Profit & loss (P&L)
Quants dive into FX fixing windows debate
Longer fixing windows may benefit clients, but predicting how dealers will respond is tough
Forward thinking: banks adapt P&L markout tools for FX forwards
Dealers modify market impact measurement to get better handle on profitability – and client value
Best product for capital markets: Murex
Many banks in Apac rely on Murex’s MX.3 platform to manage their trading positions – risk and back office – in a fully integrated way. However, producing the P&L of the bank had to be performed outside the platform as it was relying on external data…
BofA quants propose new model for when to hold, when to sell
Closed-form formula helps market-makers optimise exit strategies
A hard exit threshold strategy for market-makers
A closed-form solution to derive optimal stop-loss and profit-taking levels is presented
EU banks lose relief on model test after FRTB delay
Deferment of new trading book regime to January 2026 eats into transition period for “erratic” P&L attribution test
Stage fright: lenders still struggling with IFRS 9 transitions
Divergence in how banks move loans between stages of impairment prompts regulators to push for more homogenous approach
Podcast: Lorenzo Ravagli on why the skew is for the many
JP Morgan quant proposes a unified framework for trading the volatility skew premium
Harvesting the FX skew premium
Observing the vol-of-vol parameter may reveal a skew premium in FX markets
Podcast: Olivier Daviaud on P&L attribution for options
JP Morgan quant discusses his alternative to Greeks decomposition
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
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
Risk density edges higher at UBS’s legacy unit
New division established post Credit Suisse acquisition partly responsible for $785m quarterly loss
EU banks balk at new market risk models back test
EBA proposals introduce additional expected shortfall back test for market capital risk models under FRTB
After SVB downfall, EBA stress test seeks out unrealised losses
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
Did US hedge accounting rules contribute to SVB’s recklessness?
Hedging and directional risk-taking was a problem, but FASB regime may have complicated matters
Investing in operational readiness to optimise FRTB capital
A forum of industry experts discusses the implementation of FRTB, the burden of investment into data and infrastructure for FRTB compliance, the considerations for banks in using the standardised approach (SA) and the internal model approach (IMA)
US banks’ VAR breaches up 2.5x in 2022
‘Hypothetical’ one-day losses exceeded VAR on 55 occasions, as losing trading days prevail
Leveraging data science for next-generation risk and P&L
Alexei Tchernitser, director of analytic solutions at Quantifi, discusses the impact data science has had on next-generation risk, and profit and loss (P&L)
US banks’ loss-to-VAR ratios fell in Q3
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
As interest rates surge, bankers fret over last year’s models
IRRBB modellers trying to predict client behaviour have little relevant data to fall back on