Article ID: 1ed63b915783faa3754e4700ea5538c90e5bb3421d339d78232e2eb140fa578c
Source ID: regulatory:risk.net
Published At: -
Extraction Method: trafilatura
URL: https://www.risk.net/topics/market-risk
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Market risk The evolution of stress testing: unlock one integrated balance sheet Stress-testing moves from a periodic regulatory exercise to a continuous, strategic discipline that asks: how bad can it get – and do we have a plan to survive it? UBS VAR nearly doubles to hit decade high Hedging activity behind spike as equity markets withstood Iran turmoil Modelled RWAs at systemic banks undershoot standardised by $441bn Wells Fargo and Bank of America have largest gap between internal and regulator-set models 0DTE options and non-banks could accelerate market risk Risk Live: Risk managers warn trading desks in “uncharted territory” with shocks moving faster Banks welcome UK IMA eligibility test delay, but some want more Risk Live: PRA extends monitoring for ‘Spearman’ test, while US regulators drop correlation metric EBA’s repack answers leave dealers guessing Spire dealers are split – some see worst-case scenario, others assume gentler treatment Basel’s CVA upgrade: persuasive in the US, less so in Europe Ban on credit risk models could encourage US banks to adopt more sophisticated CVA method US regulators cut FRTB’s IMA capital hit by 59%, Isda finds Trade body pushes for further changes to cross-product netting, default risk charge US FRTB glitch could spit out negative capital charges Effort to recognise risk diversification between IMA and standardised approach went too far Don’t mind the gap risk: regulatory treatment of credit repacks Gap risk in repackaging is not a credit valuation adjustment for Basel III capital purposes, argues senior quant Andrey Chirikhin HSBC CET1 hits 2022 low after Hang Seng buyout Ratio falls as privatisation weighs on capital Crisis? Which crisis? How ECB stress test failed to see Strait Banks were told to design geopolitical shock scenarios, but some focused mainly on tariffs US G-Sibs’ trading assets hit record $3.6 trillion JPM, Goldman, Citi and Morgan Stanley drive $520 billion quarterly increase amid turbulent markets Correlation breaks and hidden exposures test the risk framework Market risk leaders are adapting risk frameworks, portfolio surveillance and escalation processes in a more fragmented and reactive market environment Europe’s next chore: cleaning a floor made messy by the US Rejection of Basel III’s output floor leaves EU with some difficult decisions to make Wall Street giants rack up VAR breaches Goldman hit hardest as JP Morgan, BofA and Morgan Stanley also exceed model forecasts in Q1 EU weighs response to US dropping Basel capital floors European regulators assessing whether US proposal amounts to a “substantial” deviation UK banks add £7.4bn of CCR RWAs Barclays and Standard Chartered drive counterparty credit risk surge in Q1 European Commission plans permanent changes to FRTB EU legislator will start work on new rules later this year to ensure level playing field with US RBI’s modelled market RWAs jump on Tarf stress shock FX volatility scenario for 2009 drives sharp rise in stressed VAR under internal models approach Isda’s Basel III playbook: speak softly and carry a big QIS Scott O’Malia on capital reforms, repo markets and tokenised collateral
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