Profit & loss (P&L)
JP Morgan’s VAR limits blown twice during haywire Q1
Breaches add to the two regulatory backtesting exceptions sustained the previous quarter
Goldman chalks up highest VAR breach since pandemic
Nine breaches in total across 34 banks in Q3
Using option prices to trade the underlying asset
The authors propose strategies with which to trade the underlying assets of options based on large data sets generated by options trading.
Bank risk manager of the year: Intesa Sanpaolo
Risk Awards 2025: Market risk team developed new tools that helped overcome the challenge of FRTB internal models
Quants dive into FX fixing windows debate
Longer fixing windows may benefit clients, but predicting how dealers will respond is tough
UBS logs three VAR breaches on legacy Credit Suisse positions
Bank risks higher capital charges amid market volatility and exit-related costs
IASB cautions hedging fix won’t be perfect, but it will help
Banks optimistic that new model could prevent broken hedges driving balance sheet volatility
Can pod shops channel ‘organisational alpha’?
The tension between a firm and its managers can drag on returns. So far, there’s no perfect fix
Forward thinking: banks adapt P&L markout tools for FX forwards
Dealers modify market impact measurement to get better handle on profitability – and client value
Best product for capital markets: Murex
Many banks in Apac rely on Murex’s MX.3 platform to manage their trading positions – risk and back office – in a fully integrated way. However, producing the P&L of the bank had to be performed outside the platform as it was relying on external data…
BofA quants propose new model for when to hold, when to sell
Closed-form formula helps market-makers optimise exit strategies
A hard exit threshold strategy for market-makers
A closed-form solution to derive optimal stop-loss and profit-taking levels is presented
EU banks lose relief on model test after FRTB delay
Deferment of new trading book regime to January 2026 eats into transition period for “erratic” P&L attribution test
Stage fright: lenders still struggling with IFRS 9 transitions
Divergence in how banks move loans between stages of impairment prompts regulators to push for more homogenous approach
Podcast: Lorenzo Ravagli on why the skew is for the many
JP Morgan quant proposes a unified framework for trading the volatility skew premium
Harvesting the FX skew premium
Observing the vol-of-vol parameter may reveal a skew premium in FX markets
Podcast: Olivier Daviaud on P&L attribution for options
JP Morgan quant discusses his alternative to Greeks decomposition
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
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
Risk density edges higher at UBS’s legacy unit
New division established post Credit Suisse acquisition partly responsible for $785m quarterly loss
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