Market risk
UK banks ramp up market risk
Market RWAs up £18 billion in first quarter
French regulator voices doubts on Europe’s FRTB timeline
Federal Reserve warns EU delay would force US to reconsider 2022 implementation
Shrunk volatility value-at-risk: an application on US balanced portfolios
In this paper, the authors adopt a new method of predicting VaR, to estimate balanced portfolios’ VaR.
Solvency II capital charges concentrated in two key risks
Market risk SCR averages 37% across six large insurers
Model and policy changes behind billions in UK bank RWA shifts
Net capital charges of £368 million across five lenders attributable to model updates alone
US bank RWA density edges higher
Morgan Stanley density increases from 41.46% to 45.47% year-on-year
EC official offers hope to prop traders on capital rules
Official sees problems in draft regulation, says EU council and parliament are discussing them
Nomura’s Europe CRO headed to NatWest Markets
Jeremy Arnold to join RBS’s markets business; state-backed lender recently lost its CRO
Japan regulator: we are racing to finish FRTB in 2018
Japanese banks warn against rushing rules with poor data, and fret over EU delays
Banks fear more trades will be caught in NMRF trap
“Many risk factors now will essentially look like NMRFs,” says North American bank’s risk manager
US bank VAR-based charges surge in volatile first quarter
Average quarter-on-quarter increase of 23% for VAR-based capital across 11 large dealers
Crédit Agricole de-risking saps earnings
Corporate and investment banking RWAs fall 11%; net income falls €103 million
European banks face forex volatility on bail-in ratios
Use of funding in foreign currencies creates new risk, especially in non-eurozone countries
Bank of America and BNY Mellon suffer VAR breaches
Trading losses exceeded estimates on a single day at each dealer in the first quarter
FRTB: Nordic banks mull regional data pool
Local tie-up could “prevent big banks entering the markets in the Nordics”, says local risk manager
ING market risk charge edges higher
Dutch bank adds €0.8 billion of market RWAs
US will implement FRTB, insists Fed official
Isda AGM: “I don’t know why people doubt” US adoption, says Lynch
RBS model change loads on credit RWAs
RBS's total RWAs increase for the first time since 2015
Basel’s Coen warns on FRTB complexity
Isda AGM: Regulators may consider “simpler and more robust” approaches when finalising rules this year
EU shelves limits on structural FX hedge exemptions
Basel rethink on FRTB capital ratio hedging prompts fresh questions over EU implementation
FRTB threatens dynamic forex hedging of capital ratios
Industry says recent Basel proposals are unclear and retain burden of pre-approval for hedges
Goldman Sachs’ VAR at three-year high
Increased client activity and market volatility increases firmwide risk
How banks should organise themselves for FRTB
New market risk rules require a rethink on trading and ops, argue market risk experts