Risk
Extremes of extremes: risk assessment for very small samples with an exemplary application for cryptocurrency returns
The authors propose a means to carry out worst-case risk assessments from small sample sizes and demonstrate it using cryptocurrency returns as an example.
Energy credit risk benefits from next-generation technology
Advances in energy credit risk technology are improving the accuracy and efficiency of the credit risk function, says credit risk technology expert
UBS leapfrogs global peers following Credit Suisse takeover
Swiss lender reports big increases in RWAs, leverage exposures and other key metrics
US systemic risk scores hit records at JPM, Citi and 5 others
Riskiness of top dealers inflated by fair-value securities and higher reliance on short-term funding
Northern Trust’s market risk surges ninefold in Q2
Market risk exposure jumps to $673 million, the highest level on record
Rate of cleared OTC derivatives rises at European banks
Swedbank leads dealers in secular trend towards clearing space
European banks’ systemic indicators surged in 2022
Higher values for 10 of 14 systemic risk indicators could see capital surcharges increase later this year
CLO managers tap captive capital for ‘uneconomical’ deals
Funds raised to comply with overturned risk-retention rule underpin 80% of new deals
JPM’s new EU arm is bloc’s 4th largest derivatives bank
Frankfurt-based dealer eclipsed homegrown G-Sibs in 2022 on several indicators
Goldman most threatened by Fed’s rejig of modelled capital charges
End of credit risk modelling and scaling up of SCB’s role could tip six US banks below minimum requirements
US banks offload FHLB advances after record glut in Q1
First Citizens leads shift, Regions bucks trend
An approach to capital allocation based on mean conditional value-at-risk
The authors put forward a means of Euler capital allocation where the probability level is adjusted such that the total capital is equal to the reference quantile-based capital level.
StanChart racked up three VAR breaches in H1
Market volatility triggers VAR model review at the UK bank
Asset-liability management: Special report 2023
There is nothing new about the dynamics behind the asset-liability management (ALM) banking crisis of earlier this year: maturity transformation, liquidity risk and interest rate risk are at the heart of the traditional banking business model. But these…
ING’s market risk up 13% on higher SVAR
Q2 figures marked reversal of downward trend for modelled market RWAs
Op Risk Benchmarking: Inside the G-Sibs
New initiative scrutinises op risk measurement and management practices at the world’s largest banks
US G-Sibs face higher add-ons in Barr’s surcharge framework review
Fed vice-chair proposal to reduce ‘cliff effects’ could add between 40bp and 10bp to capital requirements
US banks’ stress-test projections stray further from Fed’s in 2023
Average gap between Fed- and bank-estimated depletions more than double from previous two DFASTs
Five US banks would breach CET1 buffers on AFS loss reinclusion
Fed’s vice-chair proposal to scrap AOCI waiver would cripple KeyCorp the most
Goldman could face higher capital charge under Barr proposal
Plans to prevent G-Sib score window dressing would penalise all US systemic banks bar Citi
DFAST mortgage loss rate doubles 2022 figure
At $6.9bn, JP Morgan would bear brunt of losses, according to Fed projections
Five banks lowballed loan losses in latest DFAST
Banks project $23bn smaller hit to loan portfolios, with Wells Fargo and Citi the most off-target
In DFAST, banks clear 4.5% minimum but breach all-in buffers
Forty-three percent of participants would have seen capital plans rejected under pre-2020 CCAR regime, up from 30% last year
A new era for risk: the move toward ‘customer risk experience’
Research into the risk function of the future has identified a strong and accelerated drive to consider risk management as a key enabler of a great customer experience. This evolution has been termed the ‘customer risk experience’