Value-at-risk (VAR)
Barclays takes selective approach to FRTB IMA applications
Risk Live: UK bank is applying for approval for parts of its portfolio most likely to pass approval tests
JP Morgan’s equity VAR hit GFC levels in March
Bank blames now-matured client position for temporary risk surge
Emir 3.0 could complicate Eurex cross-margining for repo
Clearing house targets November 2025 to launch repo on Prisma, but new EU rules are imminent
JP Morgan’s VAR limits blown twice during haywire Q1
Breaches add to the two regulatory backtesting exceptions sustained the previous quarter
SVAR surges gird Europe’s trading books in H2 2024
UniCredit and UBS lead pack with hottest gauges in half a decade
JP Morgan’s equity and commodity VAR soar to five-year highs
Trading risk gauges jump 150% and 190% amid Q1 trading flurry
Tariff turbulence piles pressure on banks’ VAR models
Backtesting breaches start to mount, but too early to tell if regulatory intervention needed
UniCredit tops Europe’s VAR breach leaderboard in 2024
Swedbank, Commerzbank and SocGen among model users repeatedly blindsided by volatility
Tug of law: EC’s FRTB compromise plan can’t please everyone
Leaked draft consultation unlikely to reconcile the global versus regional bank divide
CCP models vulnerable to Trump risk
Volatility of ‘will he, won’t he’ tariff strategy could confound clearing house risk models