Financial Risk & Performance Management Analytics
eBIS provides a comprehensive news portal for financial services practitioners. Sourced from over 50 news agencies and web information services, the portal parses feeds daily into news categories that are relevant to your industry role. From updates on the latest regulatory events and headline financial stories to news on industry horizontals to technology specific trends, our news portal provides information categories for your area of interest. A custom filter tool allows you to sort news by date, category or keyword. Give it a try…
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11/12/2018
Risk USA: Forget Silicon Valley – come work in finance, hedge fund CRO tells technologists……
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11/09/2018
The pair reduced op RWAs a combined $15 billion in the third quarter……
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11/06/2018
A comprehensive review of a firm’s GRC framework can deliver enhanced reporting and transparency, increasing the pace of innovation and adoption……
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11/06/2018
Firms are increasingly exploring the benefits of cloud-based options for a range of tasks and applications. A panel of industry leaders discusses key topics, including how to best deploy cloud computing, its most effective uses, the impact of regulation on its adoption and the long-term advantages c…
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10/31/2018
Two-thirds of reduction achieved through RWA efficiencies……
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10/31/2018
In early October, figures from the Basel Committee on Banking Supervision confirmed what banks have known for some time: the Fundamental Review of the Trading Book (FRTB) will spark a vast increase in the cost of market-making to the point that, for some products, it will no longer make sense to con…
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10/29/2018
The €114m default of Nasdaq power trader Einar Aas will have consequences across markets – but energy could be particularly badly affected……
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10/29/2018
Mexico, China, and US yet to implement key rule changes……
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10/29/2018
Risk densities range widely and out-of-sync with average probabilities of default……
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10/25/2018
Clearing house is “seriously considering” contributing to its own default waterfall……
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10/25/2018
We present a method for conditional time series forecasting based on an adaptation of the recent deep convolutional WaveNet architecture….
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10/24/2018
Varied supervisory and external audit demands stretch cross-border risk management……
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10/24/2018
Dealers urge South African Reserve Bank to depart from Basel standards on NMRFs……
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10/23/2018
RWA densities for corporate loans under standardised approach stand at 94%, for A-IRB just 43%……
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10/23/2018
A forum of industry leaders discusses how banks will define individual trading desks under FRTB, whether BCBS 239 compliance projects can help banks meet FRTB risk data challenges, which model validation obstacles banks still face and other key topics……
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10/23/2018
Market share in long-dated trades has halved since metric was imposed at start of year……
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10/22/2018
This paper aims to reflect the current state of the discussion on the validation of market risk forecasts by means of backtesting….
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10/18/2018
Ice and CME question handling of individual direct clearing members at FIA Expo……
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10/17/2018
Four sources say draft will make concession; it could also revive EU-US segregation drama……
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10/17/2018
Regulators and exchanges need to learn from the Greenhat/PJM default in the US as well as the Norwegian Nasdaq blowout……
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10/17/2018
In this paper, the authors develop an early warning system for forecasting a financial crisis of the magnitude of the 2007-8 crisis for the European Union (the EU14)….
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10/17/2018
Second quarter saw the second-largest quarterly increase since the CCP began reporting in 2015……
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10/15/2018
The impending move from interbank offered rates to alternate reference rates will require important changes to many valuation and risk management processes and infrastructure. EY Financial Services’ Shankar Mukherjee, Michael Sheptin and John Boyle explore the impact of the transition, as well as wh…
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10/15/2018
The shift from Libor to an alternative risk-free rate will require considerable cost and effort, and the sooner the market takes action the fewer and lesser the risks associated with transition will be. A forum of industry leaders discusses key topics, including the impact of the shift on market pri…
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10/11/2018
Choice of stress period affects market risk capital requirements……
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10/08/2018
With financial reporting in a state of flux amid the introduction of several new accounting standards, many corporates may feel overburdened by the need to ensure accounting compliance to take full advantage of IFRS 9 from the point of adoption. Robert van Wijk from the market risk advisory group at…
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10/07/2018
Commissioner Peirce wants rest of dealer regime completed within “weeks”, but no word on clearing……
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10/05/2018
Basel III output floor will add 5.4% to minimum required capital……
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10/05/2018
Median savings shrink to 5.1% from 19% at end-2015……
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10/04/2018
Total capital ratios would fall to 14.5% from 18.5% if reform package were implemented today……
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10/04/2018
Just seven of 193 surveyed below 100% minimum requirement at end-2017……
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10/02/2018
Change reflects CCP’s model methodology and calmer markets in Q2……
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10/02/2018
Banks are pushing for a 48 hour delay in reporting large corporate bond trades……
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9/30/2018
New risk management challenges as firms split legacy fossil-fuel operations from renewable-focused areas……
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9/27/2018
As many as 70 banks globally could adopt the internal model approach for market risk capital……
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9/27/2018
‘Daft’ guidance would see settled-to-market derivatives caught by NSFR and LCR liquidity ratios……
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9/24/2018
This paper investigates the procyclicality of capital in the advanced internal ratings based (A-IRB) Basel approach for retail portfolios, and identifies the fundamental assumptions required for stable A-IRB risk weights over the economic cycle….
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9/24/2018
In this paper, the authors obtain analytic expressions of different actuarial and statistical quantities for a general class of composite models derived from the McDonald’s family of probability distributions….
