Value-at-risk (VAR)
Rewards for failure: the ECB’s topsy-turvy market risk relief
Eurozone banks with better models are least able to offset Covid-driven rise in backtesting multiplier
Covid tumult pushed VAR capital charges up 72% at US G-Sibs
JP Morgan’s charge increases 148% quarter-on-quarter
Experts find holes in funds’ argument for higher US VAR caps
Ex-SEC official says he would be “shocked” if agency raised proposed leverage limits on derivatives users
Trading losses at US units of Deutsche, RBC exceed VAR by 1,000%
Wild markets overwhelmed foreign banks’ value-at-risk estimates
Systemic US banks incurred 42 VAR breaches in Q1
Leading dealers saw actual losses over four times greater than their VAR estimates on some days
Six VAR breaches at ABN Amro in Q1
Market risk capital charge climbs 57% in response
BNP incurs nine VAR breaches in Q1
Market RWAs jump 37% to €26 billion
SocGen’s trading VAR unmoved by wild markets
Though market RWAs soared, VAR dipped 7% quarter-on-quarter
PRA relief blunts market risk surge at Barclays, StanChart
Without temporary measures, market RWAs would have been 18% higher at StanChart
EU market risk relief targets VAR measures
Dealers with a large percentage of their total capital set using value-at-risk stand to benefit most
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
Goldman Sachs’ VAR hits five-year high
Higher market risk accompanied bumper trading revenues in Q1
Eurozone banks fear market risk capital hike due to Covid-19
Hopes that ECB will fix double-counting as VAR breaches rise on market volatility
PRA relief to save banks up to 33% on VAR-based charges
HSBC may benefit most from easing of capital rules
UK bank market RWAs ebbed in 2019
HSBC shed $5.9 billion of market RWAs in 2019
TD Bank’s US unit incurred eight VAR breaches in 2019
Number of backtesting exceptions pushed the bank’s VAR capital multiplier to 3.75
Wells Fargo’s VAR spiked in Q4
Interest rate VAR increased to $211 million in last quarter of the year
RBS takes axe to NatWest Markets
Bank plans to slim trading operation to 10% of total RWAs
VAR models at odds on forex, commodities, credit risks – EBA
Interquartile distribution of VAR outputs highest for small banks, watchdog finds
Six EU banks need to fix market risk models – EBA
Nineteen firms underestimated capital requirements versus benchmarks
As business mix shifts, Eurex bulks up its default fund
Clearing house will raise charge to 9% from 7% as stress tests signal need for a fatter fund
Morgan Stanley unruffled by VAR model update
Quiet last quarter of 2019 saw average VAR down to $38 million
SEC derivatives rule may lead to new products
Proposed VAR limit is expected to benefit risk parity and defined outcome strategies
HSBC leads EU banks on VAR measures
In aggregate, IMA risk exposures focused on traded debt