Market risk
At US G-Sibs, 11 VAR breaches in 2018
The final quarter of 2018 saw a record number of VAR breaches at the biggest US banks
Goldman suffers first VAR breach since 2016
Goldman reported 45 days in the calendar quarter where it suffered a trading loss
Banks hope final FRTB rules will ease NMRF burden
Internal models approach buoyed by more liberal rules on price observations and risk factor aggregation
VAR model under scrutiny as RBS’s breaches spike
Excessive backtesting exceptions lead to increase in capital multiplier
VAR surges, revenues tank at French banks hurt by volatility
Revenues decline €1.2 billion at big four banks' trading arms
Equity risk amps up Citi’s VAR charges
Requirements connected to equity positions jumped 49% quarter-on-quarter
BNP Paribas’ VAR soars 17% after brutal Q4
Equity revenues fall 70% on year-ago quarter
Banks rocked by U-turn on FRTB equity risk weights
Risk managers warn of higher capital charge after Basel reverts to original 2016 treatment
Deutsche’s market RWAs surge €8bn on volatility spike
Elevated VAR levels and a temporary increase in the incremental risk charge, drove the market RWA increase
Santander tames its trading risk
Group value-at-risk falls 40% in 2018
One-quarter of market risk not modellable
US banks have largest portion of capital requirement set by the SA
Stock slump dents income, hikes VAR by 22% at UBS
Income from equity derivatives trading plummeted $47 million quarter-on-quarter
Final FRTB internal model rules get mixed reviews
Bankers divided on whether changes to two key tests will ease ‘penal’ capital charges
Standardised approaches lose out in FRTB update
Ratio of standardised approach to IMA capital estimated to increase
JP Morgan VAR surges 46% in Q4
The bank’s average VAR jumped $16 million to $51 million at end-December
Regulators demand action on rogue market risk models
Thirteen banks out of 49 face remedial action
Teach history to avoid mistakes of yesterday’s quants
Quant grads should be taught follies of LTCM, Gaussian copula and London Whale, writes UBS’s Gordon Lee
Bond trading dominates EU bank market risk
Traded debt position risk accounts for 60% of market risk capital requirements
Fall in market risk prods UK bank RWAs lower
Total RWAs amounted to £2.9 trillion at end-September
EU lawmakers delay FRTB capital charges
Leaked paper potentially pushes market risk capital charges beyond Basel’s 2022 deadline
Goldman sees third-quarter fall in market RWAs
Market RWAs fell $13 billion across the eight US G-Sibs
Brexit set to jack up banks’ capital costs
Split into UK and EU arms will reduce netting benefits and capital flexibility
Market risk drops €5 billion at big EU banks, reversing trend
Banco Santander posts largest reduction of group, with market RWAs falling €2.2 billion
Risk Markets Technology Awards 2019 winners' review
This year’s Risk Markets Technology Awards reveal a sector in flux. The judging panel of practitioners and Risk.net editorial staff recognised a mix of incumbents and insurgents that were able to demonstrate they had responded to the market’s changing…