Market volatility
US unit of Barclays close to a VAR breach in Q4
Largest loss-to-VAR ratio at the firm was highest among 10 US intermediate holding companies
US banks see highest number of loss-making days in six years
Wells Fargo, Citi and JP Morgan the worst performers in record-breaking Q4
Top US banks record 14 VAR breaches
JPM, Morgan Stanley, BofA, Citi, Goldman and State Street wrong-footed in volatile end to 2021
JP Morgan incurs eight VAR breaches, triggering capital hike
Largest trading loss in Q4 reached 207% of the bank’s VAR limit
UBS incurred a VAR breach in Q4
The latest larger-than-expected loss – the fourth in 2021 – leaves the bank one step closer to higher capital requirements
Forecasting volatility and market returns using the CBOE Volatility Index and its options
This paper examines the CBOE VIX, the VIX options’ implied volatility and the smirks associated with these options.
US unit of TD Group close to a VAR breach in Q3
Largest loss-to-VAR ratio at the firm was highest among 10 US intermediate holding companies
Bank of America, BNY Mellon incur VAR breaches
The second consecutive backtesting exception for the custodian bank brings it closer to a higher multiplier
Buy-side trading system of the year: Tradeweb
Asia Risk Awards 2021
An old model can shed new light on how flows shape prices
Market microstructure theory may also explain long-term patterns in stock markets
BNY Mellon incurred a VAR breach in Q2
The highest losses-to-VAR ratio was 145.75%, in the first backtesting exception reported by the bank since 2018
Wells Fargo, Citi amass losing days in Q2
On average, the eight top US banks reported 32 loss-making days
Tackling insider fraud – Best practice for banks
Volatile markets, the pivot to remote working and the prevalence of private messaging are just some of the factors contributing to the rising risk of insider fraud. At a recent Risk.net webinar, an expert panel explored the challenges for banks and…
Building forward-looking scenarios: why you’re doing it wrong
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
‘It’s the economy’: forecasting an op risk climate change spike
History of op risk suggests economic impacts of climate change could exacerbate losses, writes op risk head
The Texas freeze and future calamities – How to build business resiliency in the face of disruption
Adverse weather in February stressed the Texas power grid to the point of failure, leaving millions without power and resulting in many firms filing for bankruptcy. While this event had some unique circumstances, extreme events are becoming more frequent
Options trading – Real-time tools evolve as ‘butterfly effects’ take flight
Michael Hollingsworth of Cboe Data and Access Solutions discusses the factors accelerating change in the options market and explains why buy- and sell-side participants are demanding a more nuanced view on options pricing and risk management data
Modifying market risk management – A year into the Covid‑19 pandemic
This webinar explores how capital markets participants revised their market risk management practices during the height of Covid-19 pandemic-induced market volatility and what this means for the future
Exchange of the year: CME Group
Risk Awards 2021: changes to options strikes helped CME avoid major mishaps in volatile 2020
Family office investing – Special report 2020
Even before the tumultuous events of 2020, many wealthy family investors across Asia were becoming more careful with their investments – wary that the longest bull market in history had to end sometime. Their prudence proved well judged when storm clouds…
Nordic noir: Swedish state pension fund’s outlook is austere
Sweden’s AP1 aims to ditch illiquid assets and target realistic returns with equities
Solving the SFTR data challenge
Europe’s new rules on securities financing transactions require firms to collect and report a mass of new data. This is a challenge, but also an opportunity
House of the year, Malaysia: CIMB
Asia Risk Awards 2020
Bank of the year, Thailand: CIMB Thai Bank
Asia Risk Awards 2020