Modelling
US banks see highest number of loss-making days in six years
Wells Fargo, Citi and JP Morgan the worst performers in record-breaking Q4
Benhart: banks should start revising for OCC’s climate exams
US agency’s climate chief says firms will need more data from clients if they’re to make the grade
Top US banks record 14 VAR breaches
JPM, Morgan Stanley, BofA, Citi, Goldman and State Street wrong-footed in volatile end to 2021
Bookstaber: past performance is no guide to future risks
Veteran risk chief says trading gains in wake of LTCM’s demise forged love of agent-based modelling
Prime broker of the year: Barclays
Risk Awards 2022: Focus on risk management helps UK bank win client trust – and balances – in wake of Archegos collapse
Clearing house of the year: OCC
Risk Awards 2022: Risk management reforms help clearing house weather meme stock volatility
JP Morgan incurs eight VAR breaches, triggering capital hike
Largest trading loss in Q4 reached 207% of the bank’s VAR limit
SocGen cut trading VAR by a third in Q4
Trading risk gauge shrinks to lowest in 17 years
The Collins flaw: backstop turned binding constraint
US legislative tweak was meant to prevent banks from using their own capital models too liberally. It’s now something different
Apra’s overlay pushes CBA’s market RWAs up 30%
Market risk is at the highest level since Q4 2020
Nordea’s trading VAR keeps climbing amid rate hike jitters
Trading risk gauge surged 17% through Q4
ING’s interest rate VAR spiked in Q4
Potential-loss indicator for rates trading peaked at €20 million
UBS incurred a VAR breach in Q4
The latest larger-than-expected loss – the fourth in 2021 – leaves the bank one step closer to higher capital requirements
Deutsche’s op RWAs down 10% in 2021
‘Bad bank’ unwinding pushed op risk at multi-year low
All top US banks below Collins floor
None of the eight systemic banks in the country above the threshold for the first time since 2015
Top US banks released $18.5bn of credit reserves in 2021
JP Morgan reversed over $6bn of PCLs, the most of the group
Bank of America’s VAR drops 19% in Q4
Average one-day trading VAR falls to lowest point since Q1 2020
Wells Fargo RWAs drift apart
Standardised RWAs have increased for three consecutive quarters, putting pressure on the bank’s CET1 capital ratio
New model simplifies loan-loss forecasts. Some say it’s too simple
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
NSCC’s year of living dangerously
The CCP’s models are falling short time and time again, and the consequences could be disastrous
JSCC member received $3bn cash call in Q3
The CCP revised its estimate of the worst-case payment obligation that would have to be met should one of its participants collapse
At LCH, required IM rose over Q3
Required minimum demanded of clients increased at ForexClear, RepoClear and EquityClear, but fell at SwapClear
NSCC’s liquidity pool twice short of payment obligation in Q3
The CCP reported a shortfall in its qualifying liquid resources for the third consecutive quarter
Buy side turns to extreme value theory to spot tail risks
Asset managers reappraise decades-old technique to gauge downside risks amid fears of volatile 2022