Volatility
Barclays’ modelled RWAs jump 71%
SVAR pinned to Covid-19 panic drives latest quarterly increase
StanChart reports first VAR breach since Q2 2020
Three exceptions recorded in the fourth quarter put the bank one step away from a higher capital requirement
Traders turn to ruble NDFs to avoid sanctions trouble
Basis between physical and non-deliverable trades hits record high as users shun local currency
US banks see highest number of loss-making days in six years
Wells Fargo, Citi and JP Morgan the worst performers in record-breaking Q4
Top US banks record 14 VAR breaches
JPM, Morgan Stanley, BofA, Citi, Goldman and State Street wrong-footed in volatile end to 2021
Clearing house of the year: OCC
Risk Awards 2022: Risk management reforms help clearing house weather meme stock volatility
JP Morgan incurs eight VAR breaches, triggering capital hike
Largest trading loss in Q4 reached 207% of the bank’s VAR limit
Equity markets have become so complex as to defy explanation
Experts struggle to rationalise wild swings in a market that is almost unrecognisable
How do you solve a problem like the lira?
Asset managers diverge in their approach to managing Turkish currency turmoil as FX hedging costs soar
SocGen cut trading VAR by a third in Q4
Trading risk gauge shrinks to lowest in 17 years
Vanna and the Big Put: unusual suspects in a market mystery
US equity reversal on January 24 has spawned many theories, but no solid answers
CBA’s IRRBB charge up 37% in volatile Q4
Volatility in Australian dollar swap rates the culprit for the increase
Don’t impose blanket margin model rules, say BoE advisers
Focus instead on outcomes and costs and factor in different clearing membership, say Murphy and Vause
Rough volatility moves to exotic frontiers
New simulation scheme clears the way for broader application of the rough Heston model
Nordea’s trading VAR keeps climbing amid rate hike jitters
Trading risk gauge surged 17% through Q4
ING’s interest rate VAR spiked in Q4
Potential-loss indicator for rates trading peaked at €20 million
UBS incurred a VAR breach in Q4
The latest larger-than-expected loss – the fourth in 2021 – leaves the bank one step closer to higher capital requirements
US funds piled on index hedges ahead of stock selloff
Counterparty Radar: Filings show managers adding more than $5.5 billion of puts in Q3, setting new high
Transparent pricing data shapes the evolution of indexation in fixed income
In this audiocast, MarketAxess' Kat Sweeney, head of index and ETF Solutions, and John Keller, ETF and index product manager, share their views on the evolution of credit market structure and how MarketAxess is using its unique vantage point to inject…
Efficient simulation of affine forward variance models
Andersen's quadratic-exponential scheme is used for simulations of rough volatility models
NSCC’s year of living dangerously
The CCP’s models are falling short time and time again, and the consequences could be disastrous
Credit Suisse’s US clearing unit cuts client margin by over 40%
Required segregated customer funds for swaps, futures and options down sharply since Archegos default
Hedging specialists vie for swelling FX overlay business
Custodians, banks and others look to capitalise on trend for buy side to outsource currency hedging
NSCC’s liquidity pool twice short of payment obligation in Q3
The CCP reported a shortfall in its qualifying liquid resources for the third consecutive quarter