Equity risk management
French banks’ equity VAR surges to multi-year highs
Volatility pushes fourth quarter readings at BNP Paribas, Crédit Agricole and SocGen to levels unseen in recent years
JP Morgan leads US banks on surging VAR capital charges
Requirements connected to commodity positions jumped 426% in the first quarter
SocGen cut trading VAR by a third in Q4
Trading risk gauge shrinks to lowest in 17 years
JP Morgan, Goldman lead US banks in cutting VAR-based charges
On aggregate, requirements connected to commodity positions fell the most, down 28% from end-June
JP Morgan’s fixed income VAR dives 69%
Average trading VAR down 59% over the previous quarter
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Goldman leads US banks on trading VAR, but not on revenue
NY-based dealer makes $9.1bn trading revenue year-to-date to JP Morgan’s $18.7bn
Interest rate, credit risk push BNP Paribas’ VAR up 25%
French bank also reported a VAR breach in Q3
At CIBC, commodity, forex and rate risks raise VAR 12%
Market risk capital requirement jumps to C$695 million on value-at-risk surge
VAR lookbacks should shift dynamically, research suggests
Change-point analysis method helps identify regime shifts in equities markets, quants claim
BNPP’s VAR sinks on prop trading exit, calmer markets
Risk of loss down 17% quarter-on-quarter
Lower interest rate risk pushes Santander’s VAR down 16%
South American portfolio accounts for largest chunk of trading risk
JP Morgan equity VAR surges 56%
Total trading VAR stood at $44 million for Q2
Fixed income risk surges 19% at JP Morgan
Fixed income markets revenues came in 18% lower year-on-year
Autocall concentration weighs on dealers
Hedging headaches force issuers to seek new structured product blockbusters
Choppy markets, buying spree cause 28% VAR surge at BMO
The bank's VAR spiked for all asset classes bar commodities on the prior quarter
Hedging gains boost MetLife earnings
US insurer posts $939 million in net derivatives gains in the fourth quarter
BNP Paribas’ VAR soars 17% after brutal Q4
Equity revenues fall 70% on year-ago quarter
Japanese megabank JGB portfolios shrink
Domestic government bond holdings drop 12% in 2018
JP Morgan VAR surges 46% in Q4
The bank’s average VAR jumped $16 million to $51 million at end-December
Goldman VAR drops again in third quarter
The firm’s average daily VAR dropped $11 million (17%) to $53 million