EU carbon certificates show lower volatility and higher netting than Basel approach assumes
Risk Quantum understands the VAR backtesting exceptions stemmed from the Archegos blowout
Average trading VAR down 59% over the previous quarter
VAR RWAs should have been ¥122 billion higher than originally stated at end-December
Largest loss-to-VAR ratio at the firm was highest among the 12 intermediate holding companies
In aggregate, US G-Sibs racked up 355 profit-making days over Q1
Largest losses-to-VAR ratios at the two firms were the highest among the eight systemic US banks in Q1
The increase was largely due to higher VAR and SVAR measures
Dutch bank hit with higher VAR and SVAR multipliers
Ex-JP Morgan quant discusses his latest work and the risk failures that cost the bank $6bn in 2012
Equity portfolio VAR surged 27% quarter on quarter
Macro-hedging touted as RWA-saving tool
Swiss bank still posted a fall in market RWAs quarter on quarter
Conservative capital buffers may not be enough to protect against tail events
Remedying shortcomings added €11 billion to market RWAs in aggregate
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.
High risk-of-loss indicator coincides with Archegos collapse
Can a centenarian maths idea speed up the calculation of forward sensitivities?
Few lenders favour Monte Carlo or parametric methodologies
Twenty lenders lowballed capital requirements
Switch to historical simulation approach increases requirement by 71%
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.