Risk magazine - Jul 2023
In this month’s issue: SVB and the case for capital charges, EBA seeks out unrealised loss data, banks urge more resilience around the energy crisis, and more.
Cover detail: Between the Laneway and the Garage,
Acrylic on canvas, 12x12”, by Anne-Marie Olczak
www.anne-mariebainbridge.co.uk
am.b@btopenworld.com
Articles in this issue
Basel’s IRRBB shock scenario update hit by US crisis
Recalibration of shocks had been touted for Q3, but wider rethink may now cause delay
ECB zeroes in on wrong-way risk as a key lesson of Archegos
Counterparty risk experts agree with focus on “long-neglected” topic after family office default
Simm’s first off-cycle rejig hits non-cleared rates
Recalibration lifts initial margin for some products by 37% after year-end volatility forces update
Dora ‘critical tech vendor’ designation could cast a wide net
Experts think cloud services, data providers and software firms are all in regulators’ sights
EU banks balk at new market risk models back test
EBA proposals introduce additional expected shortfall back test for market capital risk models under FRTB
US regional bank casualties: the Fitch Ratings view
The rapid collapse of four US banks in March raised serious questions over risk management failures and regulatory blind spots. Christopher Wolfe and Olivia Perney of Fitch Ratings discuss the root causes of the problems in the US – and concerns…
People: Wipf hands ARRC reins to Phelan, Tyce heads to Nomura, and more
Latest job changes across the industry
Lessons on bank resolution, from Silicon Valley to Zurich
After the chaos of SVB and Credit Suisse, is First Republic a model for future bank rescues?
Regulators’ remorse: SVB and the case for IRRBB capital charges
Basel Committee chair among those who say Pillar 1 capital requirement could have helped control SVB risks
After SVB downfall, EBA stress test seeks out unrealised losses
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
Climate risk models and metrics: what works and what doesn’t?
Panellists at Risk Live Europe 2023 discussed what has been achieved so far in climate risk stress-testing and modelling, alongside what needs tackling next
Boaz versus BlackRock: the fight over closed-end funds
Saba founder says he never planned to be an activist investor. Now he’s battling BlackRock – again
The battle to stop energy markets boiling over
European CCPs and supervisors join call for changes to mitigate any repeat of last year’s crisis
One strike and they’re out: traders threaten liquidity stoppage
PTFs vow to withdraw from Treasuries market in protest at SEC registration plans
DisConnect: no deluge of demand for onshore CNY swaps – yet
Despite modest uptake, new onshore swaps on China’s Swap Connect could outdo non-deliverable IRSs, say dealers
Buy-siders to face rising settlement risks when 2 becomes 1
Non-US asset managers may miss crucial window to settle trades with CLS after switch from T+2 to T+1
As Libor ends, credit-sensitive rates face day of reckoning
Iosco to issue compliance verdict on Ameribor and BSBY as transition deadline looms
The chatbot and the quant: GPT shakes finance education
With smarter large language models, quant grads risk turning into AI-assisted slackers, writes Gordon Lee
Making banks investible again after this year’s turbulence
Following the failure of four US banks and the bail-in of Credit Suisse, panellists at Risk Live Europe discussed the market outlook and whether reform is needed
Collateral markets in need of rewiring
New data suggests a tech upgrade is needed to avoid a large central bank footprint in markets
Op risk data: Credit Suisse hit for $900m in offshore trust bust
Also: Goldman boys’ club gets the boot; HSBC double whammy; Havilland’s economic sabotage plan. Data by ORX News
Trading risks and a spotlight on XVA
Panellists at Risk Live Europe 2023 discussed the usefulness, limitations and outlook for valuation adjustments
Liquidity risk hits record high at CME
Heightened market volatility in Q1 pushes F&O’s worst-case payment obligation up 13%
US banks load up on time deposits amid liquidity concerns
Charles Schwab leads charge with fourfold increase
Initial margin hits all-time high at two LCH services
Despite initial margin spike, breaches at SwapClear climb to nearly 19,000
SA-CCR charges surge at BNP Paribas and ING
Dealers’ RWAs rise combined €3.1bn in volatile Q1, among biggest quarterly jumps since SA-CCR’s EU debut
MUFG’s settlement risk surges fourteenfold
Risk-weighted assets for Japanese lender’s unsettled transactions cross ¥300 billion mark in the first three months of 2023
Into the quantiverse: real-world pricing goes arbitrage-free
QRM quants claim to have bridged divide across ‘multiverse’ of fixed-income models
The factor Heath-Jarrow-Morton term structure
A framework for rates that links real-world and risk-neutral measures is presented
The quintic Ornstein-Uhlenbeck model for joint SPX and VIX calibration
A new model that jointly fits the smiles of VIX and SPX is presented
A European liquidity pool for bitcoin futures has arrived
Eurex’s new FTSE Bitcoin Index Futures contracts can help investors remove regulatory uncertainty from their crypto investments
