Market risk
Citi propels G-Sibs’ OTC derivatives notionals to nine-year high
Bank leapfrogged Goldman as fourth-largest derivatives dealer after 20% jump over 2022
Markets Technology Awards 2024 winners' review
Vendors spy opportunity in demystifying and democratising – opening up markets and methods to new users
VAR breaches trip up Citi, CS USA and two others in Q3
Comerica’s VAR multiplier ratchets up while Huntington’s remains at record high
FRTB managers face hard facts about risk factors
There are ways to reduce the capital charges caused by NMRFs, but they come at a price
Peak-to-valley drawdowns: insights into extreme path-dependent market risk
The authors investigate risk in relation to peak-to-valley market drawdowns and aim to gain insights into the drawdown behaviour of asset classes across time intervals.
Party’s over as more banks drop internal models for market risk
At least three systemic banks in Europe intend to ditch IMA for capital requirements
BofA’s VAR reels back to pre-pandemic level
Dealer leads large US banks on curtailing market risk
Integrated stock–bond portfolio management
The authors put forward a stock-bond portfolio selection model which is based on CreditMetrics principles in which market and credit risks are naturally integrated.
As banks limit FRTB model use, outputs get more volatile
Risk managers say selection of stress window becomes more sensitive if fewer desks are on IMA
JP Morgan, BofA say Basel III plan could wipe out capital cushion
Banks forecast $82 billion cumulative hike in capital requirements from Fed proposals
Crypto: too important to ignore
This WatersTechnology rapid read survey report examines the crypto finance priorities of institutional investors, how far along they are on their crypto journeys, the challenges in entering and participating in this market, and what they value most when…
The importance of data-driven decision-making in Apac
Embracing data-driven decision-making enabled by digital technologies is crucial for the success of lending institutions in Apac
Apac banks put trust in pre‑trade
Amid tougher trading conditions, Apac banks are making greater use of pre‑trade analytics to inform their strategies and reduce risk. But how successful are these tools?
RBI’s modelled market charges surge 31% as SVAR spike
Widespread volatility in first half of year inflated stressed gauge despite 2022 wind-down of rouble positions
Navigating IFRS 9: strategies for effective implementation and moving beyond
There has been a constant change within the landscape of financial reporting, and IFRS 9 has been proven to be a critical component.
A few insights into crypto risk
Key points about crypto-related risks that are important for institutional participants or those just beginning their crypto journey
RBC’s loan-underwriting VAR drops 59% as volumes dry up
Widening credit spreads had previously sent market risk on syndicated loans skyrocketing
The evolution of buy-side risk: managing the emerging importance of liquidity and climate risk
Risk managers have a tried and tested toolkit for market risk, but recent events and developments have highlighted the need for increasing rigour around liquidity risk and climate risk. This webinar explores the evolving scope of buy-side risk management…
Deutsche’s IRC peaks at record high during H1
€905m charge for trading book default and migration is largest among global dealers
As action time nears, be aware of these three big FRTB issues
This white paper reviews three of the core issues and challenges that demonstrate some of the ways FRTB will impact the capital markets.
Adapting to economic uncertainty: internal audit’s journey
In this report, internal auditors in different sectors have shared their experiences and strategies, providing valuable insights for others facing similar challenges
The Fed’s stress-test models are inaccurate. Something has to change
First step for US regulator to improve its bank loss forecasts would be to open up its models to public scrutiny, argue two banking industry advocates
AgBank’s regulatory VAR hits record high in first half
Chinese bank’s market risk up by over a third to highest level in a decade
Norinchukin’s RWAs up 21% as Basel III formulas react to market volatility
Market charges up 230% in harsh test of new standardised approaches