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9/23/2018
Clearing exemption removes swaps deterrent as bank seeks to hedge growing China exposure……
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9/21/2018
Barclays had the lowest percentage of market RWAs calculated under IMA, at 49.6%, and Lloyds Banking Group the highest, at 86.1%……
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9/19/2018
Four-member auction may have turned 27% margin breach into huge default fund loss……
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9/19/2018
High achievers in the fields of risk management and derivatives across Asia……
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9/18/2018
Normally the province of IT, cyber defence is increasingly seen as a critical part of operational risk……
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9/14/2018
Lower risk levels drive quarter to quarter fall……
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9/12/2018
Change in stress period drives 15% increase in market risk capital requirement……
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9/11/2018
G-Sibs cut $31 billion of market RWAs in three months to June……
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9/11/2018
This paper proposes temperature-based risk management using hybrid financial instruments built on weather derivatives….
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9/11/2018
In this paper, the authors apply a dynamic extreme value theory (EVT) model based on a nonhomogeneous Poisson process incorporating covariates to estimate frequency, severity and risk measures for operational risk….
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9/11/2018
This paper proposes an alternative framework for setting banks’ operational risk capital, which allows for forward-looking assessments and limits gaming opportunities by relying on an incentive-compatible mechanism….
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9/10/2018
21 of 65 ECB-surveyed banks’ internal model practices non-compliant with EU rules……
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9/10/2018
The aim of this paper is to predict future default behaviors of nonbank financial company customers using credit scores….
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9/10/2018
Delegated reporting threatened by policy-maker objections to use of foreign banks……
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9/09/2018
Dearth of liquid products and historic data threatens banks with capital hit under new market risk rules……
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9/06/2018
60% of UCITS funds’ single-name CDS gross notional exposures were sell contracts in October 2017……
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9/03/2018
Requirements for the mandatory exchange of initial margin are expected to be time‑consuming and laborious to implement. David White, head of sales at triResolve, discusses the lessons learned from in‑scope firms, obstacles to achieving compliance and how automation can increase operational effic…
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8/30/2018
Retail A-IRB assets grow 12% quarter to quarter……
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8/29/2018
Measure touted as better gauge of VAR violations……
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8/29/2018
Firms are now under pressure to significantly transform governance, risk and compliance processes. Traditional mechanisms of effective risk management and regulatory compliance are fast becoming outdated. New technologies such as machine learning and artificial intelligence are helping manage commo…
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8/29/2018
The Financial Accounting Standards Board’s current expected credit loss rule could mean loss provisions for loans are three times higher than with International Financial Reporting Standard 9……
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8/28/2018
Probabilities of default fall on average across 39 countries……
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8/27/2018
Firms have grown modelled RWAs by 31% and cut standardised RWAs by 56% in five years……
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8/27/2018
Exemption removed from Emir Refit, but Parliament moots future legislative changes for ETDs……
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8/23/2018
More buy-in and more recognition of the commodity market’s special features will make future regulation faster and smoother, argues energy expert……
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8/23/2018
Previous bets on US interest rate curve flopped following unexpected flattening……
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8/23/2018
In this paper, the author estimates a two-equation system: one for LGD that incorporates time to recovery as one of the model explanatory variables, and the other for time to recovery using survival models that address data censoring….
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8/23/2018
Sovereign credit risk-weighted assets jump 19% as Barbadian loans sour……
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8/22/2018
Across 14 G-Sibs, IRB assets fall 10%, standardised assets 20% over three years……
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8/21/2018
Calculation tweaks made to scrap higher regulatory RWA multipliers……
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8/21/2018
Academic aims to address gaps in existing LGD forecast method with two-equation fix……
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8/21/2018
Regulators sidestep questions on whether ‘material compliance’ amounts to full compliance……
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8/16/2018
Critics of the Basel Committee’s Fundamental Review of the Trading Book are wrong, write John Beckwith and Sanjay Sharma……
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8/15/2018
French bank’s IHC reports four backtesting exceptions……
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8/15/2018
This paper highlights some anomalies and asymmetries in the new market risk paradigm of the Fundamental Review of the Trading Book (FRTB) framework….
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8/15/2018
Treating eurozone as single jurisdiction could slash G-Sib capital, but the 19 member nations have differences to settle first……
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8/14/2018
The aim of this paper is to assess the impact of defaulting on one personal credit modality on future defaults on other modalities. Using Brazilian microdata, the authors run a logistic regression to estimate the probability of default on a given credit modality….
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8/13/2018
A new breed of vendors could change the face of risk management – if they can hang around long enough……
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8/09/2018
Light on cash, risk management fintechs face an extended gauntlet most won’t survive……
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8/09/2018
This paper is a historical case study of the GAS scandal and is the first to analyze it from the perspective of operational risk….
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8/08/2018
The bank’s market RWAs dropped 24% quarter to quarter, to €1.7 billion, following a 41% reduction in the first quarter……
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8/07/2018
Sovereign bond yield spike hits public finance portfolio……
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8/07/2018
Despite new reserve requirement, dealers say ‘maturity’ in risk management is here to stay……
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8/06/2018
As global financial institutions face changing compliance targets, demand has emerged for new ways to improve efficiency and increase the integration of regulatory and finance initiatives into organisations’ business‑planning processes……
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8/06/2018
HSBC cut counterparty credit risk-weighted assets by 18% – $10.4 billion – in the second quarter……
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8/06/2018
Bank estimates Sfr35 billion jump in RWAs from Basel III, with credit modelling one driver, says CRO Bluhm……
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8/02/2018
Credit RWAs up 4.2% on loan growth and Belgian regulator-set multiplier……
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7/30/2018
Regulatory technology could be effective in improving data reporting and monitoring, but central banks have a long way to go to make it a reality……
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7/25/2018
New study supports sixfold hike in 2020 compliance threshold to avoid “dormant” margin accounts……
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7/23/2018
Elexon’s proposed modifications to the UK’s Balancing and Settlement Code will have a huge impact on forecasting and risk management processes for UK and international suppliers……
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7/22/2018
Big data and analytics play an increasingly important role in balancing supply and demand as electricity grids around the world become more decentralized. Market participants are using these tools to improve forecasting and valuing capabilities, but challenges remain….
