Market risk
BNP tags €10bn of equity derivatives as hard-to-value
Over 12% of exposures classified as Level 3 at end-June
Trading VAR surged at Credit Suisse in Q2
Market risk-weighted assets up 20% quarter-on-quarter
Top US banks reined in RWAs in Q2
Credit exposures fall after a wild first quarter
Stuart Lewis, Deutsche’s survivor, confronts Covid-19
CRO talks loan reserves, VAR breaches, and the lessons of a lurid past
At Danske Bank, market RWAs soar as credit risks dip
Bond binge contributes to 36% increase in market risk charge
Trading risks lurched higher at top US dealers in Q2
Bank of America and Morgan Stanley saw VAR levels surge over 50%
VAR doubles at JP Morgan in Q2
Trading risk for fixed income products jumps to $129 million
Market risks push up top EU insurers’ capital charges
Allianz sees SCR for market risk surge 28% year-on-year
Art-secured lending: a risk analysis framework
In this study, the authors identify the three types of risks involved in an art-secured lending operation and present a framework to assess their combined effects via a Monte Carlo simulation.
EU urged to pass permanent market risk capital relief
Council agrees temporary changes, but ECB’s Enria wants legislators to trust supervisors
Regulators and banks clash on FRTB capital impact study
Basel and EBA call out two banks for using “overly conservative” survey assumptions
In downturns, vol travels down the supply chain – study
Customer VAR breaches strike at stressed suppliers, research shows
EU Parliament ‘likely’ to allow market risk capital relief
MEPs propose allowing supervisors to temporarily exclude Covid-related backtesting exceptions
Rewards for failure: the ECB’s topsy-turvy market risk relief
Eurozone banks with better models are least able to offset Covid-driven rise in backtesting multiplier
Covid tumult pushed VAR capital charges up 72% at US G-Sibs
JP Morgan’s charge increases 148% quarter-on-quarter
Preparing for Basel IV amid regulatory uncertainty
This webinar explores how technology can lead a proactive approach to compliance with regulations in a timely manner, leveraging investments to anticipate breaches and shortfalls
Trading losses at US units of Deutsche, RBC exceed VAR by 1,000%
Wild markets overwhelmed foreign banks’ value-at-risk estimates
Systemic US banks incurred 42 VAR breaches in Q1
Leading dealers saw actual losses over four times greater than their VAR estimates on some days
Six VAR breaches at ABN Amro in Q1
Market risk capital charge climbs 57% in response
EBA relaxes modellability hurdles for market risk capital
Flexibility granted for assessing NMRFs on options, but constraints remain on committed quotes
BNP incurs nine VAR breaches in Q1
Market RWAs jump 37% to €26 billion
Reshaping buy-side trading and risk
Video Q&A: Sean Carr, FactSet
SocGen’s trading VAR unmoved by wild markets
Though market RWAs soared, VAR dipped 7% quarter-on-quarter
PRA relief blunts market risk surge at Barclays, StanChart
Without temporary measures, market RWAs would have been 18% higher at StanChart