Value-at-risk (VAR)
Volatility drives up NatWest’s market RWAs despite IMA efficiencies
Higher VAR and SVAR readings overshadow £373 million saving from broader modelling scope
SVAR spike drives Deutsche’s market RWAs up 20%
Risk positions in the FIC division behind highest figure in over three years
August’s volatility thunderbolt rattles risk managers
Investment firms mull changes to value-at-risk models after never-before-seen spike in volatility index
SVAR hits seven-year high at Crédit Agricole
Stressed trading-loss measure rose 14% on average in first six months of 2024
Correlation breakdowns, spread positions and central counterparty margin models
The authors investigate correlation behavior during adverse market conditions and the potential impact on CCP margins, finding that such breakdowns appear to be more common than expected.
Some EU banks wanted option to start FRTB on time
Representatives of member states raised possibility with European Commission at July meeting discussing the delay
HSBC’s VAR up by a third amid methodology change
Duration risk behind latest spike as bank switches to 10-day holding period
RBI’s VAR spikes on FX fluctuations
Ruble trouble sends market RWAs up €1.4bn
Ice postpones migration to VAR in bid to improve offsets
Clearing house will move on freight products before energy, as users fret over margin spikes
Volatility-sensitive Bayesian estimation of portfolio value-at-risk and conditional value-at-risk
The authors put forward a new means to integrate volatility information in the estimation of value-at-risk and conditional value-at-risk which is shown to be effective in risk estimation during volatile market conditions.
CIBC’s VAR hits highest since 2008 amid interest rate risk surge
Client and market-making activities responsible for 44% increase
ABN Amro, Intesa lead EU IMA users with RWA surges
Rates volatility tests models in their twilight years before FRTB forces shelving
Why FRTB models are on the edge of extinction
With only four banks known to be applying to use internal models for market risk, the fate of advanced modelling looks precarious
Model teams fear budget cuts as FRTB wipeout looms
Senior modellers think supervisory intervention is needed to prevent funding drought
Santander USA cuts market risk charges by 16%
Trading risk consolidation under IHC inflates VAR charges, nets cut to total requirements
Credit Suisse USA posts trading loss for 288% of VAR
Swiss bank’s subsidiary one of only three US dealers to incur backtesting exception in Q1
As risk of US Basel delay grows, Europe is in a bind over CVA
European Commission may postpone FRTB, but it’s hard to separate surgically from rest of framework
HSBC, StanChart SVAR charges hit multi-year highs
Stressed trading-loss measure makes up 43% of banks’ modelled market risk charges
ANZ’s end-period VAR spikes to highest in a decade
Interest rate risk drives 53% surge; market risk up A$1.6bn
A study of China’s financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution
The authors construct a risk measurement model for the financial market during the Covid-19 pandemic, using data from the Shanghai Stock Exchange for empirical analysis.