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7/18/2018
In this paper, the authors estimate and test several default risk models using new and unique data on corporate defaults in the German stock market….
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7/17/2018
Average daily value-at-risk fall $9 million quarter to quarter……
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7/16/2018
Trading VAR falls to $30 million from $40 million in Q1……
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7/10/2018
Trading and counterparty losses triple those implied by banks’ market RWAs……
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7/10/2018
Swaptions, sovereign CDS and long-dated swaps at risk of being NMRFs……
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7/10/2018
Despite a drop in the bad loan ratio, default estimates continue to rise, writes David Carruthers of Credit Benchmark……
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7/03/2018
Concerns over cost, applicability and oversight give pause to banks’ use of ML techniques in credit risk……
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7/02/2018
Analysis shows many desks would not benefit from safe harbour in Basel FRTB proposals……
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7/02/2018
Shortfalls totalling $79 million were by far the largest for the CCP since public reporting started in 2015……
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7/01/2018
EU approach to new credit risk framework must recognise local market structures, say banking experts……
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7/01/2018
Financial regulation should be adaptive, not reactive, argues Andrew W Lo……
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6/27/2018
Member firm contributions swell Â¥135.5 billion across derivatives clearing services……
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6/26/2018
This paper analyzes the impact of different estimation window strategies, including structural breaks and forecast combinations, on forecasting common risk measures such as VaR and ES….
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6/25/2018
Analysis shows regulatory minimums protect banks from distress……
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6/25/2018
Modelled capital requirements for identical portfolios can differ by up to 4%, study shows……
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6/22/2018
Only three G-Sibs fully compliant with all risk data and reporting principles at end-2017……
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6/18/2018
In markets increasingly dominated by automated and algorithmic trading, banks must ensure their compliance departments have the computational firepower to match the trading desks……
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6/15/2018
Percentage of credit RWAs calculated using IRB approaches ranges from 42% to 91% across large dealers……
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6/13/2018
OpRisk Europe: Third parties would still require oversight from banks, even if formally regulated……
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6/13/2018
Market risk SCR averages 37% across six large insurers……
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6/12/2018
Draft AIF and Ucits regulation would oblige more stringent record-keeping along custody chain……
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6/12/2018
Net capital charges of £368 million across five lenders attributable to model updates alone……
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6/12/2018
New book addresses how traditional op risk should be applied to insurance……
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6/12/2018
Institute of Operational Risk’s new qualification gains momentum……
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6/12/2018
Big-four consultancy shines on Basel SMA, cyber risk and model risk……
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6/11/2018
In this paper, the authors present an alternative quantification technique, so-called exposure-based operational risk (EBOR) models, which aim to replace historical severity curves by measures of current exposures and use event frequencies based on actual exposures instead of historical loss counts….
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6/11/2018
Morgan Stanley density increases from 41.46% to 45.47% year-on-year……
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6/08/2018
Extraterritorial reach is not new to the region, but EU benchmarks regulation poses real risks……
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6/08/2018
Net long CDS positions fell by $117 billion from mid-2014 to end-2017……
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6/07/2018
Auto supplier default risks have jumped, as environmental concerns hit prospects for diesel vehicles, says David Carruthers of Credit Benchmark……
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6/06/2018
Inter-dealer trades have retreated as CCP dominance grows……
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6/04/2018
Thomas Lee, chief executive at VivoSecurity, and Martin Liljeblad, operational risk manager at MUFG Americas, examine how a data breach cost model can replace an advanced measurement approach in a structured scenario……
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5/30/2018
CET1 ratios improve between five and 120 basis points quarter-on-quarter at ‘Big Five’……
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5/30/2018
Citi accounted for 23% of outstanding forwards at end-March……
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5/23/2018
IBM talks to Risk.net about how asset and liability management and liquidity risk stand to benefit greatly from big data applications……
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5/23/2018
Switch to Basel II-based floor adds 16 basis points to bank’s CET1 ratio……
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5/21/2018
This paper describes the three components needed to simultaneously stress clearing members and CCPs across markets: scenario generation, evaluation of the profit and loss (P&L) of clearing member portfolios for each scenario, and default of clearing members. For each component, the paper provides al…
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5/21/2018
New regulation bans use of internal models to capitalise asset-backed products……
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5/18/2018
Energy Risk Awards 2018: French bank continues China focus while helping European industrials hedge against aluminium price spikes……
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5/18/2018
In this paper, the author constructs a capital model for operational risk based on the observation that operational losses can, under a certain dimensional transformation, converge into a single, universal distribution….
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5/15/2018
Charges may be brought under regulation 166.3 in cases where intent is hard to prove……
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5/14/2018
TMF Group discusses how in‑house general counsels can help Asia-Pacific‑based organisations navigate an increasingly complex regulatory landscape by creating a global subsidiary compliance strategy that also addresses regional needs……
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5/14/2018
It is possible that, in the next five years, the risk management function will move beyond being a cost centre to become a value-added component within the financial services sector, according to Neil Dodgson, global head of tech sales, risk and compliance at IBM Watson Financial Services……
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5/14/2018
Trading losses exceeded estimates on a single day at each dealer in the first quarter……
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5/10/2018
Standardised data would improve systemic risk monitoring and save firms billions, say data engineers……
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5/10/2018
Operational risk as a percentage of total RWAs drops 0.44% across eight G-sibs……
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5/09/2018
In this study, the authors address the fact that the ranking of classifiers varies for different criteria with measures under different circumstances, by proposing the simultaneous application of support vector machine and probabilistic neural network (PNN)-based CDP algorithms, together with freque…
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5/09/2018
Risk-weighted assets consumed by least-risky counterparties decline from 57% to 36% in two years……
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5/09/2018
Charge applied for poor management of operational, compliance and conduct risks……
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5/08/2018
A fast-moving, headstrong hedge fund – hit by rare losses after a black swan event touched on an overweight country exposure – ponders adding fresh quantitative expertise. Much to traders’ chagrin, the chief investment officer and chief operating officer recruit several quants, running them through…
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5/08/2018
Nick Gant, head of fixed income prime brokerage for Europe, the Middle East, Africa and Asia-Pacific at Societe Generale Prime Services, discusses banks’ evolving responsibilities for providing liquidity in a post-financial crisis environment in which tighter regulation restricts the ability to tak…
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5/08/2018
In this paper, the authors propose smoothing algorithms that are based on constrained maximum likelihood for rating-level PD and for rating migration probability….
