Value-at-risk (VAR)
Clearing banks pick holes in VAR-based CCP margin models
New models ease cliff effects, but banks say they are less predictable and prone to undershooting
RBI’s modelled market RWAs jump on Tarf stress shock
FX volatility scenario for 2009 drives sharp rise in stressed VAR under internal models approach
Clearing firms flummoxed by new margin models at CME, Ice
VAR-based portfolio margining is easier to manage, but harder to explain
BPCE VAR exceptions lift capital add-on
Three breaches in H2 2025 push bank into amber zone, raising capital add-on
Asian banks close out energy clients as Iran war bites
Firms with short jet fuel positions faced losses up to $100 million as initial margin soared 566%
Deutsche’s IMA RWAs jump 12% on SVAR recalibration
RWAs linked to stressed component bloat €3.5 billion on switch in historical reference period
EU can handle energy price pressure – it’s been here before
Reforms made after Russia’s invasion of Ukraine have made region more resilient to energy shocks, officials say
Goldman tripped up by VAR in Q4
BNY and Citizens also record backtesting exceptions
Exceedance-based backtesting of expected shortfall
The authors apply exceedance-based validation techniques often used for VaR model validation the the validation of ES models, showing such an application to be feasible.
November VAR breach keeps Barclays in amber zone
UK bank logged five backtesting exceptions in 2025, keeping model in penalty band
Rethinking model validation for GenAI governance
A US model risk leader outlines how banks can recalibrate existing supervisory standards
UK clearing houses face tougher capital regime than EU peers
Ice resists BoE plan to move second skin in the game higher up capital stack, but members approve
The state of IMA: great expectations meet reality
Latest trading book rules overhaul internal models approach, but most banks are opting out. Two risk experts explore why
Santander SVAR surge lifts IMA RWAs 22%
Third-quarter spike contrasts with broad European declines
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
Equity VAR hovering near four-year high at US banks
Gauges of stock market risk rise 36% in just one year
NMRF framework: does it satisfy the ‘use test’?
Non-modellable risk factors affect risk sensitivity and face practical and calibration difficulties, argue two risk experts
Forecasting extreme tail risk in China’s banking sector: an approach based on a component generalized autoregressive conditional heteroscedasticity and mixed data sampling model and extreme value theory
The authors put forward a means to forecast extreme tail risk in the Chinese banking sector - the component GARCH-MIDAS-EVT-X model.
UniCredit’s VAR cools as Commerz swaps convert to shares
Average reading down by over a third after Italian bank settles part of its stake in the German lender
Hierarchical allocation method for capital: a general method
The authors present a new technique to allocate a bank's risk capital across portfolios and transactions that can be applied to most risk capital types.
Ice’s VAR migration reignites debate on margin levels
CCP says IRM 2 is more sensitive to portfolio risk, but banks fear increased risk to clearing members