Market risk
RNIV charges account for big chunk of Swiss banks’ capital
At UBS, 37.5% of its market risk capital requirement was for risks-not-in-VAR
Industry expects US FRTB proposals by year-end
Fed likely to co-ordinate progress with EU, which may also accelerate its timetable
Backtesting expected shortfall: mission accomplished?
A rigorous backtest for ES cannot exist, but a good approximation might do the job
Revealed: FRTB impact three times higher than expected
Undisclosed Isda study finds capital hike outweighs previous Basel Committee estimate
The minimally biased backtest for ES
Acerbi and Szekely present a backtest for expected shortfall
Global banks fear Hong Kong frontrunning FRTB
Local subsidiaries of EU and US banks may be forced to adopt models before their parents
At CIBC, commodity, forex and rate risks raise VAR 12%
Market risk capital requirement jumps to C$695 million on value-at-risk surge
RBC expands market risk model scope
Moving assets off standardised approach contributed to 6% quarter-on-quarter RWA decline
State Street, Goldman push VAR limits the most
Average of largest trading losses-to-VAR at State Street above 90% over past 12 months
State Street, UBS and TD Group incur VAR breaches
Backtesting exceptions cause TD Group's and State Street's market risk capital charge multipliers to climb
At US G-Sibs, market RWAs fall $18bn in Q2
Fall in VAR-based measures of risk behind the decrease
State Street had most losing trading days since 2015 in Q2
Systemic US banks rack up 220 losing days in second quarter
JP Morgan model updates shave $6.8bn off market RWAs in Q2
Year-on-year, model updates take net $21.1 billion off its RWA total
Rates decline sinks Allianz’s Solvency II ratio
Market impacts take 11 percentage points off ratio in first six months of 2019
VAR breaches force capital add-on at StanChart
Value-at-risk capital requirement soars 38% to $161.8 million quarter-on-quarter
Market risk amps Nomura’s RWAs
CET1 ratio falls 30bp to 16.8% on the quarter
BNPP’s VAR sinks on prop trading exit, calmer markets
Risk of loss down 17% quarter-on-quarter
FRTB internal models in fight for survival
Basel III capital floor leaves banks struggling to justify own-models approach, say risk experts
Lower interest rate risk pushes Santander’s VAR down 16%
South American portfolio accounts for largest chunk of trading risk
As revamp begins, Deutsche’s RWAs for CVA fall
Credit valuation adjustment RWAs down 30% year-on-year
Model refinements slim UBS market risk RWAs
The bank’s market RWAs fell to $10.9 billion at end-June
JP Morgan equity VAR surges 56%
Total trading VAR stood at $44 million for Q2
UK bank RWAs inch up on credit and counterparty risk
Total RWAs stable year-on-year