Value-at-risk (VAR)
Profit-making trading days at systemic US banks soared in 2020
Citi had the most winning days of the G-Sibs in 2020, with 170
Credit Suisse updates VAR disclosure to cover banking book
Non-trading positions accounted for 31% of market risk exposure in Q3
Bias-corrected estimators for the Vasicek model: an application in risk measure estimation
The author evaluates the usefulness of bias-correction methods in enhancing the Vasicek model for market risk and counterparty risk management practices.
Ex-SunGard chief Cris Conde’s random walk to fintech and beyond
Technologist talks artificial intelligence, angel investing and accidentally contributing to the Basel framework
UBS factors in Covid shock to stressed VAR, causing RWA surge
Market RWAs increased 11% quarter on quarter
Goldman’s 2020 VAR was its highest in nine years
Trading revenues at the New York-based dealer were the highest in a decade
Can CCPs zone in on improved margin buffers?
Dynamically adjusting margin add-ons could reduce cyclical funding demands
Scotiabank’s capital ratio improves on fading market risks
VAR-based RWAs dropped 44% quarter on quarter
Systemic US banks’ market risk charges fall from Covid highs
Citi an outlier as its capital requirements increase in Q3
Isda study reveals size of Covid’s trading book capital hike
Procyclicality led to aggregate 25% rise in market, CVA risk-weighted assets
BNP Paribas’ RWAs shrank over €10bn in Q3
CET1 ratio climbed 20bp to 12.6%
Machine learning hedge strategy with deep Gaussian process regression
An optimal hedging strategy for options in discrete time using a reinforcement learning technique
Jerome Kemp on the skewed economics of clearing
Only Fed intervention prevented “a really big market disaster” during Covid, says derivatives veteran
UBS market RWAs dropped 25% in Q3 as VAR cooled
High value-at-risk outputs dropped out of averaging window in Q3
Performance of value-at-risk averaging in the Nordic power futures market
The authors investigate the performance of various value-at-risk (VaR) models in the context of the highly volatile Nordic power futures market, examining whether simple averages of models provide better results than the individual models themselves.
Top US dealers’ trading risk indicators varied in Q3
VAR drops sharply at JP Morgan and Goldman, stays steady at Morgan Stanley and rises at BofA
Factoring in Covid turmoil amped Bank of America's VAR in Q3
Value-at-risk averaged $109 million over three months to end-September
Science friction: some tire of waiting for quantum’s leap
Use cases for new tech are piling up – from CVA to VAR. But so are the obstacles
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