Market risk modelling
One-quarter of market risk not modellable
US banks have largest portion of capital requirement set by the SA
Stock slump dents income, hikes VAR by 22% at UBS
Income from equity derivatives trading plummeted $47 million quarter-on-quarter
Standardised approaches lose out in FRTB update
Ratio of standardised approach to IMA capital estimated to increase
Regulators demand action on rogue market risk models
Thirteen banks out of 49 face remedial action
Teach history to avoid mistakes of yesterday’s quants
Quant grads should be taught follies of LTCM, Gaussian copula and London Whale, writes UBS’s Gordon Lee
Bond trading dominates EU bank market risk
Traded debt position risk accounts for 60% of market risk capital requirements
BNPP, Credit Suisse, State Street incur VAR breaches
BNP Paribas capital multiplier increases on seventh breach in nine months
FRTB spurs data mining push at StanChart
Bank building “single golden source” of trade data in a bid to lower NMRF burden
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