Adapting Market Risk Management Practices Amidst COVID-19

Learn what questions banking and capital markets risk managers should be asking themselves right now in terms of stress testing, scenario analysis and market risk practices in the wake of COVID.

As the COVID event began in late February and continued into March, equity prices tumbled, volatility surged, and crude oil prices dipped in to negative territory for the first time ever. The unemployment rate jumped from a 50-year low of 3.5 percent in February to 14.7 percent in April.

The EU's Basel Committee announced a delayed roll out of tough bank capital rules, while other policy makers, including the US Federal Reserve, not only issued a $2T rescue package, but later made targeted adjustments to the supervisory stress test framework to reflect even more stressful situations than were implied by current economic and banking conditions.

Increased volatility and a decline in prices across many asset classes have also impacted trading books and increased market risks, as well as counterparty credit risk and risk-weighted assets.

Join the panel discussion as they explored how capital markets participants are adapting market risk management practices amidst COVID-19. The discussion and Q&A session topics explored by the panel include:

  • An examination of the current economic and market environment under COVID-19
  • New approaches to stress testing, and COVID-related scenarios
  • Changes to capital allocations across trading books amid stressed markets
  • Impact of increased volatility and price movements of assets on RWAs
  • A closer look at hedging strategies
  • How banks will adapt market risk management practices going forward

Featured Speakers


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