New framework likely to reduce use of internal models, as planned; but is that a good thing?
Shifting timetable and rule tweaks that could alter incentives dampen appetite for internal models
European banks with large Russian derivatives exposures face risk of backtesting exceptions – and higher capital requirements
Wells Fargo, Citi and JP Morgan the worst performers in record-breaking Q4
Trading risk gauge shrinks to lowest in 17 years
In this study, different value-at-risk models, which are used to measure market risk, are analyzed under different estimation approaches and backtested with an alternative strategy.
Trading risk gauge surged 17% through Q4
The latest larger-than-expected loss – the fourth in 2021 – leaves the bank one step closer to higher capital requirements
Regulator-devised models have been capturing a bigger chunk of RWAs through the pandemic
In this study different value-at-risk (VaR) models are analyzed under different estimation approaches (filtered historical simulation, extreme value theory and Monte Carlo simulation) and backtested with different techniques.
Risk USA: managers cite Covid, repo crisis and geopolitical risks as examples of model failures
The majority of market risk is now assessed under the regulator-set standardised approach
Requirement to include exposure spikes linked to swap payments within EEPE models prompts blowback
Largest loss-to-VAR ratio at the firm was highest among the 12 intermediate holding companies
In aggregate, US G-Sibs racked up 355 profit-making days over Q1
Largest losses-to-VAR ratios at the two firms were the highest among the eight systemic US banks in Q1
Remedying shortcomings added €11 billion to market RWAs in aggregate
High risk-of-loss indicator coincides with Archegos collapse
Can a centenarian maths idea speed up the calculation of forward sensitivities?
Few lenders favour Monte Carlo or parametric methodologies
Twenty lenders lowballed capital requirements
Switch to historical simulation approach increases requirement by 71%
Citi ended year with highest charge of the G-Sibs, at almost $9 billion