Market risk
The evolution of the fixed income tradable ecosystem: North American and European credit markets
Fixed income tradable indexes are designed to provide an efficient means to measure the bond market. This paper offers an introductory reference for these instruments and highlights their performance in recent market periods.
The strange effect of US clampdown on FRTB models
Ban on internal models for trading book default risk could provide some banks with unexpected capital relief
HSBC’s trading VAR hits 10-year high
Interest rate risk behind trading risk gauge peaked in H1
The changing face of credit portfolio management at banks
Faced with huge increases in capital charges in the coming months, banks will turn to credit portfolio management to support business decisions on origination, capital allocation and risk transfer
StanChart racked up three VAR breaches in H1
Market volatility triggers VAR model review at the UK bank
The dynamics of XVA usage and other themes that characterise trading in the energy markets
The application of XVAs for derivatives transactions, the need for sophisticated modelling and the growing application of machine learning are among six themes explored in this white paper – all of which significantly impact trading in the energy markets.
ING’s market risk up 13% on higher SVAR
Q2 figures marked reversal of downward trend for modelled market RWAs
Banks slam zombie floors in Basel endgame proposal
US regulators double down on capital floors despite clampdown on internal models
Approaching menace: how financial firms are tackling emerging risks
This Risk.net report, based on a survey of 100 enterprise risk professionals in financial firms, assesses the nature of emerging risks, how well firms can assimilate emerging risks within existing risk management frameworks, and the extent to which…
For the capital markets, every risk playbook needs to implement these six themes
This white paper outlines six risk management themes that we think should be a part of any risk playbook and which can serve financial institutions well in preparation for the uncertain future that lies ahead.
Banks begin tackling climate stress tests of trading books
Market risk professionals see major shortcomings in available scenarios
EU banks balk at new market risk models back test
EBA proposals introduce additional expected shortfall back test for market capital risk models under FRTB
MUFG’s settlement risk surges fourteenfold
Risk-weighted assets for Japanese lender’s unsettled transactions cross ¥300 billion mark in the first three months of 2023
US arms of Credit Suisse, SMBC stumble on VAR
Breaches of trading forecasts in Q1 result in higher value-at-risk multipliers for the duo
Information geometry of risks and returns
An innovative product design framework and its geometric interpretation is introduced
EU banks fear Brexit battle over FRTB internal models
Bank of England approach looks easier, but that may not make much difference to model uptake
The case for modularity and interoperability
This report, produced by WatersTechnology and Broadridge, investigates the extent to which firms have optimized their entire trade lifecycles, the structure, challenges and interoperability of their front-office systems, and what they most value when…
JP Morgan on course to escape Collins floor
Gap between standardised and modelled RWAs at its smallest since 2016
Integrating ECL onto a stress-testing platform: portfolio composition
How to grow a portfolio that is internally consistent with a stress scenario
Banks find new uses for discarded FRTB models
Much-maligned IMA models are being upcycled and repurposed for internal risk management
Banks look back in anger as FRTB revives 1990s risk test
Institutions bemoan need for parallel framework to measure portfolios’ sensitivities to market moves
US falls behind in race to match Europe’s FRTB launch date
Recent US bank failures could jeopardise planned January 2025 start date for Basel III
Leaders’ panel: risk culture 2.0: redefining attitudes and behaviours in an era of change
Amid an increasingly complex risk landscape, regulators’ expectations around culture and conduct have become more stringent.
ESG strategies special report
This Risk.net special report sponsored by SAS features a series of articles that reflect on the latest initiatives for consistent standardised global frameworks for measuring ESG, consider the methodologies investors are using to make measurable progress…