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5/08/2018
New Eonia/Euribor swaps will be barred from 2020 if Eonia fails to comply with EU benchmark rules……
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5/07/2018
Goelman compares manufactured payouts to match-fixing, and says CFTC has jurisdiction to bring case……
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5/07/2018
Mifid reporting has fallen short of US swaps data, but national regulators are partly to blame……
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5/04/2018
Gender pay gap disclosures could be a proxy for credit risk, writes David Carruthers of Credit Benchmark……
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5/02/2018
Benchmark reform means additional work for rates quants……
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4/30/2018
Automaker ramps up cash flow hedging in wake of FASB update……
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4/30/2018
In this paper, the authors argue that both for-profit central counterparties and their clearing members should contribute to the default waterfall, with a CCP’s two contributions coming directly before and directly after the tranche of clearing member contributions….
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4/27/2018
German lender increases share of fund’s CDS portfolio……
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4/24/2018
Committee names and shames regulatory laggards……
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4/20/2018
BNY and State Street assets hit new record, as Basel consider G-Sib changes……
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4/19/2018
Basel rethink on FRTB capital ratio hedging prompts fresh questions over EU implementation……
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4/17/2018
Increased client activity and market volatility increases firmwide risk……
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4/17/2018
Industry says recent Basel proposals are unclear and retain burden of pre-approval for hedges……
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4/15/2018
Capula and Rokos Capital among funds to have gained access to JSCC in recent months……
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4/13/2018
US regulator has previously warned EU supervisors not unpick hard-won equivalence agreement……
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4/11/2018
New market risk rules require a rethink on trading and ops, argue market risk experts……
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4/11/2018
Thomas Lee, chief executive and co-founder of Vivo Security – a start-up firm based in Silicon Valley and sponsors at OpRisk North America - talks about how special the banking industry is to Vivo Security and why its approach to model risk management and its top-down approach to quantifying cyb…
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4/11/2018
This paper introduces the concept of risk-averse dynamic arbitrage using a general time-consistent dynamic risk measure and a risk-aversion threshold level….
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4/05/2018
Proposed softening of SBA make it more appealing, but most banks still expect to adopt IMA……
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4/04/2018
Sharp increase in risk weight for strategic equity stakes will capture ownership of apex banks……
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4/03/2018
Quants show that popular risk measures fail to limit risk-seeking behaviour among traders……
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4/01/2018
New supervisory guidance will make business heads responsible for risk management……
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3/28/2018
Postponement follows Basel’s decision to revise key elements of new market risk framework……
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3/26/2018
In this paper, the importance of the empirical bootstrap (EB) in assessing minimal operational risk capital is discussed, and an alternative way of estimating minimal operational risk capital using a central limit theorem (CLT) formulation is presented….
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3/26/2018
This paper reviews the ways of measuring the performance of LGD models that have been previously used in the literature and also suggests some new measures….
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3/26/2018
This paper proposes a risk management framework designed to facilitate the alignment, integration and streamlining of professional practice standards and computer science/cybersecurity educational curriculums by bridging NPNATFs, SNIFs and RMCPFs….
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3/22/2018
“Amber zone” will protect near-miss desks – but regulators not convinced by NMRF complaints……
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3/22/2018
This paper assesses the model risk associated with the copula choice for the calculation of the Default Risk Charge (DRC) measure….
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3/21/2018
Information security is increasingly seen as a risk management function……
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3/20/2018
EU Council mulls introducing only reporting requirements in CRR II, or a very low scalar……
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3/20/2018
OpRisk North America: Swiss bank has overhauled its risk and compliance functions to prevent a repeat of costly missteps……
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3/19/2018
In this paper, the authors examine the problem of validating and calibrating FHS VaR models, focussing in particular on the Hull and White (1998) approach with EWMA volatility estimates, given its extended use in the industry….
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3/16/2018
Move could open the door to single-name clearing mandate, say experts……
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3/14/2018
The goal of this paper is twofold. First, the authors analyze how autocorrelation affects MoM estimators commonly used in the industry to determine the latent asset return correlation. Second, the authors propose a new estimator that includes correction terms to account for the autocorrelation and t…
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3/13/2018
Ambiguity in wording of rules sets up potential clash between banks and auditors over loan loss forecasts……
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3/08/2018
Amir Khwaja of Clarus FT considers how initial margin, variation margin and default fund contributions can quickly add up……
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3/08/2018
In this paper, the authors introduce an approach to cluster asset classes by correlation distance and then outline how these results can be used to design portfolios that are optimal in a group risk parity (GRP) framework….
