Market risk
Multifactor granularity adjustments for market and counterparty risks
In this paper, the authors propose several flexible families of models to manage the market and/or the counterparty risk of portfolios of financial assets.
VAR cut helps shrink UBS market RWAs
Average management VAR falls Sfr10 billion
Chaotic behavior in financial market volatility
In this paper, the authors present a robust method for the detection of chaos based on the Lyapunov exponent, which is consistent even for noisy and finite scalar time series.
Goldman VAR dips on equities and rates risk
Average daily value-at-risk falls 12% from three-year peak in Q1
Trading risk plummets at BAML as portfolio grows
Trading VAR falls to $30 million from $40 million in Q1
Stress-test trading losses out of sync with banks’ market risk
Trading and counterparty losses triple those implied by banks’ market RWAs
FRTB: trade bodies reveal threat to risk factor modellability
Swaptions, sovereign CDS and long-dated swaps at risk of being NMRFs
Amber zone in new P&L test ‘almost useless’, say banks
Analysis shows many desks would not benefit from safe harbour in Basel FRTB proposals
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