Value-at-risk (VAR)
Market risk capital relief could cut charges at 13 EU banks
EBA says Covid-style measures could be considered to tackle energy crisis
FRTB management solution of the year: S&P Global
Asia Risk Awards 2022
Citi leads US banks’ jump in rates VAR-based charges
In a volatile Q2, the bank saw requirements for interest rate positions rise more than 300%
RBC takes $296m hit on underwritten syndicated loans
The latest markdowns were higher than at the outbreak of the pandemic
JP Morgan’s VAR multiplier increases following Q2 breach
Citi also reported one backtesting exception but kept VAR-based market risk capital requirement flat
Commerz’s VAR multiplier ratchets up after H1 breaches
Bank dodged increase in market RWAs by rebalancing to a lower-risk trading portfolio
Crédit Agricole’s VAR jumps 88% on fixed income blow-up
Trading risk gauge reached the highest since Q2 2020
NatWest cuts banking book market risk by 48%
Lower credit spread risk from bond disposals partly offset by interest rate risk on hedges
Deutsche’s market RWAs climb 28% as VAR multiplier bites
RWAs in the ‘corporate and other’ segment surged to €7.8bn in Q2 from €715m at end-2021
Regulators should be careful what they wish for on FRTB
New framework likely to reduce use of internal models, as planned; but is that a good thing?
UBS’s investment bank sees RWAs surge as revenue slows
Market risk exposure jumped 25% to $13.1 billion in Q2, the highest level in more than three years
Danske breaches VAR four times, spurring RWA hike
Fifth hypothetical breach in six months triggers VAR multiplier increase
Nordea’s IMA RWAs climb 11% in Q2
Relentless rise in VAR keeps pushing up bank’s market charges
Goldman Sachs’ VAR averaged record $124m in Q2
Trading risk indicator surged past early pandemic readings
Deep learning for efficient frontier calculation in finance
The author puts forward a means to calculate the efficient frontier in the Mean-Variance and Mean-CVaR portfolio optimization problems using deep neural network algorithms.
Morgan Stanley incurs two VAR breaches
The latest backtesting exceptions put the bank one step closer to triggering a capital requirement hike
VAR multiplier hike sends UniCredit’s IMA charges up 23%
Market volatility following the invasion of Ukraine one of the drivers behind the increase
Danske, Deutsche and PNC pin SVAR to Covid-19
Most global banks continue to use the global financial crisis to stress-test their portfolios
JP Morgan leads US banks on surging VAR capital charges
Requirements connected to commodity positions jumped 426% in the first quarter
No soft landings in flight to safety from Russia
Impact of Ukraine invasion hit bank balance sheets hard; its effects look set to continue
JP Morgan’s internal VAR hit 10-year high in March
CVA’s credit risk component split from VAR measure following credit spreads widening at some counterparties
Nomura switches to lower-confidence VAR model
Internal measure of potential market loss brings bank in line with the likes of JP Morgan and BofA
Oil value-at-risk forecasts: a filtered semiparametric approach
This paper proposes the GARCH model combined with the Cornish–Fisher expansion for the oil VaR forecast.
RBI’s market risk gauges go haywire on Ukraine war fallout
Portfolio reshuffling helps Austrian bank contain RWA impact