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3/07/2018
New standards for currency dealers have brought some big improvements, but many practices remain hazy……
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3/06/2018
LCR and NSFR could produce $1 trillion shortfall in plans for balance-sheet ‘normalisation’……
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3/06/2018
Turmoil benefits total return futures, cross-asset arbitrage and dispersion……
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3/06/2018
Top dealers continued technology push as hedgers fine-tuned risk management strategies in 2017……
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3/01/2018
In this paper, a method of allocating operational risk regulatory capital using a closed-form Shapley method, applicable to a large number of business units (BUs), is proposed….
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2/28/2018
End of Sifi designation court fight reduces need for legal and lobbying work at US insurer……
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2/23/2018
In this paper, the authors discuss the hazard generated by OpRisk driven by natural and human-made disasters, and argue the position of the LDA as the most-fitted statistical approach to deal with it….
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2/21/2018
Fears over dearth of talent across tech and risk management……
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2/21/2018
The biggest op risks for 2018, as chosen by industry practitioners……
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2/15/2018
CFTC chairman says US single-sided reporting regime is ‘the better approach’……
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2/13/2018
This paper deals with the credit valuation adjustment (CVA) of interest rate swap (IRS) contracts in the presence of an adverse dependence between the default time and interest rates: so-called wrong-way risk (WWR)….
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2/08/2018
Emmanuel Denis, head of tri‑party services at BNP Paribas Securities Services, discusses why financial institutions must rethink old practices of collateral management and instead adopt a tri-party approach, with which equities can be managed as collateral……
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2/06/2018
This paper uses data on consumer credit along with generalized additive models to analyze nonlinear relationships and their effect on predicting the probability of default in the context of consumer credit scoring….
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2/06/2018
Ice hires new director of model risk management, EEX appoints senior manager of agricultural commodities, new chairman of Baltic Exchange Advisory Council, and more……
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2/05/2018
In this paper, the authors outline a simulation-based methodology for the generation of stressed transition probability matrixes under the structural credit risk framework….
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2/01/2018
Platforms and reporting entities develop individual solutions, but no silver bullet……
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2/01/2018
This paper explores the complication of calculating the IM amount requirement when collateral comprises risky assets in a parametric VaR framework. The authors show that the required IM amount can be calculated by solving a quadratic inequality….
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2/01/2018
Clearing helps Japanese bank branch out into US single names……
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1/30/2018
Differences in performance reflect market exposure, factor construction and risk budgeting……
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1/30/2018
Has the time come to look beyond return on equity (ROE) as the best indicator of a bank’s performance? This webinar explores the desirability of ROE as a performance indicator……
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1/28/2018
Chicago Fed paper calls for contributions in two phases: before members’ capital is tapped and after it is depleted……
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1/26/2018
This paper provides a detailed analysis of the relationship between approximate VaR (ES) and exact VaR (ES) by finding a linear regression model in which the response variable is the approximate VaR (ES) and the explanatory variable is the exact VaR (ES), over a large number of simulation runs….
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1/25/2018
Analysis finds bubble signals in bitcoin and ether, write trio of quant risk managers……
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1/25/2018
Fabio Mercurio, global head of quantitative analytics at Bloomberg discusses risk management and valuation adjustment for derivatives……
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1/23/2018
Move will facilitate index arbitrage trades and put CDSClear one step ahead of rival Ice, note FCMs……
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1/22/2018
Firms reach inconsistent conclusions on scope of transparency requirements……
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1/22/2018
This paper presents an evaluation of how risk interdependence affects the risk management process….
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1/22/2018
Bank of China, ICBC likely to see lower reductions in operational risk capital due to reliance on interest income……
read more »
1/19/2018
Demise of AMA leaves industry needing risk-sensitive approach for calculating top-up capital, says consultant……
read more »
1/18/2018
Fall in operational risk weights could push up capital requirements for market and credit risk……
read more »
1/17/2018
Esma could be left with an incomplete list of instruments subject to reporting requirements……
read more »
1/15/2018
Sharp increase in risk weights for unrated corporates could lead to 30% jump in RWAs……
read more »
1/14/2018
The war on coal is over, according to the US President – and the effect can be seen in banks’ default estimates……
read more »
1/10/2018
Minor tweaks don’t make up for removal of internal modelling, say banks……
read more »
1/10/2018
With the deadline for the Basel Committee on Banking Supervision’s revised standards for IRRBB fast approaching, many financial institutions are struggling to prepare, meaning many will have to adapt quickly in a drastically changing environment. IBMÂ discusses how it can leverage its insight into t…
read more »
1/09/2018
Myopic models are creating feedback loops, warns founder of new macro firm Avoca……
read more »
1/04/2018
The capital impact of Basel III on Nordic banks is disproportionate to the risks they face……
read more »
1/03/2018
This paper proposes a latent variable credit risk model for large loan portfolios. It employs the concept of nested Archimedean copulas to account for both a sector-type dependence structure and a copula-dependent stochastic loss given default (LGD)….
read more »
1/03/2018
This paper expands on the foundation of model risk analytics to address the governance, organizational and human behavior challenges associated with enterprise MRM….
read more »
1/03/2018
In this paper, the authors analyze the failure probabilities of the profit-and-loss attribution (PLA) test as defined in the final market risk standard published in January 2016 by the Basel Committee on Banking Supervision….
