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US banks record highest number of loss-making days in six years

Wells Fargo, Citi and JP Morgan the worst performers in record-breaking Q4 ....

Jp Morgan , Wells Fargo , Bny Mellon , Wells Fargo , State Street , Jp Morgan , Bank Of America , Morgan Stanley , Goldman Sachs , Nited States Us , Investment Banks , Market Risk , Profit Taking , Market Risk Modelling , G Sibs , Market Volatility , Isk Quantum ,

SocGen cut trading VAR by a third in Q4

Trading risk gauge shrinks to lowest in 17 years ....

Societe Generale , Alue At Risk Var , Stressed Value At Risk Svar , Interest Rate Risk , Equity Risk Management , Market Risk , Market Risk Modelling , Trading Book , Interest Rates , Isk Quantum ,

Nordea's trading VAR keeps climbing amid rate hike jitters

Trading risk gauge surged 17% through Q4 ....

Norges Bank , Nordic Countries , Nterest Rate Models , Interest Rate Risk , Interest Rates , Market Risk , Market Risk Modelling , Trading Book , Alue At Risk Var , Capital Requirements , Isk Quantum ,

SA extends reach over EU banks' market and op risk

Regulator-devised models have been capturing a bigger chunk of RWAs through the pandemic ....

European Banking Authority , European Union , European Banking Authority Eba , Market Risk Modelling , Market Risk , Operational Risk , Operational Risk Modelling , Standardised Approaches , Nternal Models Approach Ima , Dvanced Measurement Approach Ama , Asic Indicator Approach Bia , Isk Weighted Assets Rwas , Basel Iii , Internal Models , Isk Quantum ,

Evaluation of backtesting techniques on risk models with different horizons - Journal of Risk Model Validation

In this study different value-at-risk (VaR) models are analyzed under different estimation approaches (filtered historical simulation, extreme value theory and ....

Monte Carlo , Financial Times Stock Exchange , Value At Risk Var , Market Risk Modelling , Model Validation , Original Research ,