Can a centenarian maths idea speed up the calculation of forward sensitivities?
Few lenders favour Monte Carlo or parametric methodologies
Twenty lenders lowballed capital requirements
Switch to historical simulation approach increases requirement by 71%
Barclays saw its LCR improve the most over the course of 2020
Measurement of operational risk regulatory capital in the banking sector: developed countries versus emerging markets
This paper addresses operational risk as a fundamental risk type faced by banks in emerging and developed economies.
Citi ended year with highest charge of the G-Sibs, at almost $9 billion
Risk-weighted assets for trading exposures fall $2.8 billion quarter on quarter
Citi had the most winning days of the G-Sibs in 2020, with 170
Non-trading positions accounted for 31% of market risk exposure in Q3
The author evaluates the usefulness of bias-correction methods in enhancing the Vasicek model for market risk and counterparty risk management practices.
Technologist talks artificial intelligence, angel investing and accidentally contributing to the Basel framework
Market RWAs increased 11% quarter on quarter
Trading revenues at the New York-based dealer were the highest in a decade
Dynamically adjusting margin add-ons could reduce cyclical funding demands
VAR-based RWAs dropped 44% quarter on quarter
Citi an outlier as its capital requirements increase in Q3
Procyclicality led to aggregate 25% rise in market, CVA risk-weighted assets
CET1 ratio climbed 20bp to 12.6%
An optimal hedging strategy for options in discrete time using a reinforcement learning technique
Only Fed intervention prevented “a really big market disaster” during Covid, says derivatives veteran
High value-at-risk outputs dropped out of averaging window in Q3
The authors investigate the performance of various value-at-risk (VaR) models in the context of the highly volatile Nordic power futures market, examining whether simple averages of models provide better results than the individual models themselves.