Market risk modelling
Goldman’s VAR drops 20% in Q4
Retreat led by commodities and interest rate risk
US banks’ loss-to-VAR ratios fell in Q3
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
Standardised market charges rose faster at IMA users in H1
Market convulsions and structural FX hedge crackdown felt less acutely at SA-only banks, finds EBA data
RBI’s VAR gauges hit new record
Banking and trading book risk rose in Q3 amid shifts in risk factor mix
Crédit Agricole VAR hits highest since 2010
Trading risk gauge rose as high as €27 million during Q3
Vol pushed HSBC’s modelled market risk up 37% in Q3
Erratic markets in Europe and Asia blamed for $6.4bn increase led by VAR and SVAR-based charges
NatWest’s modelled market RWAs up 10% on RNIV backstop
Bank sees higher charges while it reworks VAR engine
EU dealers’ IRC charges surge on debt market jitters
Santander and Natixis among hardest hit, with charges up 117% over first six months of the year
Regulators should be careful what they wish for on FRTB
New framework likely to reduce use of internal models, as planned; but is that a good thing?
‘Nightmare’ of uncertainty plagues FRTB model applications
Shifting timetable and rule tweaks that could alter incentives dampen appetite for internal models
The evolution of liquidity risk management
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Fortunes of VAR: dealers decry effect of war on risk models
European banks with large Russian derivatives exposures face risk of backtesting exceptions – and higher capital requirements
US banks see highest number of loss-making days in six years
Wells Fargo, Citi and JP Morgan the worst performers in record-breaking Q4
SocGen cut trading VAR by a third in Q4
Trading risk gauge shrinks to lowest in 17 years
Evaluation of backtesting on risk models based on data envelopment analysis
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.
Nordea’s trading VAR keeps climbing amid rate hike jitters
Trading risk gauge surged 17% through Q4
UBS incurred a VAR breach in Q4
The latest larger-than-expected loss – the fourth in 2021 – leaves the bank one step closer to higher capital requirements
SA extends reach over EU banks’ market and op risk
Regulator-devised models have been capturing a bigger chunk of RWAs through the pandemic
Evaluation of backtesting techniques on risk models with different horizons
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.
Don’t follow the models: they’re lost, too – risk managers
Risk USA: managers cite Covid, repo crisis and geopolitical risks as examples of model failures
Barclays’ risk pare-back sees market RWAs fall £3bn
The majority of market risk is now assessed under the regulator-set standardised approach
EU banks aim to block new counterparty risk guidance
Requirement to include exposure spikes linked to swap payments within EEPE models prompts blowback
US unit of BBVA on the brink of a VAR breach in Q1
Largest loss-to-VAR ratio at the firm was highest among the 12 intermediate holding companies
JPM records highest number of profit-making days in six years
In aggregate, US G-Sibs racked up 355 profit-making days over Q1