Market risk
EU banks pare back commodities risk
Risk-weighted assets for commodities trading positions under standardised approach fall almost 30%
At UK stress test banks, loan-loss estimates up £8bn in 2019
Impairments estimated to cut 5.7% off of the banks’ aggregate CET1 capital ratio
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
Bank risk manager of the year: HSBC
Risk Awards 2020: New market risk system proves its worth in a year of emerging market blow-ups
Credit valuation adjustment wrong-way risk in a Gaussian copula model
In this paper, we present an analytical expression for CVA with WWR under the assumption of the lognormally distributed trade value.
FRTB to double market RWAs of EU banks
Risk-weighted assets across 44 banks to increase 105% on average
Final Volcker rule spurs rethink on FRTB trading desks
Regulators encourage structural alignment between the two rules, but hurdles remain
Goldman leads US banks on trading VAR, but not on revenue
NY-based dealer makes $9.1bn trading revenue year-to-date to JP Morgan’s $18.7bn
Technology vendor of the year: Murex
Risk Awards 2020: Firm bets heavy R&D spend will keep it ahead of shifting client needs
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
G-Sibs eye simpler market risk calculations in Hong Kong
HKMA may need to ease rules on NMRFs to incentivise use of internal models
JP Morgan takes axe to tough-to-model trading risks
US G-Sibs see market RWAs fall 4.1% quarter on quarter
Sandbar's focus on idiosyncratic factors sets it apart from its peers in equity market‑neutral
With investors sometimes struggling to find hedge funds that deliver uncorrelated, consistent returns, Sandbar Asset Management stands out from its peers. Its success in running an equity market-neutral strategy is a reflection of its founder and chief…
Goldman, State Street amass losing trading days in Q3
Tough market conditions also led to VAR breach at Goldman Sachs
Goldman, BBVA and TD Group incur VAR breaches in Q3
US unit of TD Group endures four breaches in three months to end-September
Banks warn of trader crunch at CCP default auctions
Risk USA: dealers hope for more cross-CCP fire drills
FRTB costs force banks to weigh IMA desk by desk
Risk USA: Some desks “may not be able to pass these more rigorous standards”, says Morgan Stanley FRTB lead
Model tweaks lift Danske’s market RWAs 30%
Tough trading quarter could also have pushed VAR-based charges higher
Interest rate, credit risk push BNP Paribas’ VAR up 25%
French bank also reported a VAR breach in Q3
VAR breaches push NatWest Markets’ RWAs higher
Turbulence in rates behind higher market risk charges
Stress-testing to improve strategic decision‑making
Banking regulators remain focused on expanding and developing the range of stress-testing regimes across the globe to maintain stability, monitor emerging risks and avoid another financial crisis. Here, a forum of industry leaders discusses the evolution…
Double trouble: don’t blur FRTB deadlines, warns ECB
Ignoring reporting model deadline could muddy capital approval cut-off
At UBS, market risk charge falls following model updates
Market RWAs dropped on the quarter, even though risk levels increased
Best CVA practices in Japan
At a recent roundtable in Tokyo, banks and regulators discussed progress on credit valuation adjustment (CVA). While, in many respects, the work towards implementing best practices in the country is on track, challenges remain in resourcing and…