Stressed value-at-risk (SVAR)
ECB’s Trim found 900 flaws with 31 banks’ market risk models
Remedying shortcomings added €11 billion to market RWAs in aggregate
Most EU banks use historical simulation approach to VAR
Few lenders favour Monte Carlo or parametric methodologies
Fourteen EU banks face sanctions for poor market risk models
Twenty lenders lowballed capital requirements
Top US banks’ market risk charges surged in 2020
Citi ended year with highest charge of the G-Sibs, at almost $9 billion
HSBC pares down market RWAs after model update, VAR change
Risk-weighted assets for trading exposures fall $2.8 billion quarter on quarter
UBS factors in Covid shock to stressed VAR, causing RWA surge
Market RWAs increased 11% quarter on quarter
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
UBS market RWAs dropped 25% in Q3 as VAR cooled
High value-at-risk outputs dropped out of averaging window in Q3
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
Stuart Lewis, Deutsche’s survivor, confronts Covid-19
CRO talks loan reserves, VAR breaches, and the lessons of a lurid past
Eurex’s risk chief on the need for boring models
Banks need stability and predictability of VAR-based margin when volatility spikes, says clearing house CRO
Covid tumult pushed VAR capital charges up 72% at US G-Sibs
JP Morgan’s charge increases 148% quarter-on-quarter
SocGen’s trading VAR unmoved by wild markets
Though market RWAs soared, VAR dipped 7% quarter-on-quarter
PRA relief blunts market risk surge at Barclays, StanChart
Without temporary measures, market RWAs would have been 18% higher at StanChart
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
Eurozone banks fear market risk capital hike due to Covid-19
Hopes that ECB will fix double-counting as VAR breaches rise on market volatility
VAR models at odds on forex, commodities, credit risks – EBA
Interquartile distribution of VAR outputs highest for small banks, watchdog finds
Six EU banks need to fix market risk models – EBA
Nineteen firms underestimated capital requirements versus benchmarks
JP Morgan takes axe to tough-to-model trading risks
US G-Sibs see market RWAs fall 4.1% quarter on quarter
Model tweaks lift Danske’s market RWAs 30%
Tough trading quarter could also have pushed VAR-based charges higher
RBC expands market risk model scope
Moving assets off standardised approach contributed to 6% quarter-on-quarter RWA decline
At US G-Sibs, market RWAs fall $18bn in Q2
Fall in VAR-based measures of risk behind the decrease