comparemela.com
  1. Home
  2. Live Updates
  3. Market Risk Modelling - Breaking News

Market Risk Modelling News Today : Breaking News, Live Updates & Top Stories | Vimarsana

EU banks incremental risk charges soared in volatile H2

Charge for traded-bond default and downgrade risk hit ten-year high at BNP Paribas

European unionRisk quantumKing groupBnp paribasDeutsche bankDanske bankIntesa sanpaoloSociete generaleAbn amroNcremental risk charge ircNternal models approach imaMarket riskMarket risk modellingCredit marketsTrading bookCapital requirements

Loss of ruble volatility waiver costs UniCredit €2 2bn in RWAs

Lender forced to capitalise FX risk from Russian operations after ECB withdraws key exemption

European central bankEuropean central bank ecbBank of russiaForeign exchangeCurrency riskRussian rubleMarket riskMarket risk modellingRussia ukraine conflictStandardised approachesIsk weighted assets rwasCapital ratioCapital adequacyMacroprudential supervisionCross border supervisionIsk quantum

VAR breaches trip up Citi, CS USA and two others in Q3

Comerica’s VAR multiplier ratchets up while Huntington’s remains at record high

United statesHuntington bancsharesSuisse united statesCredit suisseHuntington bancsharesNited states usAlue at risk varMarket riskMarket risk modellingStandardised approachesNternal models approach imaCapital requirementsProfit amp lossp amplIsk quantum

FRTB managers face hard facts about risk factors

There are ways to reduce the capital charges caused by NMRFs, but they come at a price

Basel committee on bankingFundamental reviewTrading bookBasel committeeBasel committee on banking supervision bcbsOn modellable risk factors nmrfNternal models approach imaCapital requirementsP ampl attribution testMarket riskMarket risk modellingData privacyExpected shortfall esCredit riskEmerging marketsHistorical data

BofA s VAR reels back to pre-pandemic level

Dealer leads large US banks on curtailing market risk

United statesBank of americaJp morganMorgan stanleyGoldman sachsWells fargoBny mellonState streetNited states usAlue at risk varTrading bookMarket riskMarket risk modellingConfidence intervalIsk quantum

© 2025 Vimarsana

vimarsana © 2020. All Rights Reserved.