs
Goldman, BBVA and TD Group incur VAR breaches in Q3
US unit of TD Group endures four breaches in three months to end-September
Banks warn of trader crunch at CCP default auctions
Risk USA: dealers hope for more cross-CCP fire drills
FRTB costs force banks to weigh IMA desk by desk
Risk USA: Some desks “may not be able to pass these more rigorous standards”, says Morgan Stanley FRTB lead
Model tweaks lift Danske’s market RWAs 30%
Tough trading quarter could also have pushed VAR-based charges higher