Market risk
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.
The post-trade patch-up: revamping processes in volatile times
This Risk.net Rapid Read survey report, commissioned by ION, examines the effectiveness and efficiency of post-trade processes and services at financial firms, and assesses where change is most needed, and the barriers to change.
China’s ABC, BoC buck H1 trend and cut market risk
Market risk charges keep rising at CCB, ICBC and all non-systemic banks
RBC takes $296m hit on underwritten syndicated loans
The latest markdowns were higher than at the outbreak of the pandemic
ING’s market RWAs jump 30% as FX positions breach waiver limit
Increase arose from stricter EU rules under which FX exposures qualify as structural hedges
JP Morgan’s VAR multiplier increases following Q2 breach
Citi also reported one backtesting exception but kept VAR-based market risk capital requirement flat
Archegos revives Lehman-era trade booking controversy
Experts debate whether defaulted TRS positions should have become house exposures immediately
Commerz’s VAR multiplier ratchets up after H1 breaches
Bank dodged increase in market RWAs by rebalancing to a lower-risk trading portfolio
Crédit Agricole’s VAR jumps 88% on fixed income blow-up
Trading risk gauge reached the highest since Q2 2020
Using portfolio management to steer your way through foggy market conditions
Post-pandemic uncertainties, market consolidations, increasingly complex portfolio compositions, margin compressions, new competitors interest rate rises. Portfolio managers are operating in foggy conditions
NatWest cuts banking book market risk by 48%
Lower credit spread risk from bond disposals partly offset by interest rate risk on hedges
FCMs brace for ‘tough winter’ of energy market disruption
Banks stress-test clients, add big margin multipliers to insulate against risk of 100% price moves
Deutsche’s market RWAs climb 28% as VAR multiplier bites
RWAs in the ‘corporate and other’ segment surged to €7.8bn in Q2 from €715m at end-2021
UBS’s investment bank sees RWAs surge as revenue slows
Market risk exposure jumped 25% to $13.1 billion in Q2, the highest level in more than three years
The economic impact of Covid on the US housing and mortgage market
Covid-19 has fundamentally reshaped consumer behaviour. Combined with drastic changes in federal government policy, the impact on financial markets will be long-lasting
Nordea’s IMA RWAs climb 11% in Q2
Relentless rise in VAR keeps pushing up bank’s market charges
‘Nightmare’ of uncertainty plagues FRTB model applications
Shifting timetable and rule tweaks that could alter incentives dampen appetite for internal models
Goldman Sachs’ VAR averaged record $124m in Q2
Trading risk indicator surged past early pandemic readings