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ABN Amro saw its market risk capital charge rise 54% to €164 million ($198 million) in the first quarter, as the bank ratcheted up the multipliers applied to its value-at-risk (VAR) and stressed VAR components to 3.25x and 3.5x from 3x, respectively.
The European Central Bank imposed the higher multipliers following its review of the bank’s in-house risk modelling. As a result, its charge rose by €12 million over the first three months of the year, a fifth of the total quarterly increase. The
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The European Central Bank identified 900 issues with the internal market risk models used by 31 banks through its years-long audit – of which over one-quarter were designated “high severity”.
The ECB’s Targeted Review of Internal Models (Trim), which kicked off in 2016 and closed last year, identified 824 specific deficiencies with the in-house models for generating market risk capital requirements used by banks in scope of the exercise, plus additional problems following consistency checks
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Risk measures: a generalization from the univariate to the matrix-variate
This paper proposes a method to calculate matrix-variate value-at-risk.
This paper develops a method for estimating the value-at-risk and the conditional value-at-risk when the underlying risk factors follow a beta distribution in a univariate and matrix-variate setting.
Analytical expressions of the risk measures are developed.
A numerical solution for the risk measures for any parameterization of beta distributed loss variables is presented.
Of fundamental importance is the application of computer-based algorithms for solving classically analytic problems in financial risk management. The data we acquired from Colombian financial institutions are considered using both algorithmic and analytic methods. Our results demonstrate a correspondence between the two. Although our results are motivated by problems in finance, we believe that our methods may well more general applications as well.
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European Union authorities will take action to address shortcomings with the market risk models of 14 lenders following the results of the latest supervisory benchmarking exercise (SVB) by the bloc’s banking watchdog.
Penalties will range from supervisory reviews of value-at-risk and incremental risk charge models to capital add-ons.
Four banks were deemed ‘high priority’ for intervention based on, among other reasons, their outlier status following the benchmarking analysis, history of
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