Value-at-risk (VAR)
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
The long-term effect of Covid-19 on market risk capital
Covid-19 has replaced the global financial crisis in some banks’ stressed VAR calculations
RBC’s VAR doubled in pursuit of trading windfall
Stressed VAR also surged as the bank switched stress periods
Virus volatility swelled CVA charges at Barclays, NatWest in H1
PRA capital relief for market risk eased the CVA burden at some lenders
Citi, Goldman, had most winning trading days of top banks in Q2
In aggregate, US G-Sibs racked up 314 profit-making days over the quarter
How UBS AM dealt with Covid-19 crunch
Buy-side risk survey: Swiss giant had planned for liquidity squeeze, says CRO – but not one like March
Goldman breached VAR limit 16 times in H1
US dealer also racked up 40 days on which trading profits exceeded $100 million
Study suggests banks may be better off with simpler VAR models
Non-parametric VAR models perform well in calm markets, but miss the mark in volatile periods
Natixis’s market RWAs grew 49% over Q2
Average VAR spiked to €18 million over Q2
SocGen’s VAR jumped 54% in Q2
Credit VAR more than doubled to €43 million
Mifid swaps, VAR and buy-side Covid lessons
The week on Risk.net, July 25–31, 2020
Trading VAR surged at Credit Suisse in Q2
Market risk-weighted assets up 20% quarter-on-quarter
Why investors are stuck with flawed VAR models
Buy-side risk survey: VAR wasn’t much use in March, but it is ingrained in the industry
Before and after the Covid-19 storm: buy-side risk survey
Wide-ranging survey reveals what worked and what didn’t in March – and what will change as a result
Dealers eye model change to cure CVA capital headache
With hopes of EU regulatory carve-out fading, some banks are taking matters into their own hands
Stuart Lewis, Deutsche’s survivor, confronts Covid-19
CRO talks loan reserves, VAR breaches, and the lessons of a lurid past
At Danske Bank, market RWAs soar as credit risks dip
Bond binge contributes to 36% increase in market risk charge
Trading risks lurched higher at top US dealers in Q2
Bank of America and Morgan Stanley saw VAR levels surge over 50%
VAR doubles at JP Morgan in Q2
Trading risk for fixed income products jumps to $129 million
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
Volatility spillover along the supply chains: a network analysis on economic links
The analysis in this paper reveals that additional fundamental risk gets transferred along supply chains, and that suppliers are exposed to additional fundamental risk that is not captured by their market beta. Suppliers are therefore exposed to…
Old-fashioned parametric models are still the best: a comparison of value-at-risk approaches in several volatility states
The authors present backtesting results for 1% and 2.5% VaR of six indexes from emerging and developed countries using several of the best-known VaR models, including generalized autoregressive conditional heteroscedasticity (GARCH), extreme value theory…
EU urged to pass permanent market risk capital relief
Council agrees temporary changes, but ECB’s Enria wants legislators to trust supervisors