Stressed value-at-risk (SVAR)
RBC takes $296m hit on underwritten syndicated loans
The latest markdowns were higher than at the outbreak of the pandemic
Commerz’s VAR multiplier ratchets up after H1 breaches
Bank dodged increase in market RWAs by rebalancing to a lower-risk trading portfolio
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?
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
VAR multiplier hike sends UniCredit’s IMA charges up 23%
Market volatility following the invasion of Ukraine one of the drivers behind the increase
Capital One changed SVAR window 24 times in Q1
Since 2020, the lender updated its chosen stress period dozens of times each quarter, far more frequently than peers
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
Fortunes of VAR: dealers decry effect of war on risk models
European banks with large Russian derivatives exposures face risk of backtesting exceptions – and higher capital requirements
NatWest’s market RWAs up 8% on higher VAR multiplier
Bank incurred regulatory backtesting exceptions amid heightened market volatility
Market volatility weighs on UBS
Higher VAR and SVAR charges lifted market RWAs by $2.9bn in Q1
Deutsche’s SVAR window update adds €2.2bn to RWAs
First-quarter surge comes after four consecutive reductions
Lloyds’ IMA RWAs up 43% in run-up to Ibor switch
VAR multiplier and RNIV charges rose in 2021 on account of transition risk
Barclays’ modelled RWAs jump 71%
SVAR pinned to Covid-19 panic drives latest quarterly increase
SocGen cut trading VAR by a third in Q4
Trading risk gauge shrinks to lowest in 17 years
Deutsche’s market RWAs hit 5-year low on VAR multiplier cut
Regulatory audit greenlit 0.5x cut in multiplier following bank’s overhaul of VAR approach
ABN Amro’s market risk drops as VAR falls 53%
Total market RWAs down 4% quarter on quarter
Model changes could raise Eurex swaps margins by over a fifth
Covid-induced market volatility becomes permanent stress scenario to nix procyclicality
Barclays’ risk pare-back sees market RWAs fall £3bn
The majority of market risk is now assessed under the regulator-set standardised approach
End of SVAR relief hikes market risk at Canada’s ‘Big Five’
Market RWAs increased by C$13.9 billion over the three months to end-July
Nomura understated VAR capital charges by 13% in H2 2020
VAR RWAs should have been ¥122 billion higher than originally stated at end-December
Goldman’s market RWAs grew $14.9 billion in Q1
The increase was largely due to higher VAR and SVAR measures