comparemela.com

Latest Breaking News On - Backtesting - Page 6 : comparemela.com

Eurex s fixed income and IRS units hit by almost 700 breaches

Peak breaches in Q1 were €706 million and €214 million in size, respectively

Eurex clearingLearing membersFixed incomeGovernment bondsInitial marginNterest rate swapsInterest ratesMargin callMarket riskArk to market valuationMarket volatilityRussia ukraine conflictIsk quantum

SwapClear incurs record number of margin breaches

LCH’s interest rate derivatives clearing service reported over 4,000 backtesting exceptions in Q1

Initial marginDefault riskInterest rate derivativesInterest ratesMargin modelsArk to market valuationIsk quantum

Morgan Stanley incurs two VAR breaches

The latest backtesting exceptions put the bank one step closer to triggering a capital hike

Morgan stanleyBny mellonGoldman sachsState streetNited states usAlue at risk varMarket volatilityRisk managementMarket riskIsk quantum

VAR multiplier hike sends UniCredit s IMA charges up 23%

Market volatility following the invasion of Ukraine one of the drivers behind the increase

Russia ukraine conflictAlue at risk varStressed value at risk svarNternal models approach imaIsk weighted assets rwasMarket riskIsk quantum

BNP Paribas notches three VAR breaches in Q1

Latest count puts bank on cusp of capital penalty

European unionBnp paribasAlue at risk varIsk weighted assets rwasMarket riskCapital requirementsCounterparty credit riskCredit valuation adjustment cvaMarket volatilityIsk quantum

vimarsana © 2020. All Rights Reserved.