Market risk modelling
Getting risk models runway ready
Banks struggling with internal model requirements may soon opt for off-the-rack rather than bespoke
Over four years, US banks blitz correlation trading risks
JP Morgan’s CRM charge has fallen 94% since Q1 2015
Fund-linked structured products face extinction under FRTB
Global market risk capital standards carry sky-high charges for fund derivatives
US units of BBVA, BNPP, TD Bank post VAR breaches in Q1
TD Bank losses on one day exceeded VAR estimate by 195%
EU’s model study finds problems with bank VAR methods
Banks surveyed by the ECB had an average of 32 issues with their market risk models
ING offloads stake in Indian bank, bringing capital relief
Market RWAs drop €2 billion following asset sale
FRTB: Singapore’s banks eye internal models for forex desks
New market risk regime dangles capital savings for own-models approach
Securitisations push Barclays' market risk capital higher
UK bank reports 37% hike in securitisation capital charge year-on-year
Last orders at the VAR
Inaccurate risk-of-loss estimates threaten to load extra capital charges on US dealers
US banks’ trading edge slips in 2018
G-Sibs lost on almost half of all trading days last year
Goldman suffers first VAR breach since 2016
Goldman reported 45 days in the calendar quarter where it suffered a trading loss
VAR model under scrutiny as RBS’s breaches spike
Excessive backtesting exceptions lead to increase in capital multiplier
Santander tames its trading risk
Group value-at-risk falls 40% in 2018
One-quarter of market risk not modellable
US banks have largest portion of capital requirement set by the SA
Stock slump dents income, hikes VAR by 22% at UBS
Income from equity derivatives trading plummeted $47 million quarter-on-quarter
Standardised approaches lose out in FRTB update
Ratio of standardised approach to IMA capital estimated to increase
Regulators demand action on rogue market risk models
Thirteen banks out of 49 face remedial action
Teach history to avoid mistakes of yesterday’s quants
Quant grads should be taught follies of LTCM, Gaussian copula and London Whale, writes UBS’s Gordon Lee
Bond trading dominates EU bank market risk
Traded debt position risk accounts for 60% of market risk capital requirements
BNPP, Credit Suisse, State Street incur VAR breaches
BNP Paribas capital multiplier increases on seventh breach in nine months
FRTB spurs data mining push at StanChart
Bank building “single golden source” of trade data in a bid to lower NMRF burden
US banks continue to lop back market risk
Goldman Sachs, Morgan Stanley shrink requirements by over $1 billion year to date
FRTB could ‘kill’ local markets – South African banks
Dealers urge South African Reserve Bank to depart from Basel standards on NMRFs
Finally, a professional group for model-risk managers
As models of all stripes crowd into finance, the people who screen them form an association