Value-at-risk
US banks' VAR-based charges drop in Q2
The average decrease in the VAR-based capital requirement across the eight US G-Sibs was 10.4%, compared with a 23% increase in the first quarter
VAR switch may explain $500 million capital hike at Wells Fargo
Change in stress period drives 15% increase in market risk capital requirement
US banks curb market risk
G-Sibs cut $31 billion of market RWAs in three months to June
BNP Paribas VAR breaches trigger capital hike
French bank's IHC reports four backtesting exceptions
Commerzbank VAR jumps on Italian turmoil
Sovereign bond yield spike hits public finance portfolio
Multifactor granularity adjustments for market and counterparty risks
In this paper, the authors propose several flexible families of models to manage the market and/or the counterparty risk of portfolios of financial assets.
VAR cut helps shrink UBS market RWAs
Average management VAR falls Sfr10 billion
Goldman VAR dips on equities and rates risk
Average daily value-at-risk falls 12% from three-year peak in Q1
Trading risk plummets at BAML as portfolio grows
Trading VAR falls to $30 million from $40 million in Q1
Estimation window strategies for value-at-risk and expected shortfall forecasting
This paper analyzes the impact of different estimation window strategies, including structural breaks and forecast combinations, on forecasting common risk measures such as VaR and ES.
Shrunk volatility value-at-risk: an application on US balanced portfolios
In this paper, the authors adopt a new method of predicting VaR, to estimate balanced portfolios’ VaR.
Banks should quantify loan-loss model risk – academic
Models such as those used for IFRS 9, CECL or CCAR are prone to errors, and should be accounted for
New method proposed for modelling large op risk losses
Outsize loss events modellable through extension of approach to measuring moderate losses, says research
US bank VAR-based charges surge in volatile first quarter
Average quarter-on-quarter increase of 23% for VAR-based capital across 11 large dealers
Crédit Agricole de-risking saps earnings
Corporate and investment banking RWAs fall 11%; net income falls €103 million
Bank of America and BNY Mellon suffer VAR breaches
Trading losses exceeded estimates on a single day at each dealer in the first quarter
Impact of D-vine structure on risk estimation
In this paper, a sensitivity analysis using pair–copula decomposition of multivariate dependency models is performed on estimates of value-at-risk (VaR) and conditional value-at-risk (CVaR).
ING market risk charge edges higher
Dutch bank adds €0.8 billion of market RWAs
Modeling very large losses
In this paper, the author presents a simple probabilistic model for aggregating very large losses into a loss collection.
Goldman Sachs’ VAR at three-year high
Increased client activity and market volatility increases firmwide risk
The Kelly criterion in portfolio optimization: a decoupled problem
This paper examines how the Kelly criterion can be implemented into a portfolio optimization model that combines risk and return into a single objective function using a risk parameter.
Rogue traders versus value-at-risk and expected shortfall
VAR and ES are ineffective to deter rogue trading
How not to control trading behaviour
Quants show popular risk measures fail to limit risk-seeking behaviour among traders