Market risk
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
Danske, Deutsche and PNC pin SVAR to Covid-19
Most global banks continue to use the global financial crisis to stress-test their portfolios
Banks’ loan-loss forecasts diverge in BoE climate exercise
Dispersion of estimates for corporate impairments highlights variety of assumptions for modelling climate risk
JP Morgan leads US banks on surging VAR capital charges
Requirements connected to commodity positions jumped 426% in the first quarter
What drives the convertible bond market?
This whitepaper looks at the key drivers that influence the convertible bond market and how it provides unique opportunities for both investors and issuers.
Credit risk capital models hanging by a thread in the US
Industry insiders expect Fed to drop IRB and IMM when adopting Basel III, but market risk models may survive
Take advantage of relative value credit opportunities with advanced bond analytics
This whitepaper explores the challenges of bond analytics and how access to the right analytics can provide opportunities for more comprehensive trading strategies.
Nomura switches to lower-confidence VAR model
Internal measure of potential market loss brings bank in line with the likes of JP Morgan and BofA
RBI’s market risk gauges go haywire on Ukraine war fallout
Portfolio reshuffling helps Austrian bank contain RWA impact
BNP Paribas notches three VAR breaches in Q1
Latest count puts bank on cusp of capital penalty
Fortunes of VAR: dealers decry effect of war on risk models
European banks with large Russian derivatives exposures face risk of backtesting exceptions – and higher capital requirements
Mifid II transaction reporting and risk management: the quest for quality
This report is based on a Risk.net survey commissioned by London Stock Exchange Group, which was completed in August 2021.