Value-at-risk (VAR)
Soft inflation print triggers initial margin breaches at FICC
Clearing units for MBSs and government securities hit by backtesting deficiencies as coverage levels dip
VAR tail grew fatter at Bank of America in 2022
Gap between 95% and 99% confidence levels widens to 10-year record
US banks’ VAR breaches up 2.5x in 2022
‘Hypothetical’ one-day losses exceeded VAR on 55 occasions, as losing trading days prevail
Value-at-risk and the global financial crisis
The authors investigate the forecasting ability of bank VaR estimates around the 2007-9 financial crisis using daily data from seven international banks, finding systemic overstating of VaR either side of the financial crisis and mixed performance during…
Measuring tail operational risk in univariate and multivariate models with extreme losses
The authors consider operational risk models and derive limit behaviors for the value-at-risk and conditional tail expectation of aggregate operational risks in such models.
Nordea’s market RWAs drop 20% on Q4 SVAR cut
Last quarter marked reversal of fortunes after 30-month high hit in June
‘Hung’ leveraged loans push Barclays’ VAR to 10-year high
Trading risk gauge hit a peak of £73 million in Q4, £2 million shy of 2012 peak
SocGen’s VAR up 33% in Q4
Gap with French rival BNP Paribas shrinks to just €9 million, the least since mid-2020
Finma cools off UBS’s VAR model overhaul
Estimated $1.3bn RWA benefit temporarily offset by regulatory add-on
Goldman’s VAR drops 20% in Q4
Retreat led by commodities and interest rate risk
US banks’ loss-to-VAR ratios fell in Q3
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
European banks’ CVA RWAs up €2.2bn in Q3
Banco Sabadell, Intesa Sanpaolo and ING Bank reported largest quarterly increases
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
The authors introduce and apply new semiparametric GARCH models with long memory to obtain rolling one-step ahead forecasts for the value-at-risk and expected shortfall (ES) for market risk assets.
Modeling very large losses. II
This paper presents a means to estimate very large losses by supposing the event is the result of a succession of factors and estimating the probability of each factor.
RBI’s VAR gauges hit new record
Banking and trading book risk rose in Q3 amid shifts in risk factor mix
Crédit Agricole VAR hits highest since 2010
Trading risk gauge rose as high as €27 million during Q3
Vol pushed HSBC’s modelled market risk up 37% in Q3
Erratic markets in Europe and Asia blamed for $6.4bn increase led by VAR and SVAR-based charges
NatWest’s modelled market RWAs up 10% on RNIV backstop
Bank sees higher charges while it reworks VAR engine
Morgan Stanley’s VAR averaged $61m in Q3
Trading risk indicator surged 33%, second-hottest reading since 2013
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