Modelling
JP Morgan’s VAR limits blown twice during haywire Q1
Breaches add to the two regulatory backtesting exceptions sustained the previous quarter
Santander’s operational, securitisation RWAs hit new highs
Record rise in op risk comes before Basel III implementation
A peek under the hood of Canadian banks’ new CVA machine
Disclosures from the country’s top dealers offer first glimpse of how FRTB reforms can reshape capital gauge for potential losses on derivatives
Fed’s NBFI scenario may be more use than CCAR – experts
Main severely adverse scenario does not capture contagion risks from any squeeze on non-banks
NSCC suffers record $7bn liquidity shortfall
Index rebalancing in December drives CCP’s largest-ever simulated funding gap
Cool heads must guide financial regulation of climate risk
Supervisors can’t simply rely on ‘magical thinking’ of market discipline, says Sergio Scandizzo
EU banks show basic instinct for credit valuation adjustments
Simpler approach to CVA appeals even to some already using more complex models for counterparty risk
Lessons for academic research from model risk management in financial institutions
The authors suggest that model risk management practices used in financial institutions can be applied to academic research and enhance research outcomes.
Margin breaches skyrocket at JSCC amid market volatility
August turmoil led to record initial margin shortfalls at six clearing divisions
Options expiry triggers $4bn liquidity shortfall at NSCC
Second-largest simulated shortfall on record mitigated by extra liquidity deposit and OCC commitment