Two-thirds of reduction achieved through RWA efficiencies
New margin calculator will bring futures, options and swaps under single framework
This paper aims to reflect the current state of the discussion on the validation of market risk forecasts by means of backtesting.
Firms have until 2021 to implement FRTB, and those yet to begin compliance efforts risk putting themselves at a disadvantage. EY‘s financial services risk partners Shaun Abueita and Sonja Koerner explore the current level of readiness within the industry…
Standardised RWAs fall 4% to $370 billion
The firm’s average daily VAR dropped $11 million (17%) to $53 million
Choice of stress period affects market risk capital requirements
The impending move from interbank offered rates to alternate reference rates will require important changes to many valuation and risk management processes and infrastructure. EY Financial Services’ Shankar Mukherjee, Michael Sheptin and John Boyle…
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
Change in stress period drives 15% increase in market risk capital requirement
G-Sibs cut $31 billion of market RWAs in three months to June
French bank's IHC reports four backtesting exceptions
Sovereign bond yield spike hits public finance portfolio
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.
Average management VAR falls Sfr10 billion
Average daily value-at-risk falls 12% from three-year peak in Q1
Trading VAR falls to $30 million from $40 million in Q1
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.
In this paper, the authors adopt a new method of predicting VaR, to estimate balanced portfolios’ VaR.
Models such as those used for IFRS 9, CECL or CCAR are prone to errors, and should be accounted for
Outsize loss events modellable through extension of approach to measuring moderate losses, says research
Average quarter-on-quarter increase of 23% for VAR-based capital across 11 large dealers
Corporate and investment banking RWAs fall 11%; net income falls €103 million
Trading losses exceeded estimates on a single day at each dealer in the first quarter