Opinion/Comment
Don’t let the SMA kill op risk modelling
The SMA is not a good response to the AMA’s failings – but don’t throw the baby out with the bathwater
Monthly credit data review: new-tech scepticism
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
Monthly swaps data review: ADV for OTC derivatives
Daily volumes are a pillar of the futures market, and can now be found for US swaps
Size-discovery protocols are not on the efficient frontier
Practice improves allocations but more can be done, says Darrell Duffie
Beware the pitfalls of right- and wrong-way risk
Credit exposure can be hazardous. Misinterpreting the risks posed can be ruinous
Memo to bank CEOs: treat op risk with more respect
High-profile critics of op risk capital rules are misguided, say Ariane Chapelle and Evan Sekeris
How Europe can fix the Basel IRRBB standards
Building an outlier test for interest income would be better than the standardised EVE approach
Is wholesale banking disruption-proof?
Fintech threatens market-making, research and wealth management, writes eCo Financial Technology CEO
Why multi-asset managers shouldn’t count on the past
Risk models are backward-looking but history won’t repeat itself
Monthly swaps data review: ETD vs OTC margin totals
New disclosures from big CCPs show listed market consumes more margin than cleared swaps
Monthly credit data review: gloomier than spreads suggest
David Carruthers of Credit Benchmark looks at banks’ credit risk data
What to do about Libor?
Darrell Duffie explains why transition from Ibor-based benchmarks is necessary and feasible
Who wants to be a forecaster?
Forecasting gas storage levels is an ugly, thankless – but essential – task
Bank scandals suggest cultural problems are industry-wide
Libor-rigging and similar misconduct across multiple firms may be the result of 'macro-cultures'
Mortgage and auto loan securitisations inflict op risk losses
Megan van Ooyen from SAS rounds up the top five operational risk losses for March 2017
Monthly swaps data review: Libor dominance challenged
There are more sources of over-the-counter derivatives data available today than at any point in the market’s history
The covered interest parity conundrum
Darrell Duffie explains why it’s difficult to arbitrage direct and swap-implied funding rates
Draghi’s euro-exit redenomination hedge
Marcello Minenna says new ECB policy effectively hedges QE bond purchases
Beware simulation sins
Aspect Capital’s Stephen Wood picks out the most common pitfalls in simulations of quantitative investment strategies
Top five op risk losses: Mortgage fines continue to plague banks
Megan van Ooyen from SAS rounds up the top five operational risk losses for February 2017
Fintech and wholesale banking: why nothing has changed
Staff turnover, regulation among five factors holding banks back
Integrating cyber risk into an operational risk framework
Risk managers should feed each level of the company only the risk information it needs
Monthly swaps data review: volumes rise, CCP switches spike
In the first of a new series of articles, Amir Khwaja of Clarus FT looks at the most recent batch of swaps data
Duffie: CCPs should prep to quash Sifi swap termination stays
Clearing houses need criteria for overriding stays on swap terminations, writes Darrell Duffie