Market risk modelling
US G-Sibs’ trading assets hit record $3.6 trillion
JPM, Goldman, Citi and Morgan Stanley drive $520 billion quarterly increase amid turbulent markets
RBI’s modelled market RWAs jump on Tarf stress shock
FX volatility scenario for 2009 drives sharp rise in stressed VAR under internal models approach
One thing missing from US Basel III proposal: a deadline
Without a deadline, risk teams will struggle to secure resources to begin implementation projects
ING tops EU peers with hedge-heavy CVA charges
Bank’s €59.4bn CVA hedges dominated by non-CDS instruments
BPCE VAR exceptions lift capital add-on
Three breaches in H2 2025 push bank into amber zone, raising capital add-on
Can the US FRTB revamp make the IMA great again?
Banks are finally presented with a viable internal models framework under Basel III’s market risk rules
UK rethinking tougher capital rules for US bank subsidiaries
US endgame draft would trigger UK Basel III trap floor for foreign banks, but PRA is reviewing
Deutsche’s IMA RWAs jump 12% on SVAR recalibration
RWAs linked to stressed component bloat €3.5 billion on switch in historical reference period
UBS’s market RWAs fall below pre-FRTB levels
Charges drop 15.8% in Q4 as legacy assets continue to roll off
FRTB models find salvation in US Basel III proposal
Changes to P&L attribution test and NMRFs make IMA viable for US banks, risk managers say
Eight US dealers set to dodge FRTB application
Revised trading-activity thresholds would narrow scope of market risk framework
Interest rate crosswinds buffet IRRBB teams
Political intervention and rapid-fire law changes are skewering bank models for forecasting cashflows
Goldman tripped up by VAR in Q4
BNY and Citizens also record backtesting exceptions
Macro shocks prompt reset in Apac risk management
Leading institutions are rethinking stress-testing, liquidity management and market risk strategies to remain resilient in an era of uncertainty
Santander SVAR surge lifts IMA RWAs 22%
Third-quarter spike contrasts with broad European declines
Equity VAR hovering near four-year high at US banks
Gauges of stock market risk rise 36% in just one year
Default risk overtakes credit spreads in Japan's first year under FRTB
Securitisation charges lift a bigger slice of banks’ market risk requirements
BNP, Deutsche, SocGen face steep RWAs surge under FRTB SA
Pro forma disclosures for output floor show 2.5–2.8x increases if banks used only standardised formulas – far above peers
EU banks’ incremental risk charges up 20% in H1 2025
Heightened trading flows and worsening credit outlooks leave dealers with more risk-heavy books
UniCredit’s VAR cools as Commerz swaps convert to shares
Average reading down by over a third after Italian bank settles part of its stake in the German lender
Tariffs turmoil propels Deutsche’s SVAR to record €490m
Stressed risk gauge surpasses prior high by €25 million