Market risk
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
DFAST market shock accounts for a quarter of big bank losses
Trading and counterparty losses hit $88.1 billion for banks subject to global market shock
Big banks to bear brunt of Basel III reforms in EU
G-Sibs short €82.8 billion of Basel III capital
Generali expands scope of internal model
Total SCR drops 8% to €20.4 billion in 2018
L&G’s counterparty risk charge almost doubles in two years
Operational and market risk charges also climb at UK group
Allianz’s counterparty risk charge up €102 million in 2018
Total solvency capital requirement down €600 million year-on-year
Axa market risk charge drops almost €3bn in 2018
Solvency capital requirement falls 9% year-on-year
RJ O’Brien’s chief risk officer on margin models and clearing
CME’s looming switch to VAR model will have pronounced effect on broker and its clients, says Brad Giemza
Over four years, US banks blitz correlation trading risks
JP Morgan’s CRM charge has fallen 94% since Q1 2015
Can bankers stop the trading book killer?
FRTB won’t obliterate your whole markets business any more, just some very specific parts
Fund-linked structured products face extinction under FRTB
Global market risk capital standards carry sky-high charges for fund derivatives
Banks rethink fund-linked trades ahead of FRTB
Some stop offering longer-dated structured products ahead of expected 2023 rules in EU
US units of BBVA, BNPP, TD Bank post VAR breaches in Q1
TD Bank losses on one day exceeded VAR estimate by 195%
Trading units of Swiss banks move in opposite directions
Over three years, Credit Suisse has cut RWAs allocated to trading 17%; UBS has increased them 46%
Final FRTB tweak ‘will kill correlation trading’, say dealers
Some European banks plan to lobby ECB for relief when rules are transposed to local law
ING offloads stake in Indian bank, bringing capital relief
Market RWAs drop €2 billion following asset sale
Fixed income risk surges 19% at JP Morgan
Fixed income markets revenues came in 18% lower year-on-year
Basel NMRF changes don’t solve Asian data challenges
Isda AGM: Asian regulators may still need to soften FRTB standards locally, warn bankers
FRTB: Singapore’s banks eye internal models for forex desks
New market risk regime dangles capital savings for own-models approach