Market risk modelling
Deutsche’s IMA RWAs jump 12% on SVAR recalibration
RWAs linked to stressed component bloat €3.5 billion on switch in historical reference period
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
Nomura’s ES requirement swings 75% in turbulent debut
New gauge for modelling interest rate desks’ charges ranged from ¥23bn to ¥41bn over the course of Q1
BNPP, Deutsche among EU banks hit by VAR breaches in April
Sharpest rise in backtesting exceptions since 2022 Ukraine war shock largely linked to tariff chaos
How to solve the Fed’s $300bn FRTB problem
A sacrifice will have to be made to ensure new market risk rules meet demands for capital neutrality
US banks notch most VAR overshoots since pandemic
Dealers’ gauges underestimated trading inventory price swings on 34 occasions during Q2
Nomura’s FRTB models reap 33% saving on debut
Trading desks cleared for new IMA’s use win ¥225 billion relief on end-March capital requirements
Double VAR breach in Q2 adds $4.1bn to JP Morgan’s market RWAs
Sixth regulatory backtesting exception in nine months lifts the multiplier above minimum for the first time since Q3 2022
Basel III overhaul doubles Nomura’s credit risk
Surge reflects asset migration and new equity treatment
SEB’s market risk add-on swells 153% in Q2
Temporary adjustment more than doubles as internal model change awaits sign-off
Bank of England floats ‘quasi-IMA’ in FRTB standardised method
Dealers welcome new route to capitalising residual risk, but it could fragment global ruleset
Market shocks push IRC to records at EU banks
Component for default and migration risk hits new highs at several dealers