read more »
1/02/2018
Non-EU benchmarks have until 2020 to comply, but swaps contracts may need to change immediately……
read more »
12/21/2017
Rumoured triggering-for-financing arrangement sparks calls for more legal protection for sellers……
read more »
12/21/2017
Launching a hedge fund business in February 2013 may have seemed an unusual move at the time, but for the co-founders of La Française Global Investment Solutions (LFIS) it has proved a logical and successful one……
read more »
12/20/2017
Lobbyists confident EU policymakers can be persuaded to implement softer credit risk rules……
read more »
12/18/2017
A European Parliament draft would let supervisors decide response to P&L attribution test fails……
read more »
12/13/2017
Risk Awards 2018: LGIM led on inflation e-trading, margin rules prep……
read more »
12/13/2017
Two of Nasdaq’s pre-eminent thought leaders – Michael O’Brien, global head of product management, risk and surveillance, and Wendy Jephson, head of behavioral science, market technology - discuss the most pertinent regulatory concerns facing the buy side, and how firms can effectively implement ne…
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12/12/2017
With wins for regulatory reporting, economic scenario generation, Solvency II and stress-testing products in the 2018 Risk.net Market Technology Awards, Moody’s Analytics is well positioned to meet the demands of changing regulation such as IFRS 17……
read more »
12/12/2017
Satya Pemmaraju, founder and chief executive officer at Droit Financial Technologies, discusses how the organisation’s Adept platform can offer institutions knowledge of complex global rules systems to enable auditability and traceability, as well as how the platform’s digitised daily monitoring of…
read more »
12/12/2017
Today’s narrow margins mean utilities and energy traders need to cut costs and improve efficiencies, and a firm’s choice of commodity trading and risk management system will be crucial in the battle to become as agile as possible……
read more »
12/07/2017
Lack of convergence allows some banks to benefit from an arbitrage between booking and pricing the adjustment……
read more »
12/07/2017
Capital hit for G-Sibs ranges from 28% drop to 43% jump, QIS reveals……
read more »
12/07/2017
Morgan Stanley takes top derivatives prize; lifetime award for Xavier Rolet; Citi lands risk management award……
read more »
12/07/2017
Risk Awards 2018: How a $2bn repo helped solve Egypt’s currency crisis……
read more »
12/07/2017
Risk Awards 2018: New roles for machine learning, frontier markets and OTC data give fund an edge……
read more »
12/07/2017
Risk Awards 2018: CDS clearer completes ground-breaking four-year overhaul of its crisis plans……
read more »
12/07/2017
Standards body likely to approve SOFR as eligible……
read more »
12/07/2017
TMF Group explores how educating organisations on the approaching Common Reporting Standard can fix problems presented by discrepancies in the standard’s interpretation across different jurisdictions……
read more »
12/07/2017
Basel Committee ready to release new accord but patchy adoption of internal model floor and FRTB expected……
read more »
12/06/2017
Dual-registered venue no longer necessary under US-EU substituted compliance regime, say lawyers……
read more »
12/05/2017
This paper presents a new value-at-risk (VaR) model for the estimation of market risk in banks and other financial institutions….
read more »
12/05/2017
European banks could see big jump in capital if losses from legacy businesses are included in SMA……
read more »
12/05/2017
Marwan Tabet, head of product evolution for enterprise risk management at Murex, discusses how technology has evolved the organisation’s offering, and how its analytics expertise can help clients implement a cost-effective model risk management framework in a changing landscape……
read more »
12/01/2017
Pure exposure to home equities harder to isolate than previously thought, new paper says……
read more »
12/01/2017
Position reports will contain “meaningless information”, experts warn……
read more »
12/01/2017
New products allow investors to access digital currency in a monitored marketplace, says commissioner……
read more »
11/29/2017
EMTNs issued by treasury functions may need to be moved to trading desk because of new market risk rules……
read more »
11/28/2017
The SMA proposed in BCBS (2016) presents several issues: in particular, its two components are not sufficient to discriminate banking institutions by risk profile, thus penalizing the more virtuous ones. This paper describes a possible solution to extend the SMA by including insurance coverage….
read more »
11/28/2017
Drop loss categories and correlations and adopt simple loss distribution, advises AMA expert……
read more »
11/27/2017
Lobbyists say change to gross derivatives liabilities measure shows the whole ratio is flawed……
read more »
11/24/2017
Trading venues bemoan the commercial terms of a service vital to Mifid II swaps reporting……
read more »
11/22/2017
Energy Risk Asia awards, 2017: Market maturity drives demand for risk management software……
read more »
11/22/2017
US commitment to FRTB is essential to persuade Europe to adopt a 72.5% output floor……
read more »
11/21/2017
Bank estimates offer alternative view on probability of default risk……
read more »
11/16/2017
Structured Products Europe Awards 2017: Swiss bank has ingeniously projected hedge fund strategies through structured products to offer great returns at a lower cost……
read more »
11/16/2017
Subjecting big firms to tougher regulation is sensible in principle but difficult in practice……
read more »
11/16/2017
Philip Moyer, Enterprise Cloud and Financial Technologies, Amazon Web Services, discusses the biggest government, regulatory and compliance (GRC) challenges organisations face today, how moving to the cloud can help firms prevent potential cyber attacks and how risk/GRC professionals can start a new…
read more »
11/16/2017
CFTC says common transaction identifiers close to completion, with product identifiers not far behind……
read more »
11/14/2017
Risk30: swap data reporting will move to a distributed ledger platform in early 2018……
read more »
11/14/2017
Market risk group member describes intermediate capital charge for desks that marginally fail the P&L attribution test ……
read more »
11/09/2017
UK insurers may need to pay more and run basis risk to hedge interest rates after the transition……
read more »
11/07/2017
Risk30: Post-crisis reforms have failed to fully address systemic risk, Prudential’s CRO warns……
read more »
11/07/2017
A look at the valuation of gas storage facilities and show how a deeper analysis of the value formation can offer insights for P&L optimisation and risk management……
read more »
11/06/2017
Risk and default management of grandfathered portfolios required in any clearing relocation plan……
read more »
11/01/2017
Recent months have seen some interesting shifts in the structured products market as firms try to adapt to the new normal amid an ebbing and flowing industry. Gathering senior structured products professionals from across North America, Risk.net’s fifth annual Structured Products Washington conferen…
read more »
10/31/2017
In this paper, Paul Embrechts reviews discussions on regulation within banking (Basel III and IV) and insurance (Solvency II and Swiss Solvency Test (SST)) from a historical, personal and academic point of view….
