Market risk
UBS leapfrogs global peers following Credit Suisse takeover
Swiss lender reports big increases in RWAs, leverage exposures and other key metrics
Northern Trust’s market risk surges ninefold in Q2
Market risk exposure jumps to $673 million, the highest level on record
US-regulated IHCs retrench from VAR limits
Largest daily trading losses in Q2 were on average 50% of forecast, down from 102% in Q1
Industry divided on whether Europe should delay FRTB
Most bankers prefer to keep to earlier start date, even though it puts continent out of sync with US
Comerica’s VAR multiplier spikes following eight breaches in Q2
Worst one-day trading loss at Dallas-based company was six times as large as its forecast
Banks unravel data conundrum as FRTB implementations stall
This Risk.net rapid read survey report details how much progress banks have made in implementing FRTB and highlights the major challenges they face in gaining data insight, both for the SA and the IMA.
Goldman most threatened by Fed’s rejig of modelled capital charges
End of credit risk modelling and scaling up of SCB’s role could tip six US banks below minimum requirements
We need to talk about pre-hedging
Dealers claim it’s a vital tool for managing risk. Clients say it’s open to abuse. How should regulators treat the problem child of financial markets?
Nine US banks could be caught by Fed’s revised market risk rule
Expansion of trading risk charges to banks above $100bn in assets would also affect firms with minimal trading activity
360° of climate: indices for every objective
This white paper explores a variety of climate strategy targeting objectives, including low carbon, fossil fuel-free and net zero to enable investors to respond to the risks and opportunities of the climate challenge.
Commerz’s market RWAs up 9% on EBA technical update
Updated list of closely correlated currencies removes lower fund requirements from 197 pairs
The evolution of the fixed income tradable ecosystem: North American and European credit markets
Fixed income tradable indexes are designed to provide an efficient means to measure the bond market. This paper offers an introductory reference for these instruments and highlights their performance in recent market periods.
The strange effect of US clampdown on FRTB models
Ban on internal models for trading book default risk could provide some banks with unexpected capital relief
HSBC’s trading VAR hits 10-year high
Interest rate risk behind trading risk gauge peaked in H1
The changing face of credit portfolio management at banks
Faced with huge increases in capital charges in the coming months, banks will turn to credit portfolio management to support business decisions on origination, capital allocation and risk transfer
StanChart racked up three VAR breaches in H1
Market volatility triggers VAR model review at the UK bank
The dynamics of XVA usage and other themes that characterise trading in the energy markets
The application of XVAs for derivatives transactions, the need for sophisticated modelling and the growing application of machine learning are among six themes explored in this white paper – all of which significantly impact trading in the energy markets.
ING’s market risk up 13% on higher SVAR
Q2 figures marked reversal of downward trend for modelled market RWAs
Banks slam zombie floors in Basel endgame proposal
US regulators double down on capital floors despite clampdown on internal models
Approaching menace: how financial firms are tackling emerging risks
This Risk.net report, based on a survey of 100 enterprise risk professionals in financial firms, assesses the nature of emerging risks, how well firms can assimilate emerging risks within existing risk management frameworks, and the extent to which…
For the capital markets, every risk playbook needs to implement these six themes
This white paper outlines six risk management themes that we think should be a part of any risk playbook and which can serve financial institutions well in preparation for the uncertain future that lies ahead.
Banks begin tackling climate stress tests of trading books
Market risk professionals see major shortcomings in available scenarios
EU banks balk at new market risk models back test
EBA proposals introduce additional expected shortfall back test for market capital risk models under FRTB
MUFG’s settlement risk surges fourteenfold
Risk-weighted assets for Japanese lender’s unsettled transactions cross ¥300 billion mark in the first three months of 2023