Market risk
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
Citi, BNY Mellon escape Collins floor
Both banks return above the threshold after just two quarters
Banks turn away from FRTB internal models in Europe
Drawbacks mean even fewer model approval applications planned than past ECB survey suggested
Why FRTB model test loves volatility, but hates hedges
Crucial P&L test for internal models easier to pass if price swings are large, or desks poorly hedged
EU eyes fix to FRTB’s capital asymmetry for govvies
Banks say French presidency proposal would see PD floor slashed for sovereign bonds under IMA
Finding the investment management ‘one analytics view’
This report is essential reading for buy-side risk, investment and technology leaders looking to achieve a new level of analytical insight and drive a step-change in performance
Hyperautomation in anti-financial crime: powering transformation
This report explores the need for banks to invest in AFC operations that are more effective and efficient
Eurex’s fixed income and IRS units hit by almost 700 breaches
Peak breaches in Q1 were €706 million and €214 million in size, respectively
Morgan Stanley incurs two VAR breaches
The latest backtesting exceptions put the bank one step closer to triggering a capital requirement hike
FRTB: a question of strategy for US banks
As pieces of the FRTB puzzle fall into place, the model methodology reshuffle raises new questions for US banks hoping to heed the lessons from their FRTB forerunners in Europe and beyond.
VAR multiplier hike sends UniCredit’s IMA charges up 23%
Market volatility following the invasion of Ukraine one of the drivers behind the increase
How will US regulators perform the Basel III balancing act?
Largest banks seek offsets for higher capital requirements caused by possible end of IRB, IMM
Standardised market RWAs surge at EU banks
UniCredit and BNP Paribas among dealers affected by new FX risk guidelines
Capital One changed SVAR window 24 times in Q1
Since 2020, the lender updated its chosen stress period dozens of times each quarter, far more frequently than peers