Comerica’s VAR multiplier ratchets up while Huntington’s remains at record high
New division established post Credit Suisse acquisition partly responsible for $785m quarterly loss
EBA proposals introduce additional expected shortfall back test for market capital risk models under FRTB
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
Hedging and directional risk-taking was a problem, but FASB regime may have complicated matters
A forum of industry experts discusses the implementation of FRTB, the burden of investment into data and infrastructure for FRTB compliance, the considerations for banks in using the standardised approach (SA) and the internal model approach (IMA)
‘Hypothetical’ one-day losses exceeded VAR on 55 occasions, as losing trading days prevail
Alexei Tchernitser, director of analytic solutions at Quantifi, discusses the impact data science has had on next-generation risk, and profit and loss (P&L)
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
IRRBB modellers trying to predict client behaviour have little relevant data to fall back on
Portfolio reshuffling helps Austrian bank contain RWA impact
Quants use neural networks to upgrade classic options pricing model
The P&L distribution of a complex derivatives portfolio is computed via deep learning
The authors' findings affirm prior work illustrating the importance of profitability, size, liquidity, momentum and market returns, although we observe minimal evidence of the importance of investment in capital expenditures.
Remedying shortcomings added €11 billion to market RWAs in aggregate
New York-based bank posted 45 winning trading days in total
In this paper, the eigendecomposition of a Toeplitz matrix populated by an exponential function in order to model empirical correlations of US equity returns is investigated.
MEPs propose allowing supervisors to temporarily exclude Covid-related backtesting exceptions
BNP Paribas only bank to improve RoRWA year-on-year
New paper by Nomura quant applies volatility model used in equities to exotic rate hedging
This paper estimates the currency exposure before and after the hedging of active foreign currency (FC) accounts, using stochastic models for spot exchange rates and cashflow movements.
Asia Risk Awards 2019
Volumes rise as tech giant’s debt spree forces banks to hedge their counterparty exposure
Changes to loan terms may nullify contracts and create balance sheet volatility