Market risk
US climate guidance stokes debate over defining material risks
Banks welcome flexibility, but it could lead to big divergence on climate risk management
Diversifying buy-side risk frameworks
This Risk.net paper, sponsored by S&P Global Market Intelligence, outlines the impact of the higher-rate, high-volatility environment on market risk and liquidity risk, and the emerging importance of climate risk.
Bank balancing: optimising margin and capital in a higher-rate environment
This Risk.net paper, which features leading practitioner insights, assesses the challenges banks are facing in the new higher rate environment and the strategies and tools they are using to optimise margin and capital on their derivatives portfolios.
Tackling credit risk in turbulent times
In September and October, Risk.net surveyed 58 chief risk officers from a mixture of banks and insurers across the Asia-Pacific region on the credit risks they face in the current environment and how they manage them.
FRTB could put Indian banks at competitive disadvantage
Simplified approach could leave local banks with higher capital charges than foreign branches
Can ChatGPT unlock better investment portfolio selection?
This whitepaper explores the potential uses of generative artificial intelligence (AI) models, such as ChatGPT, for investment portfolio selection
Asia moves: Senior hires at Societe Generale, Linklaters and more
Latest job news from across the industry
Loss of ruble volatility waiver costs UniCredit €2.2bn in RWAs
Lender forced to capitalise FX risk from Russian operations after ECB withdraws key exemption
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