Value-at-risk (VAR)
Isda disputes excessive FRTB charges for carbon trading
EU carbon certificates show lower volatility and higher netting than Basel approach assumes
UBS incurred two VAR breaches in Q2
Risk Quantum understands the VAR backtesting exceptions stemmed from the Archegos blowout
JP Morgan’s fixed income VAR dives 69%
Average trading VAR down 59% over the previous quarter
Nomura understated VAR capital charges by 13% in H2 2020
VAR RWAs should have been ¥122 billion higher than originally stated at end-December
US unit of BBVA on the brink of a VAR breach in Q1
Largest loss-to-VAR ratio at the firm was highest among the 12 intermediate holding companies
JPM records highest number of profit-making days in six years
In aggregate, US G-Sibs racked up 355 profit-making days over Q1
Morgan Stanley, Bank of America push VAR limits the most
Largest losses-to-VAR ratios at the two firms were the highest among the eight systemic US banks in Q1
Goldman’s market RWAs grew $14.9 billion in Q1
The increase was largely due to higher VAR and SVAR measures
ABN Amro’s market risk charge grew 54% over Q1
Dutch bank hit with higher VAR and SVAR multipliers
Podcast: Hagan on convexity, volatility and the London Whale
Ex-JP Morgan quant discusses his latest work and the risk failures that cost the bank $6bn in 2012
BNP Paribas’ VAR hit 12-year high in Q1
Equity portfolio VAR surged 27% quarter on quarter
Deutsche slashed market RWAs by one-fifth in Q1
Macro-hedging touted as RWA-saving tool
Trading VAR at UBS peaked after Archegos blow-up
Swiss bank still posted a fall in market RWAs quarter on quarter
The Fundamental Review of the Trading Book and fat tails
Conservative capital buffers may not be enough to protect against tail events
ECB’s Trim found 900 flaws with 31 banks’ market risk models
Remedying shortcomings added €11 billion to market RWAs in aggregate
Risk measures: a generalization from the univariate to the matrix-variate
This paper develops a method for estimating value-at-risk and conditional value-at-risk when the underlying risk factors follow a beta distribution in a univariate and a matrix-variate setting.
Morgan Stanley’s VAR hit eight-year high in Q1
High risk-of-loss indicator coincides with Archegos collapse
A look at future exposures, through a 19th century lens
Can a centenarian maths idea speed up the calculation of forward sensitivities?
Most EU banks use historical simulation approach to VAR
Few lenders favour Monte Carlo or parametric methodologies
Fourteen EU banks face sanctions for poor market risk models
Twenty lenders lowballed capital requirements
Model change pumps up Deutsche’s VAR capital charge
Switch to historical simulation approach increases requirement by 71%
UK banks added £140bn to HQLA in 2020
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.