Profit & loss (P&L)
Eigenportfolios of US equities for the exponential correlation model
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.
EU Parliament ‘likely’ to allow market risk capital relief
MEPs propose allowing supervisors to temporarily exclude Covid-related backtesting exceptions
Crédit Agricole leads French banks on return on RWAs
BNP Paribas only bank to improve RoRWA year-on-year
Hedging rate exotics, Bergomi-style
New paper by Nomura quant applies volatility model used in equities to exotic rate hedging
Currency risk in foreign currency accounts for small and medium-sized businesses
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.
Clearing house of the year: JSCC
Asia Risk Awards 2019
CVA, debt raising said to drive SoftBank CDS trading
Volumes rise as tech giant’s debt spree forces banks to hedge their counterparty exposure
Libor reform threatens hedge accounting for loans
Changes to loan terms may nullify contracts and create balance sheet volatility
Five US banks had fewest down days since 2015 in Q1
BofA Securities, BNY Mellon, Citi, JP Morgan and Wells Fargo had most 'up' days in four years
The implicit constraints of Fundamental Review of the Trading Book profit-and-loss-attribution testing and a possible alternative framework
This paper presents the constraints embedded in the the profit-and-loss-attribution test and explores a possible alternative framework.
US banks’ trading edge slips in 2018
G-Sibs lost on almost half of all trading days last year
Standardised approaches lose out in FRTB update
Ratio of standardised approach to IMA capital estimated to increase
Delving into the FASB's current expected credit loss model
The Financial Accounting Standards Board's current expected credit loss rule could mean loss provisions for loans are three times higher than with International Financial Reporting Standard 9
US banks see fewer daily trading losses than foreign units
IHCs suffered losses on 54% of trading days compared with 44% for US BHCs
Societe Generale defers €1.35 billion of trade profits
French dealer holds back far more than rival dealers
On the offensive – Seeking a new edge, buy-side invests in portfolio and risk analytics
A fast-moving, headstrong hedge fund – hit by rare losses after a black swan event touched on an overweight country exposure – ponders adding fresh quantitative expertise. Much to traders’ chagrin, the chief investment officer and chief operating officer…
European FRTB capital charges hang by a thread
EU Council mulls introducing only reporting requirements in CRR II, or a very low scalar
Validation of profit and loss attribution models for equity derivatives
The aim of this paper is to validate profit and loss attribution generated by daily movements of option prices as seen through their Black–Scholes (Black and Scholes 1973) and Merton (1973) implied volatilities.
The profit-and-loss attribution test
In this paper, the authors analyze the failure probabilities of the profit-and-loss attribution (PLA) test as defined in the final market risk standard published in January 2016 by the Basel Committee on Banking Supervision.
Applied risk management series: gas storage valuation strategies
A look at the valuation of gas storage facilities and show how a deeper analysis of the value formation can offer insights for P&L optimisation and risk management
Adjusting to the P&L attribution test in FRTB
Consultants offer tips on eligibility framework for new internal models approach
P&L test in FRTB may not work – research
Delays in approval and small data sets may doom internal model approach, research finds
Research finds ways to tame FRTB’s biases in forex charges
New paper shows ways to reduce influence of reporting currency
P&L attribution for energy portfolios with non-linear exposures
Carlos Blanco and Alessandro Mauro explain how non-linear P&L attribution tools can improve a company’s business intelligence capabilities