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Top News In Backtesting Features Today - Breaking & Trending Today

Fortunes of VAR: dealers decry effect of war on risk models

European banks with large Russian derivatives exposures face risk of backtesting exceptions – and higher capital requirements ....

Across Europe , Basel Committee On Banking Supervision Bcbs , Uropean Union Eu , Vtb Bank , Asel 2 5 , Basis Risk , Capital Requirements , Counterparty Credit Risk , Foreign Exchange , Market Risk , Market Risk Modelling , Russian Ruble , Stressed Value At Risk Svar , United States Dollar , Alue At Risk Var , Russia Ukraine Conflict ,

NatWest's market RWAs up 8% on higher VAR multiplier

Bank incurred regulatory backtesting exceptions amid heightened market volatility ....

Natwest Group , Natwest Markets , Natwest Markets , Nited Kingdom Uk , Alue At Risk Var , Stressed Value At Risk Svar , Isks Not In Var Rniv , Ncremental Risk Charge Irc , Credit Valuation Adjustment Cva , Market Risk , Isk Weighted Assets Rwas , Capital Requirements , Market Volatility , Isk Quantum ,

Isda broadens FRTB carbon trading study to win over sceptics

New study shows risk weights too high for US markets, but data from 2008 still missing ....

International Swaps , European Union , Derivatives Association , International Swaps And Derivatives Association Isda , Basel Committee On Banking Supervision Bcbs , European Commission Ec , Council Of The European Union , North America , Nited States Us , Carbon Trading , Missions Allowances , Isk Weighted Assets Rwas , Standardised Approaches , Nternal Models Approach Ima , Capital Floor , Capital Requirements , Emissions Trading , Market Risk , Basel Iii , P Ampl Attribution Test , Apital Requirements Directive Crd ,

EU banks racked up VAR breaches in 2021

Crédit Agricole and ING Bank hit with higher multipliers after exception count rises ....

European Union , Abn Amro , Bnp Paribas , Crédit Agricole , Groupe Bpce , Deutsche Bank , Ng Group , Danske Bank , Societe Generale , Intesa Sanpaolo , Alue At Risk Var , Market Risk , Capital Requirements , Isk Quantum ,

Peak IM calls at FICC leapt 13% in Q4

Number of margin breaches at the central counterparty’s GSD also edged higher, as some members increase exposures after margin calculations ....

Income Clearing Corporation , Fixed Income Clearing Corporation , Depository Trust Amp Clearing Corporation Dtcc , Nited States Us , Learing Members , Initial Margin , Fixed Income , Isk Quantum ,