Value-at-risk (VAR)
Model teams fear budget cuts as FRTB wipeout looms
Senior modellers think supervisory intervention is needed to prevent funding drought
Santander USA cuts market risk charges by 16%
Trading risk consolidation under IHC inflates VAR charges, nets cut to total requirements
Credit Suisse USA posts trading loss for 288% of VAR
Swiss bank’s subsidiary one of only three US dealers to incur backtesting exception in Q1
As risk of US Basel delay grows, Europe is in a bind over CVA
European Commission may postpone FRTB, but it’s hard to separate surgically from rest of framework
HSBC, StanChart SVAR charges hit multi-year highs
Stressed trading-loss measure makes up 43% of banks’ modelled market risk charges
ANZ’s end-period VAR spikes to highest in a decade
Interest rate risk drives 53% surge; market risk up A$1.6bn
A study of China’s financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution
The authors construct a risk measurement model for the financial market during the Covid-19 pandemic, using data from the Shanghai Stock Exchange for empirical analysis.
SVAR updates push Barclays’ modelled market charges up 9%
Trading portfolio regulatory risk gauge up 52% over the second half of 2023
Credit Suisse USA rounds 2023 with fifth VAR breach
Wall Street unit’s capital multiplier ratchets back up to 3.4x
Semi-nonparametric estimation of operational risk capital with extreme loss events
The authors put forward a means to estimate value-at-risk capital during extreme loss events which combines SNP estimation with EVT-POT theory.
Citi, JP Morgan incurred record VAR overshoots in Q4
Peak single-day losses rank among worst for US banks post-pandemic
Why Canada is giving FRTB internal models the cold shoulder
“Crazy” cost of tech upgrades among reasons why banks snub own models to calculate market risk capital
BoE puts American spin on fix for FRTB’s govvies dilemma
Four jurisdictions find four different ways to resolve Basel market risk capital quirk
LDI firms update margin stress tests post-gilt crisis
For some managers, stress-testing models failed to reflect the convexity effects of the crisis on initial margin
Bloating CCP default funds. New margin models. Are the two linked?
Dealers grumble that greater guaranty fund payments could undermine the ‘defaulter pays’ principle of clearing
The unknown risk on the flip side of the basis trade
US mutual funds have amassed record notionals in Treasury futures that in some cases exceed their AUM
Conditional and unconditional intraday value-at-risk models: an application to high-frequency tick-by-tick exchange-traded fund data
The authors consider conditional and unconditional intraday value-at-risk models for high-frequency exchange-traded funds, providing results useful to practitioners of high-frequency trading.
Buy side still prefers bilateral repo despite LCH margin update
New model will cut margin faster after stresses abate, but costs still high for directional trades
VAR breaches trip up Citi, CS USA and two others in Q3
Comerica’s VAR multiplier ratchets up while Huntington’s remains at record high
Credible value-at-risk
This paper proposes a means to determine whether a a calculated VaR is "too large" and give a definition of this term within the context.
Party’s over as more banks drop internal models for market risk
At least three systemic banks in Europe intend to ditch IMA for capital requirements
BofA’s VAR reels back to pre-pandemic level
Dealer leads large US banks on curtailing market risk
Realized quantity extended conditional autoregressive value-at-risk models
The author presents models for improved Value-at-Risk forecasts and joint forecasts of Value at Risk and Expected Shortfall and demonstrates that high-frequency-data-based realized quantities lead to better forecasts.
CME’s Span 2 margin model generates systems headaches
Market participants welcome smarter margin requirements, but not the computational workload