read more »
10/31/2017
The author presents a systematic review of the chronological evolution of risk management, in tandem with financial innovation and methodological advances in derivatives pricing….
read more »
10/31/2017
Global banks charge premium for accepting local securities instead of major currencies……
read more »
10/26/2017
CCAR cycle frustrates compliance with Fed model risk guidance……
read more »
10/25/2017
Risk USA: Piecemeal roll-out of Basel III will be “enormously costly”……
read more »
10/25/2017
Some trading activities will need to be reorganised to comply with market risk rules, bankers say……
read more »
10/24/2017
Basel’s risk weights under SBA said to unfairly penalise banks reporting forex risk positions in non-G3 currencies……
read more »
10/22/2017
Market participants welcome outcomes-based approach, but need clarity where rules differ……
read more »
10/20/2017
Excluding some metrics makes A-IRB retail portfolio risk model more stable……
read more »
10/19/2017
This paper presents a nonexhaustive review of the literature on operational risk quantification under a combination of the loss distribution approach model – the most commonly used of the AMA models – and extreme value theory….
read more »
10/18/2017
Dealers criticise “unreasonable” timetable for FRTB model approvals, revealed in September call……
read more »
10/12/2017
IBM explores five key areas of risk management that can help transform the way in which organisations understand and manage risk. It provides real-world examples to show how IBM solutions can help you deliver demonstrable business value and achieve your full potential….
read more »
10/11/2017
In this paper the authors study insolvency cascades in an interbank system, in which banks are permitted to insure their loans with credit default swaps sold by other banks….
read more »
10/11/2017
Albanese, Caenazzo and Syrkin show how full-revaluation VAR is more accurate and robust than sensitivity-based VAR measures……
read more »
10/10/2017
SFC move designed to clamp down on misconduct and promote city as China risk management hub……
read more »
10/05/2017
The purpose of this paper is to review the literature on asset price bubbles to study the impact that the existence of bubbles has on standard risk management methodologies….
read more »
10/05/2017
Nordic banks to use the protocol to benefit from longer deferral period……
read more »
10/04/2017
In this paper, the author presents an easy-to-implement, fast and accurate method for approximating extreme quantiles of compound loss distributions (frequency C severity), which are commonly used in insurance and operational risk capital models….
read more »
10/03/2017
Proposed fixes under consultation don’t go far enough, say banks……
read more »
10/02/2017
This paper shows how the closeout risk framework can be extended to realistically represent and simulate the potential outcomes of “hedge and auction” default management policies currently implemented by several major central counterparties….
read more »
10/02/2017
Institutionalization of hedge funds could be adding to liquidity risk, managers say……
read more »
10/02/2017
With the fast-approaching deadline for Mifid II compliance bringing a host of reporting obligations, regulators have asserted the importance of ensuring that all reporting is correct. Adrian Gill, regulatory compliance specialist at NEX Regulatory Reporting, discusses the difficulties firms face in…
read more »
9/29/2017
Expansion of scheme will bring 47,000 firms in scope; compliance and recruitment costs set to rise……
read more »
9/29/2017
Rohit Verma, senior director at Oracle Financial Services, discusses the challenges that firms face in ensuring compliance with International Financial Reporting Standard 9, as well as Oracle’s approach to helping firms implement the new regulation, with the deadline approaching……
read more »
9/29/2017
Implementation of International Financial Reporting Standard 9 (IFRS 9) on January 1, 2018 – just over three months away – will mark a sea change in centuries-old accounting conventions, and will force banks to dramatically increase provisioning against loans that are at risk of turning sour.Â…
read more »
9/28/2017
Contentious 20% add-on for derivatives liabilities to be reviewed this October……
read more »
9/26/2017
Evaluation of new framework by Basel Committee will not be excuse for tweaking pre-agreed rules – unless proposed changes are backed by strong evidence……
read more »
9/26/2017
Complexity is slowing roll-out of standards, says Basel Committee deputy……
read more »
9/25/2017
High achievers in the fields of risk management and derivatives across Asia……
read more »
9/20/2017
Charges would encourage systemic banks to buy protection from less significant players……
read more »
9/20/2017
Asian jurisdictions likely to implement key liquidity metric before US and Europe……
read more »
9/20/2017
The goal of this paper is to explain and improve the offshore oil storage trade observed in a contango market using a forward dynamic optimization strategy. The strategy is developed using trades in forward contracts and contrasted with the literature….
read more »
9/13/2017
Marco de Innocentis and Sergei LevendorskiÄ describe a faster and more accurate method for market-implied calibration of the Heston model……
read more »
9/12/2017
The Fundamental Review of the Trading Book will introduce unprecedented volatility to banks’ market risk capital quotas. This diminishes the value of traditional point-in-time quantitative impact studies as a gauge of firms’ capital demands – as these can only provide snapshot calculations based on…
read more »
9/12/2017
Having a larger firm to stand under as compliance costs soar could be the best bet for the year ahead……
read more »
9/11/2017
FSB evaluation could maintain international standards or accelerate their decline……
read more »
9/06/2017
Dealers want firmer guidance on whether technique to slash margin costs contravenes clearing mandate……
read more »
9/05/2017
The deadline for Europe’s Benchmarks Regulation is fast approaching, but the asset management industry is looking for more guidance and information from the regulator to ensure compliance from January 2018….
read more »
9/05/2017
Structured Products Asia Awards 2017: Wise application of risk management, clear awareness of regulation and a sustainable spirit of innovation have allowed the bank to support investors and market growth……
read more »
9/04/2017
In this paper, the authors analyze the credit risk of Japanese regional banks when they lend to areas outside their original operational bases….
read more »
9/04/2017
This paper presents a novel approach to modeling retail mortgage LGD estimation….
read more »
9/01/2017
Banks eye opportunities to claim hedge accounting treatment for fixed-rate portfolios and callable debt……
read more »
9/01/2017
This paper proposes a generalized risk budgeting approach to portfolio construction….
