Market risk
Fed will start FRTB model approvals for US banks in 2021
Senior official says banks should now be deciding desk structure and readying backtests
Systemic US banks’ market risk charges fall from Covid highs
Citi an outlier as its capital requirements increase in Q3
Isda study reveals size of Covid’s trading book capital hike
Procyclicality led to aggregate 25% rise in market, CVA risk-weighted assets
JP Morgan had most profit-making trading days of top banks in Q3
New York-based bank posted 45 winning trading days in total
French rivals BPCE, SocGen see market risks fall in Q3
Market RWAs drop 24% at SocGen quarter on quarter
Funding pain prompts calls to rehome FVA
Dealers push to move derivatives funding costs out of P&L following March’s outsize losses
BNP Paribas’ RWAs shrank over €10bn in Q3
CET1 ratio climbed 20bp to 12.6%
Model tweaks, asset cull helped Credit Suisse cut RWAs in Q3
Model updates took Sfr 2.5 billion off its credit RWA total
FX headwinds cancel out HSBC’s Q3 RWAs cut
Portfolio reductions reaped $10.8 billion of RWA savings
Barclays’ RWAs shrank on Q3 tailwinds, but loan failures loom
Decline in loan creditworthiness has added £9.8 billion to RWAs year-to-date
UBS market RWAs dropped 25% in Q3 as VAR cooled
High value-at-risk outputs dropped out of averaging window in Q3
Top US dealers’ trading risk indicators varied in Q3
VAR drops sharply at JP Morgan and Goldman, stays steady at Morgan Stanley and rises at BofA
Factoring in Covid turmoil amped Bank of America's VAR in Q3
Value-at-risk averaged $109 million over three months to end-September
VAR spasms heap market risk charges on EU G-Sibs
VAR-based charges increase 94% on end-2019
JP Morgan shook up market risk stress tests in Q2
Bank switched stressed VAR historical periods 60 times
Market risk management product of the year: FIS
Asia Risk Technology Awards 2020
The long-term effect of Covid-19 on market risk capital
Covid-19 has replaced the global financial crisis in some banks’ stressed VAR calculations
FRTB – Special report 2020
Throughout FRTB’s troubled gestation, regulators were warned that making the internal models approach too operationally complex and capital-intensive would mean few outside the biggest banks wanted to use it – with the potentially dire consequence that…
The top risk management trends in the Asean region
Setting the scene in preparation for the Risk Asean conference in October, a group of industry experts debate and discuss the top trends in risk management the Asean region will need to look out for in 2021 and beyond
FRTB implementation – Covid-19 and Libor pressure
Industry leaders discuss the pressures FRTB is placing on banks’ data infrastructure and systems, how FRTB may constrain banks’ ability to manage future volatility, and the potential complications to implementation caused by such factors as the Covid‑19…
RBC’s VAR doubled in pursuit of trading windfall
Stressed VAR also surged as the bank switched stress periods
Citi, Goldman, had most winning trading days of top banks in Q2
In aggregate, US G-Sibs racked up 314 profit-making days over the quarter
Market, interest rate risks surged at Commonwealth Bank in H1
Market RWAs jumped 129% over the first half
How UBS AM dealt with Covid-19 crunch
Buy-side risk survey: Swiss giant had planned for liquidity squeeze, says CRO – but not one like March