Market risk
UK banks move away from internal models for market risk
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
US banks see fewer daily trading losses than foreign units
IHCs suffered losses on 54% of trading days compared with 44% for US BHCs
Risks building at three US G-Sibs
Risk-weighted asset density has increased at BNY Mellon, State Street and Goldman Sachs the most, across the eight US global systemically important banks
BNP Paribas VAR breaches trigger capital hike
French bank's IHC reports four backtesting exceptions
A review of the fundamentals of the Fundamental Review of the Trading Book II: asymmetries, anomalies, and simple remedies
This paper highlights some anomalies and asymmetries in the new market risk paradigm of the Fundamental Review of the Trading Book (FRTB) framework.
Dealers seek FRTB carve-out for Libor transition
Swaps could be judged non-modellable – and hit with capital add-on – as liquidity tails off in Libor
ABN Amro sustains assault on market risk
The bank's market RWAs dropped 24% quarter to quarter, to €1.7 billion, following a 41% reduction in the first quarter
Commerzbank VAR jumps on Italian turmoil
Sovereign bond yield spike hits public finance portfolio
Capital add-ons rising for UK banks
Median Pillar 2A requirement across six biggest lenders hits 2.3%
Generali weathers Italian bond turbulence
Solvency II SCR ratio dips to a still lofty 201% in the first half
StanChart culls debt, switches model, and market RWAs drop
Structured product RWAs now calculated using internal model, saving $1.1 billion
BBVA gets forex model update from ECB
Foreign exchange risk added €366 million in capital requirements in 2017
Multifactor granularity adjustments for market and counterparty risks
In this paper, the authors propose several flexible families of models to manage the market and/or the counterparty risk of portfolios of financial assets.
VAR cut helps shrink UBS market RWAs
Average management VAR falls Sfr10 billion
Chaotic behavior in financial market volatility
In this paper, the authors present a robust method for the detection of chaos based on the Lyapunov exponent, which is consistent even for noisy and finite scalar time series.
Goldman VAR dips on equities and rates risk
Average daily value-at-risk falls 12% from three-year peak in Q1
Trading risk plummets at BAML as portfolio grows
Trading VAR falls to $30 million from $40 million in Q1
Stress-test trading losses out of sync with banks’ market risk
Trading and counterparty losses triple those implied by banks’ market RWAs