Trading book
Credit risk management solutions 2024: market update and vendor landscape
A Chartis report outlining the view of the market and vendor landscape for credit risk management solutions in the trading and banking books
Santander USA cuts market risk charges by 16%
Trading risk consolidation under IHC inflates VAR charges, nets cut to total requirements
Credit Suisse USA posts trading loss for 288% of VAR
Swiss bank’s subsidiary one of only three US dealers to incur backtesting exception in Q1
As risk of US Basel delay grows, Europe is in a bind over CVA
European Commission may postpone FRTB, but it’s hard to separate surgically from rest of framework
FRTB start dates must align globally, says European Commission
Lawmaker could trigger delay to market risk rules in Europe if US implementation drags on
SG trader dismissals shine spotlight on intraday limit controls
Risk experts say many banks rely on daily reports and can’t effectively monitor intraday limits in real time
Revealed: the three EU banks applying for IMA approval
BNP Paribas, Deutsche Bank and Intesa Sanpaolo ask ECB to use internal models for FRTB
HSBC, Intesa incorporate 2022–23 downturn into SVAR models
Turbulent past two years implied to be worse than GFC in stressed simulations
EBA’s correlated currencies shake-up raises EU banks’ charges
Capital requirements for FX risk double after EUR/USD and other 196 pairs deemed no longer in sync
EU banks’ incremental risk charges soared in volatile H2
Charge for traded-bond default and downgrade risk hit 10-year high at BNP Paribas
Credit Suisse USA rounds 2023 with fifth VAR breach
Wall Street unit’s capital multiplier ratchets back up to 3.4x
Canada’s FRTB pioneers get snowed on fund-linked trades
As Basel capital reforms go live, risk managers eye early adopters’ progress and push to improve capital treatment of fund-linked products
Citi, JP Morgan incurred record VAR overshoots in Q4
Peak single-day losses rank among worst for US banks post-pandemic
Standardised FRTB leaves banks befuddled on residual risk
Benchmarking exercises find “weak consensus” among banks over notional values for exotics
Why Canada is giving FRTB internal models the cold shoulder
“Crazy” cost of tech upgrades among reasons why banks snub own models to calculate market risk capital
Treasuries coupon pile-up inflates Nomura’s foreign sovereign assets
Standardised exposures to overseas governments see tenfold increase despite ebbing IR VAR
BoE puts American spin on fix for FRTB’s govvies dilemma
Four jurisdictions find four different ways to resolve Basel market risk capital quirk
The impact of the Fundamental Review of the Trading Book: evaluation on a stylized portfolio
The authors investigate banks' market risk capital requirements under the internal models approach through the lens of the Basel Fundamental Review of the Trading Book, using data from the period 2007-19.
Most G-Sib indicators hit all-time highs in tumultuous 2022
Trading volumes and payment activity among fastest-surging indicators
Party’s over as more banks drop internal models for market risk
At least three systemic banks in Europe intend to ditch IMA for capital requirements
HSBC shifts part of US precious metal trades to UK
US subsidiary transfers all related market risk to headquarters
BofA’s VAR reels back to pre-pandemic level
Dealer leads large US banks on curtailing market risk
As banks limit FRTB model use, outputs get more volatile
Risk managers say selection of stress window becomes more sensitive if fewer desks are on IMA
RBC’s loan-underwriting VAR drops 59% as volumes dry up
Widening credit spreads had previously sent market risk on syndicated loans skyrocketing