Value-at-risk (VAR)
NMRF framework: does it satisfy the ‘use test’?
Non-modellable risk factors affect risk sensitivity and face practical and calibration difficulties, argue two risk experts
Forecasting extreme tail risk in China’s banking sector: an approach based on a component generalized autoregressive conditional heteroscedasticity and mixed data sampling model and extreme value theory
UniCredit’s VAR cools as Commerz swaps convert to shares
Hierarchical allocation method for capital: a general method
Ice’s VAR migration reignites debate on margin levels
CCP says IRM 2 is more sensitive to portfolio risk, but banks fear increased risk to clearing members
Tariffs turmoil propels Deutsche’s SVAR to record €490m
Stressed risk gauge surpasses prior high by €25 million
BNPP, Deutsche among EU banks hit by VAR breaches in April
Sharpest rise in backtesting exceptions since 2022 Ukraine war shock largely linked to tariff chaos
How to solve the Fed’s $300bn FRTB problem
A sacrifice will have to be made to ensure new market risk rules meet demands for capital neutrality
US banks notch most VAR overshoots since pandemic
Dealers’ gauges underestimated trading inventory price swings on 34 occasions during Q2
Barclays logs five VAR breaches amid tariff turmoil
Bank’s regulatory VAR model loses green status for the first time since 2018
Double VAR breach in Q2 adds $4.1bn to JP Morgan’s market RWAs
Sixth regulatory backtesting exception in nine months lifts the multiplier above minimum for the first time since Q3 2022
Semiparametric GARCH models for value-at-risk and expected shortfall: an object-driven procedure
Basing their approach in object-drive smoothing, the authors calculate value-at-risk and expected shortfall via an application of semi-GARCH models.
Will the UK’s FRTB time warp turn into a horror show?
UK regulator’s proposed transition year in 2027 could double banks’ implementation work
A dynamic method-of-moments copula model approach for market risk estimates
The authors propose a method-of-moments copula technique for estimating asset portfolios' market risk, demonstrating a significant reduction in copula estimation time.
StanChart market RWAs surge to record $37bn
SVAR jump alongside higher interest rate and FX risk behind Q1 spike
Risk measures associated with insurance losses in Ghana
The authors investigate VaR and TVaR comprehensive motor insurance claims paid by an insurance company in Ghana and compare the estimates obtained by these risk measures.
Esma official insists CCP model approvals will speed up
CCP supervision chief says regulator is seeking more human resources for its new responsibilities
US banks’ VAR shortfalls are wrapped in a black box
Public disclosures only allow crude approximations of loss size and timing
The VAR-centric models that never were
Often spotlighted, rarely dominant – VAR plays a surprisingly small role in most IMA stacks
Tariff turmoil tests limits of market risk playbooks
Risk Live: Volatile markets reveal need for quicker data and more dynamic risk limits
Barclays takes selective approach to FRTB IMA applications
Risk Live: UK bank is applying for approval for parts of its portfolio most likely to pass approval tests
‘I feel like a guinea pig’ – lessons from an early IMA adopter
Risk Live: Nomura’s Epperlein urges flexible approach to backtesting exceptions
Overcoming issues with time-scaling value-at-risk
The authors investigate the impact of different time-scaling techniques on the accuracy of value-at- risk models, emphasising the importance of carefully scaling methods and considering alternative risk modeling approaches.
The IMA map: charting market risk capital under Basel 2.5
The current market risk framework refuses to be superseded. Risk.net dissects banks’ disclosures to explore how trading book capital requirements have evolved