Stressed value-at-risk (SVAR)
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
VAR breaches force capital add-on at StanChart
Value-at-risk capital requirement soars 38% to $161.8 million quarter-on-quarter
Over four years, US banks blitz correlation trading risks
JP Morgan’s CRM charge has fallen 94% since Q1 2015
EU’s model study finds problems with bank VAR methods
Banks surveyed by the ECB had an average of 32 issues with their market risk models
VAR model under scrutiny as RBS’s breaches spike
Excessive backtesting exceptions lead to increase in capital multiplier
One-quarter of market risk not modellable
US banks have largest portion of capital requirement set by the SA
Regulators demand action on rogue market risk models
Thirteen banks out of 49 face remedial action
US banks’ internal stress tests vary
Choice of stress period affects market risk capital requirements
VAR switch may explain $500 million capital hike at Wells Fargo
Change in stress period drives 15% increase in market risk capital requirement
ING market risk charge edges higher
Dutch bank adds €0.8 billion of market RWAs
Analytical method of computing stressed value-at-risk with conditional value-at-risk
The author of this paper develops an analytical form of stressed value-at-risk (analytical SVaR), using conditional value-at-risk (CoVaR).
FRTB may lead banks to take more risk, says Deloitte
Analysis shows some trading desks receive lower capital with stressed market risk charge
Imap exposes differences on one-in-200-year risks
Diverging views remain on calibration of stresses
Time to see models and shocks for what they are
Market shocks are earthquakes, not a game of roulette
VAR limits: dislocations put focus on other lines of defence
Wild moves in the Swiss franc and US Treasuries blindsided VAR models
Hull and White on the pros and cons of expected shortfall
Expected shortfall may be more conservative than VAR, but there are backtesting and stability concerns
Applied risk management series: Integrating stress tests with risk management
Stress testing is a vital part of successful risk management, but risk managers at energy trading firms frequently face obstacles in designing and implementing successful stress testing programmes. In this article, Carlos Blanco provides some advice on…
Remembering Lehman: CCPs hardwire collapse into models
Five years on from the collapse of Lehman Brothers, the chaos that followed is now being erased from some value-at-risk models – and clearing houses do not agree on how to prop up their margin requirements. By Tom Osborn
Risk USA: "We needed to run a simpler bank," says UBS risk manager
Capital pressures that drove UBS out of fixed income could force other banks to follow suit, says market risk head – and names Société Générale and BNP Paribas as examples
Forex options traders count the cost of stressed VAR
Costing stressed VAR