Market risk modelling
US banks continue to lop back market risk
Goldman Sachs, Morgan Stanley shrink requirements by over $1 billion year to date
FRTB could ‘kill’ local markets – South African banks
Dealers urge South African Reserve Bank to depart from Basel standards on NMRFs
Finally, a professional group for model-risk managers
As models of all stripes crowd into finance, the people who screen them form an association
US banks’ internal stress tests vary
Choice of stress period affects market risk capital requirements
Market risk capital requirements will soar come 2022
FRTB implies 54% capital uplift for G-Sibs
Risk.net podcast: DTCC’s Lind on FRTB, data pooling and NMRFs
As many as 70 banks globally could adopt internal model approach for market risk capital
Modelled market risk falls for UK banks as standardised risk rises
Barclays had the lowest percentage of market RWAs calculated under IMA, at 49.6%, and Lloyds Banking Group the highest, at 86.1%
VAR switch may explain $500 million capital hike at Wells Fargo
Change in stress period drives 15% increase in market risk capital requirement
Quants tout improved expected shortfall backtest
Measure aims to provide better gauge of VAR violations
US banks see fewer daily trading losses than foreign units
IHCs suffered losses on 54% of trading days compared with 44% for US BHCs
BNP Paribas VAR breaches trigger capital hike
French bank's IHC reports four backtesting exceptions
ABN Amro sustains assault on market risk
The bank's market RWAs dropped 24% quarter to quarter, to €1.7 billion, following a 41% reduction in the first quarter
Commerzbank VAR jumps on Italian turmoil
Sovereign bond yield spike hits public finance portfolio
StanChart culls debt, switches model, and market RWAs drop
Structured product RWAs now calculated using internal model, saving $1.1 billion
VAR cut helps shrink UBS market RWAs
Average management VAR falls Sfr10 billion
Goldman VAR dips on equities and rates risk
Average daily value-at-risk falls 12% from three-year peak in Q1
Trading risk plummets at BAML as portfolio grows
Trading VAR falls to $30 million from $40 million in Q1
Amber zone in new P&L test ‘almost useless’, say banks
Analysis shows many desks would not benefit from safe harbour in Basel FRTB proposals
Model and policy changes behind billions in UK bank RWA shifts
Net capital charges of £368 million across five lenders attributable to model updates alone
Banks fear more trades will be caught in NMRF trap
“Many risk factors now will essentially look like NMRFs,” says North American bank’s risk manager
US bank VAR-based charges surge in volatile first quarter
Average quarter-on-quarter increase of 23% for VAR-based capital across 11 large dealers
Bank of America and BNY Mellon suffer VAR breaches
Trading losses exceeded estimates on a single day at each dealer in the first quarter
ING market risk charge edges higher
Dutch bank adds €0.8 billion of market RWAs
Goldman Sachs’ VAR at three-year high
Increased client activity and market volatility increases firmwide risk