Market risk
IFRS 9 versus IAS 39: Opportunities in changes to hedge accounting
With financial reporting in a state of flux amid the introduction of several new accounting standards, many corporates may feel overburdened by the need to ensure accounting compliance to take full advantage of IFRS 9 from the point of adoption. Robert…
Basel III: EU G-Sib capital requirement to jump 25%
Basel III output floor will add 5.4% to minimum required capital
Standardised market RWAs on the rise at EU banks
Standardised approach-generated RWAs increase €4.7 billion across 12 banks
Moving the goalposts: EU fights over prop trader rules
French proposals could drive larger non-banks out of fixed income futures and options
UK banks build up risk in Q2
Total RWAs were up £57 billion, from £2.89 trillion to £2.94 trillion
Is Libor going away?
Amid widespread expectation that Libor will soon be discontinued, questions are being asked around whether the transitioning towards risk-free rates will prove too onerous to achieve. Christopher Dias, principal, advisory, at KPMG, explores whether the…
Modelled market risk falls for UK banks as standardised risk rises
Barclays had the lowest percentage of market RWAs calculated under IMA, at 49.6%, and Lloyds Banking Group the highest, at 86.1%
US banks' VAR-based charges drop in Q2
The average decrease in the VAR-based capital requirement across the eight US G-Sibs was 10.4%, compared with a 23% increase in the first quarter
Swiss banks’ market risk drops by $12 billion
Lower risk levels drive quarter to quarter fall
VAR switch may explain $500 million capital hike at Wells Fargo
Change in stress period drives 15% increase in market risk capital requirement
US banks curb market risk
G-Sibs cut $31 billion of market RWAs in three months to June
Quants tout improved expected shortfall backtest
Measure aims to provide better gauge of VAR violations
Scotiabank acquisitions come with risks attached
The bank’s RWAs jumped 9.4% in the third quarter
US banks see fewer daily trading losses than foreign units
IHCs suffered losses on 54% of trading days compared with 44% for US BHCs
Risks building at three US G-Sibs
Risk-weighted asset density has increased at BNY Mellon, State Street and Goldman Sachs the most, across the eight US global systemically important banks
BNP Paribas VAR breaches trigger capital hike
French bank's IHC reports four backtesting exceptions
A review of the fundamentals of the Fundamental Review of the Trading Book II: asymmetries, anomalies, and simple remedies
This paper highlights some anomalies and asymmetries in the new market risk paradigm of the Fundamental Review of the Trading Book (FRTB) framework.
Dealers seek FRTB carve-out for Libor transition
Swaps could be judged non-modellable – and hit with capital add-on – as liquidity tails off in Libor
ABN Amro sustains assault on market risk
The bank's market RWAs dropped 24% quarter to quarter, to €1.7 billion, following a 41% reduction in the first quarter
Commerzbank VAR jumps on Italian turmoil
Sovereign bond yield spike hits public finance portfolio
Capital add-ons rising for UK banks
Median Pillar 2A requirement across six biggest lenders hits 2.3%
Generali weathers Italian bond turbulence
Solvency II SCR ratio dips to a still lofty 201% in the first half
StanChart culls debt, switches model, and market RWAs drop
Structured product RWAs now calculated using internal model, saving $1.1 billion
BBVA gets forex model update from ECB
Foreign exchange risk added €366 million in capital requirements in 2017