Market risk modelling
UniCredit’s market RWAs would inflate 75% under FRTB
Pro forma figures for capital floor give first look at de-modelling impact on a major EU dealer
StanChart market RWAs surge to record $37bn
SVAR jump alongside higher interest rate and FX risk behind Q1 spike
US banks’ VAR shortfalls are wrapped in a black box
Public disclosures only allow crude approximations of loss size and timing
The VAR-centric models that never were
Often spotlighted, rarely dominant – VAR plays a surprisingly small role in most IMA stacks
Tariff turmoil tests limits of market risk playbooks
Risk Live: Volatile markets reveal need for quicker data and more dynamic risk limits
Bucking Japan megabank trend, Norinchukin’s market RWAs spike 41%
Latest surge underscores challenge of adapting to FRTB
Barclays takes selective approach to FRTB IMA applications
Risk Live: UK bank is applying for approval for parts of its portfolio most likely to pass approval tests
The IMA map: charting market risk capital under Basel 2.5
The current market risk framework refuses to be superseded. Risk.net dissects banks’ disclosures to explore how trading book capital requirements have evolved
JP Morgan’s equity VAR hit GFC levels in March
Bank blames now-matured client position for temporary risk surge
JP Morgan’s VAR limits blown twice during haywire Q1
Breaches add to the two regulatory backtesting exceptions sustained the previous quarter
EU edges closer to calming FRTB fund-linked fray
Dealers say temporary solution is a step in the right direction but won’t fully resolve all issues
SVAR surges gird Europe’s trading books in H2 2024
UniCredit and UBS lead pack with hottest gauges in half a decade
JP Morgan’s equity and commodity VAR soar to five-year highs
Trading risk gauges jump 150% and 190% amid Q1 trading flurry
Tariff turbulence piles pressure on banks’ VAR models
Backtesting breaches start to mount, but too early to tell if regulatory intervention needed
Trading desks want regulators to face down the NMRF monster
Rule-makers in Australia and the European Union are open to changes to the unpopular FRTB test
UniCredit tops Europe’s VAR breach leaderboard in 2024
Swedbank, Commerzbank and SocGen among model users repeatedly blindsided by volatility
UBS’s CVA charges spike by 30% under new market risk regime
Proportional impact is higher than at any FRTB adopter so far
A peek under the hood of Canadian banks’ new CVA machine
Disclosures from the country’s top dealers offer first glimpse of how FRTB reforms can reshape capital gauge for potential losses on derivatives
Credit fears drive US banks’ IRC requirements to 2022 highs
JP Morgan, BofA lead with triple-digit surge in Q4
US banks record spike in trading loss-making days in Q4
UBS Americas and Stifel lead banks in worst trading quarter of 2024
Capital One, UBS Americas drive SVAR window adjustments in 2024
Bank duo responsible for over half of all lookback period changes across US banks
US dealers tally most VAR breaches since mid-2023
Market turmoil in Q4 blindsides models at systemic and regional banks alike
HSBC’s SVAR hits highest in six years on interest rate sensitivity
Lofty readings in the last quarter of 2024 push associated RWAs to $13 billion
French banks’ equity VAR surges to multi-year highs
Volatility pushes fourth quarter readings at BNP Paribas, Crédit Agricole and SocGen to levels unseen in recent years