Retreat led by commodities and interest rate risk
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
Market convulsions and structural FX hedge crackdown felt less acutely at SA-only banks, finds EBA data
Banking and trading book risk rose in Q3 amid shifts in risk factor mix
Trading risk gauge rose as high as €27 million during Q3
Erratic markets in Europe and Asia blamed for $6.4bn increase led by VAR and SVAR-based charges
Bank sees higher charges while it reworks VAR engine
Santander and Natixis among hardest hit, with charges up 117% over first six months of the year
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