Market risk
Goldman’s 2020 VAR was its highest in nine years
Trading revenues at the New York-based dealer were the highest in a decade
Top CCPs invest little clearing member cash in securities
Cash payments of initial margin and default fund contributions are typically placed with central banks
Barclays leads Europe’s banks on trading risks
Top 20 banks with most trading risks accounted for 79% of market RWAs across EBA sample
A Libor market model including credit risk under the real-world measure
The authors present a methodology to generate future scenarios of interest rates for different credit ratings under a real-world probability measure. More precisely, they explain how to perform simulations of the real-world forward rates for different…
Output floor to drive Basel III capital increase at EU banks
About 40% of total Tier 1 capital surge due to limits on modelled RWAs
Basel FRTB capital impact study confused by outliers
“Conservative estimation” of market risk capital uplift averages 69%
Wind-down of Deutsche’s ‘bad bank’ slows
German lender expects capital release unit to be €51 billion in size in 2022
Scotiabank’s capital ratio improves on fading market risks
VAR-based RWAs dropped 44% quarter on quarter
Fed will start FRTB model approvals for US banks in 2021
Senior official says banks should now be deciding desk structure and readying backtests
Systemic US banks’ market risk charges fall from Covid highs
Citi an outlier as its capital requirements increase in Q3
Isda study reveals size of Covid’s trading book capital hike
Procyclicality led to aggregate 25% rise in market, CVA risk-weighted assets
JP Morgan had most profit-making trading days of top banks in Q3
New York-based bank posted 45 winning trading days in total
French rivals BPCE, SocGen see market risks fall in Q3
Market RWAs drop 24% at SocGen quarter on quarter
Funding pain prompts calls to rehome FVA
Dealers push to move derivatives funding costs out of P&L following March’s outsize losses
BNP Paribas’ RWAs shrank over €10bn in Q3
CET1 ratio climbed 20bp to 12.6%
Model tweaks, asset cull helped Credit Suisse cut RWAs in Q3
Model updates took Sfr 2.5 billion off its credit RWA total
FX headwinds cancel out HSBC’s Q3 RWAs cut
Portfolio reductions reaped $10.8 billion of RWA savings
Barclays’ RWAs shrank on Q3 tailwinds, but loan failures loom
Decline in loan creditworthiness has added £9.8 billion to RWAs year-to-date
UBS market RWAs dropped 25% in Q3 as VAR cooled
High value-at-risk outputs dropped out of averaging window in Q3
Top US dealers’ trading risk indicators varied in Q3
VAR drops sharply at JP Morgan and Goldman, stays steady at Morgan Stanley and rises at BofA
Factoring in Covid turmoil amped Bank of America's VAR in Q3
Value-at-risk averaged $109 million over three months to end-September
VAR spasms heap market risk charges on EU G-Sibs
VAR-based charges increase 94% on end-2019
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