Profit & loss (P&L)
Optimal quoting under adverse selection and price reading
A market-making model is introduced to account for significant real-world effects
Quants tell FX dealers how to make the most of passive liquidity
Paper from HSBC and Imperial sets out when to skew pricing, and when not
HSBC North America posted most loss-making days in Q3
The foreign IHC traded in the red 43 out of 64 days, the highest among 32 banks analysed
Barclays logs five VAR breaches amid tariff turmoil
Bank’s regulatory VAR model loses green status for the first time since 2018
US banks’ VAR shortfalls are wrapped in a black box
Public disclosures only allow crude approximations of loss size and timing
JP Morgan’s VAR limits blown twice during haywire Q1
Breaches add to the two regulatory backtesting exceptions sustained the previous quarter
US banks record spike in trading loss-making days in Q4
UBS Americas and Stifel lead banks in worst trading quarter of 2024
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
During Trump turbulence, value-at-risk may go pop
Trading risk models have been trained in quiet markets, and volatility is now looming
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