Value-at-risk
State Street, Goldman push VAR limits the most
Average of largest trading losses-to-VAR at State Street above 90% over past 12 months
State Street, UBS and TD Group incur VAR breaches
Backtesting exceptions cause TD Group's and State Street's market risk capital charge multipliers to climb
At US G-Sibs, market RWAs fall $18bn in Q2
Fall in VAR-based measures of risk behind the decrease
The great migration: CCPs ponder life after Span
As CME moves to a value-at-risk methodology, CCPs that license its model look on nervously
Deep hedging and the end of the Black-Scholes era
Quants are embracing the idea of ‘model free’ pricing and hedging
VAR breaches force capital add-on at StanChart
Value-at-risk capital requirement soars 38% to $161.8 million quarter-on-quarter
BNPP’s VAR sinks on prop trading exit, calmer markets
Risk of loss down 17% quarter-on-quarter
Lower interest rate risk pushes Santander’s VAR down 16%
South American portfolio accounts for largest chunk of trading risk
Model refinements slim UBS market risk RWAs
The bank’s market RWAs fell to $10.9 billion at end-June
Resampling ‘slashes’ credit risk VAR underestimates
Academics claim Vasicek model’s underestimation tendency can be slashed to near-zero
JP Morgan equity VAR surges 56%
Total trading VAR stood at $44 million for Q2
Ice, CME set to launch new VAR models in early 2020
Bourses plan to switch margining of energy futures at different times, prompting speculation of “arbitrage opportunities”
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Counterparty risk: credit valuation adjustment variability and value-at-risk
This paper proposes an efficient method to obtain the distribution of the CVA at a given risk horizon, from which risk measures such as the CVA VaR can be computed.
Getting risk models runway ready
Banks struggling with internal model requirements may soon opt for off-the-rack rather than bespoke
From log-optimal portfolio theory to risk measures: logarithmic expected shortfall
In this paper, the authors propose a modification of expected shortfall that does not treat all losses equally. We do this in order to represent the worries surrounding big drops that are typical of multiperiod investors.
Capital allocation under the Fundamental Review of the Trading Book
Quants propose an allocation method for internal model capital charges
RJ O’Brien’s chief risk officer on margin models and clearing
CME’s looming switch to VAR model will have pronounced effect on broker and its clients, says Brad Giemza
Volatility scaling unravels as market patterns shift
Waning power of quant approach could be a reason for trend following’s malaise
Over four years, US banks blitz correlation trading risks
JP Morgan’s CRM charge has fallen 94% since Q1 2015
US units of BBVA, BNPP, TD Bank post VAR breaches in Q1
TD Bank losses on one day exceeded VAR estimate by 195%
EU’s model study finds problems with bank VAR methods
Banks surveyed by the ECB had an average of 32 issues with their market risk models