Covid
BoE’s planned procyclical capital hike bewilders banks
Some doubt regulator will go through with buffer hike while forecasting recession
‘Very little support’ for a US Treasury clearing mandate – Isda
Dealers and clients prefer carrot to stick in efforts to improve Treasury market liquidity
Using correlation to model op risk losses may be unsafe – study
Techniques for linking economic factors and bank losses produce varying – and sometimes contradictory – results
The ghost of Archegos returns to haunt Simm
UK regulator’s attack on Simm may have more to do with the failed family office than meets the eye
Banks temper credit loss models by editing Covid narrative
Faced with geopolitical chaos and signs of recession, expected credit loss models need to adapt fast
Risk modelling: Covid’s impact on US housing and mortgages
The Covid-19 pandemic has reshaped consumer behaviour to an extent surpassing the impact of the global financial crisis that began in 2007–08. This fact, combined with drastic policy changes by the US federal government, has effects on financial markets…
Hedge funds warn SEC dealer rule is ‘unenforceable’
Private funds say they are collateral damage of poorly drafted push to regulate PTFs
Covid chaos spurs on search for model risk aggregation
Many models failed in pandemic, but analysing them in clusters easier than whole-bank view
Why FRTB model test loves volatility, but hates hedges
Crucial P&L test for internal models easier to pass if price swings are large, or desks poorly hedged
Share of required margin increases at top EU CCP members
Number of clearing members with total requirements of €10bn and above has been increasing since 2017
Risk culture 2.0: redefining attitudes and behaviours in an era of change
The world is a very different place than it was prior to the Covid-19 pandemic. From changing work patterns and operational change to geopolitical tensions and rampant inflation, risk departments have never been under so much pressure
Thriving in the new resilience normal
While the Covid-19 pandemic may be largely behind us, new challenges emerge as firms renavigate and optimise operations in the ‘new normal’. Today the focus has shifted to making operational resilience scalable and sustainable. In a Risk.net panel…
Federated’s CIO on the fight to save prime MMFs
SEC reform proposal could be final nail in coffin for institutional prime funds
BoE: regulators could push CCPs to publish margin shocks
Russia-Ukraine war has forced a tenfold margin funding burden, says BNP; Ice says smaller hedgers face disenfranchisement
‘Trend’ triumphs in uncertainty, but not as it wanes – study
Quant investing approach thrives in extremes of market uncertainty; calm hinders it
Is DLT post-trade a solution without a problem?
Sources question landmark projects' ability to use technology at scale as further delay besets ASX deployment
Danske, Deutsche and PNC pin SVAR to Covid-19
Most global banks continue to use the global financial crisis to stress-test their portfolios
BlackRock calls for blockchain to fix futures processing snags
Asset manager wants industry to move faster in adopting “single source of truth” model
As geopolitical risk spikes, a major index gets a revamp
Geovol risk gauge built by Nobel laureate Robert Engle to become Global Covol
Oil value-at-risk forecasts: a filtered semiparametric approach
This paper proposes the GARCH model combined with the Cornish–Fisher expansion for the oil VaR forecast.
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
The importance of enterprise resilience alongside rapid digital transformation
The Covid-19 pandemic has accelerated digital and organisational transformation for many companies but, as leaders across industries note, this has also made them more vulnerable to new risks. In this feature, ServiceNow explores why further change is…
Modeling credit risk in the presence of central bank and government intervention
In this paper a simple approach for including central bank and government intervention in credit models is developed and illustrated using the Fed’s data for the CCAR 2021 stress test.
Have corporate bond markets outgrown the plumbing?
Regulators must examine both investor demand and dealer liquidity supply, say Iosco experts