Risk sensitivity
SVAR spike drives Deutsche’s market RWAs up 20%
Risk positions in the FIC division behind highest figure in over three years
Party’s over as more banks drop internal models for market risk
At least three systemic banks in Europe intend to ditch IMA for capital requirements
MCB’s interest rate risk widens as funding turns costlier
Rotation into remunerated deposits and short-term borrowing raises liabilities’ sensitivity
Obtaining arbitrage-free FX implied volatility by variational inference
An ML-based algorithm that provides implied volatilities from bid-ask prices is proposed
Collateralised exposure modelling: bridging the gap risk
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
Looking beyond SA-CCR
An alternative calculation of exposure at default that handles complex portfolios is presented
NatWest’s modelled market RWAs up 10% on RNIV backstop
Bank sees higher charges while it reworks VAR engine
Simm template to be expanded for SA-CCR and FRTB
Crif-plus will capture risk exposures for all instruments, boosting optimisation potential
Acadiasoft brings IM standards in-house with Quaternion buy
Deal will help data standardisation efforts and cut outsourcing risk in Simm calculation service
Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives
This paper explores the impact of elliptical and Archimedean copula models on the valuation of basket default swaps.
How Covid‑19 is impacting transition preparations
A forum of industry leaders, including the sponsors of this report, discusses key industry concerns around the transition away from Libor, including how the discontinuation deadline will be impacted by the Covid‑19 pandemic, the benefits and challenges…
Banks detect daylight between EC and EBA on op risk capital
EC consultation seeks input on ‘cliff effects’ of including past losses
Q&A: ‘Stop talking about rules’ – Basel’s Coen
Standard-setter’s top staffer is moving on. He wants industry to do the same
UniCredit retreats from capital target as bond run bites
Italian bank swallows 39bp capital hit in third quarter; 9bp through BTP moves
A risk-sensitive approach for stressed transition probability matrixes
In this paper, the authors outline a simulation-based methodology for the generation of stressed transition probability matrixes under the structural credit risk framework.
Basel op risk modelling blow shifts focus to Pillar 2
Demise of AMA leaves industry needing risk-sensitive approach for calculating top-up capital, says consultant
A gradient-boosting decision-tree approach for firm failure prediction: an empirical model evaluation of Chinese listed companies
In this paper, the authors employ a gradient-boosting decision-tree method to improve firm failure prediction and explain how to better analyze the relative importance of each financial variable.
LCH platform to provide risk calculations for margin hub
SwapAgent agrees to send standardised sensitivities for bilateral trades to AcadiaSoft for IM calls
Margin model keeps testing the limits of industry co-operation
Simm supporters say it is a work in progress, but more participants may slow that progress
Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing: methodologies and implementation
This paper introduces a risk component called the credit index, that represents the systematic risk part of a portfolio by a list of macroeconomic variables.
Structured products desks join the AAD revolution
Mathematical technique allows dealers to perform risk-sensitivity calculations 50 times faster