Market risk
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
US banks’ OTC derivatives climb to new highs amid tariff woes
Notionals up more than 7% in largest Q2 jump on record
Regulatory capital calculation product of the year: S&P Global Market Intelligence
S&P Global Market Intelligence’s win highlights its Traded Market Risk Solution’s effectiveness in meeting the stringent requirements of FRTB
Market RWAs climb at top Chinese banks as risk sensitivities spike
China Construction Bank records biggest rise on record in Q2
Some European banks still failing net interest income test
Swedbank joins seven other outliers after it updates methodology assumptions
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
How some banks aced the EBA stress test
Four banks actually increased their capital ratios, while US subsidiaries were hit worst
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
Dynamic stress-testing and shock event calibration
Insights, challenges and strategies related to the evolving landscape of market risk management
Basel III overhaul doubles Nomura’s credit risk
Surge reflects asset migration and new equity treatment
Will the UK’s FRTB time warp turn into a horror show?
UK regulator’s proposed transition year in 2027 could double banks’ implementation work
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
A dynamic method-of-moments copula model approach for market risk estimates
The authors propose a method-of-moments copula technique for estimating asset portfolios' market risk, demonstrating a significant reduction in copula estimation time.
Standard Chartered launches spot crypto market-making
Bitcoin and ethereum to trade off the bank’s FX desk, but questions remain on capital treatment
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
Softer DFAST market shock favours Goldman but confounds comparability
Tweak to trading book test reveals widening gap between bank and Fed loss forecasts
Japan regulator calls on laggards to keep Basel promise
After EU and UK delays – and amid fears of US divergence – Japan is keeping a close eye on its peers, says Shigeru Ariizumi