Market risk
Collateralised exposure modelling: bridging the gap risk
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
US banks’ loss-to-VAR ratios fell in Q3
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
SPIVA® institutional scorecard
In this white paper, we measure how well actively managed funds stack up against their index benchmarks over short- and long-term periods
Impactful short duration: green bonds and yield curve strategies
Against the backdrop of rising rates and increasing interest in impact finance, this white paper compares the short, medium and long duration performance of EUR-denominated credit bonds and looks at how the performance of a green bond strategy (iBoxx…
Complying with climate risk framework standards for streamlined processes
Conscious that climate change affects all sectors of the economy, financial institutions are realising the significant impact this will have on their customers and, ultimately, their own profit margins.
Standardised market charges rose faster at IMA users in H1
Market convulsions and structural FX hedge crackdown felt less acutely at SA-only banks, finds EBA data
A wealth manager’s guide to keeping clients invested during periods of market instability
Periods of market volatility and instability are typically some of the most challenging times for investors. This guide explores methods of supporting investors and helping them stay the course during turbulent times
Fragmented rules muddy Asian FRTB implementation
Banks and vendors warn risk factor data may not be usable across different jurisdictions
How risk managers can stop the FTX infection from spreading
Segregation and transparency can save investors from imploding crypto trading venues
RBI’s VAR gauges hit new record
Banking and trading book risk rose in Q3 amid shifts in risk factor mix
Podcast: Leveraging real‑time data feeds for faster business decisions
The markets have been on a very volatile ride in 2022, which makes low-latency data more crucial to the business
Crédit Agricole VAR hits highest since 2010
Trading risk gauge rose as high as €27 million during Q3
Vol pushed HSBC’s modelled market risk up 37% in Q3
Erratic markets in Europe and Asia blamed for $6.4bn increase led by VAR and SVAR-based charges
NatWest’s modelled market RWAs up 10% on RNIV backstop
Bank sees higher charges while it reworks VAR engine
Singapore’s UOB bucks trend to seek FRTB model approval
Despite data challenges, bank is opting for IMA to enhance risk management
The Spikes® volatility index: why methodology really matters
Using reliable indicators to gauge market sentiment is crucial for investors and traders, particularly during times of uncertainty such as the September 21 Federal Open Market Committee (FOMC) Meeting
Modelled RWAs diverge from standardised at Wells Fargo
Gap between the two methodologies hits $152bn – its widest ever
Morgan Stanley’s VAR averaged $61m in Q3
Trading risk indicator surged 33%, second-hottest reading since 2013
Hong Kong, India, Turkey lag behind on Basel III framework
Only Canada, Japan and Saudi Arabia ready for full implementation as January deadline approaches
Market risk capital relief could cut charges at 13 EU banks
EBA says Covid-style measures could be considered to tackle energy crisis
European banks set for 17.5% capital hike under Basel III
Output floor could account for almost half the increase in Tier 1 capital requirements by 2028
Esma renews Mifid pursuit of energy firms amid crisis
Utility companies worry about high and volatile capital requirements if they are caught under IFR
EU dealers’ IRC charges surge on debt market jitters
Santander and Natixis among hardest hit, with charges up 117% over first six months of the year
Risk applications and the cloud: boosting collaborations to strengthen risk management infrastructure
More of today's financial services organisations are choosing to move their financial risk management applications to the cloud.