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8/31/2017
This paper proposes an ordinal model based on forward ordinal probabilities for rank outcomes….
read more »
8/31/2017
Veteran regulator says international standards may be the wrong medicine for emerging markets……
read more »
8/29/2017
This paper discusses the criticism and praise the SMA and AMA have received, respectively, in many recent articles….
read more »
8/24/2017
This paper proposes a qualitative method to assess the maturity of model risk management practices within banks….
read more »
8/22/2017
This paper applies vine copulas with GARCH marginals to the problem of capturing asset dependence and tail dynamics for currency and commodity exposures commonly found in portfolios of global corporates….
read more »
8/21/2017
IBM discusses the challenges and opportunities facing banks as they prepare to implement the Fundamental Review of the Trading Book and how data aggregation and reporting tools can aid compliance….
read more »
8/21/2017
This paper proposes a new risk-based regime-switching model for stock prices to examine the impact of operational risk events on stock prices. ……
read more »
8/17/2017
This paper presents an analysis of the impact of asset price bubbles on standard credit risk measures….
read more »
8/15/2017
Matt Pountain, product lead and deputy general manager at Broadridge Financial Solutions, discusses what market requirements his firm has addressed this year and how it has innovated its post-trade management solution to earn the title of Best Newcomer at the 2017 Operational Risk awards….
read more »
8/08/2017
31% of European fintech firms are completely unregulated, survey finds……
read more »
8/02/2017
This paper aims to fill a gap in the literature by developing the first comprehensive risk management framework for private equity fund investments….
read more »
8/02/2017
This paper compares mVaR and mES estimators with VaR and ES under normal and fat tailed t-distributions….
read more »
7/31/2017
David Carruthers of Credit Benchmark looks at bank, sovereign and corporate credit risk data……
read more »
7/26/2017
Collin Coleman, head of NEX Regulatory Reporting, discusses the complications that arise from converging reporting regimes as well as how NEX Regulatory Reporting can offer advice to firms and share their regulation compliance burden….
read more »
7/26/2017
Local lenders wait on central bank’s interpretation of Basel standards before upgrading IT infrastructure……
read more »
7/23/2017
Cashflow mismatch risk framework aims to plug holes in Basel Committee’s liquidity coverage ratio……
read more »
7/21/2017
Non-banks may have to use tougher market risk approach than bank competitors……
read more »
7/17/2017
Eric Berdeaux, chief executive officer of Oxial, shares his thoughts on the digital innovation in operational risk and compliance and what the biggest challenges Oxial clients are facing right now within compliance….
read more »
7/13/2017
As global financial markets go through a raft of regulatory changes, demand for risk management and compliance solutions that can be streamlined across all sectors of a financial organisation is on the rise. IBM, ranked best provider for governance, risk and compliance solutions in the Risk Technolo…
read more »
7/13/2017
Operational Risk Awards 2017: Commitment to op risk management has paid off with solid financial results and balance sheet strength……
read more »
7/12/2017
Jodi Richard, chief operational risk officer, discusses the bank being named Bank of the year in the 2017 Operational Risk Awards….
read more »
7/11/2017
The long-running battle to replace the AMA with a non-models approach was beset by nationalistic squabbles……
read more »
7/10/2017
Rule changes could be proposed as early as the fourth quarter of 2017……
read more »
7/09/2017
The Basel Committee’s retreat on a risk sensitive standardised approach for operational risk capital has some market practitioners despairing, although others spy an opportunity for national regulators to spark a revival in more intuitive op risk calculation methodologies……
read more »
7/07/2017
This paper discusses the different approaches to incorporating market liquidity risk within a CCP’s default waterfall and the challenges that these approaches pose….
read more »
7/07/2017
This paper presents a clearinghouse framework to establish initial margin requirements for portfolios of credit default swap instruments….
read more »
7/07/2017
In this paper, the authors address one aspect of CCP risk management: initial margining practices. The paper provides a historical review of margining at selected CCPs as well as an overview of their current margin policies….
read more »
7/06/2017
New head of US rates trading for Barclays; TP-Icap shakes up senior management……
read more »
7/06/2017
Corporates ask for opt-out from Emir reporting changes proposed for their benefit……
read more »
7/05/2017
New FSB analysis reveals interdependencies of clearing system……
read more »
7/03/2017
As US rate-setters met last month, real-time reporting showed the impact on swaps……
read more »
7/03/2017
Head of NEX Regulatory Reporting Collin Coleman discusses the end-to-end regulatory reporting solution that addresses the needs of reporting parties across the regulatory regime and, in this year’s Operational Risk Awards, has been named best regulatory reporting platform or service……
read more »
7/03/2017
In richer test, ‘filtered’ VAR beats five other measures……
read more »
6/29/2017
6/28/2017
US industry association criticises official analysis suggesting optimal Basel ratios of up to 26%……
read more »
6/27/2017
Operational Risk Awards 2017: Nuveen successfully blends op risk platforms from both sides of Atlantic……
read more »
6/27/2017
Operational Risk Awards 2017: Agency encourages, and if necessary, forces banks to bolster defences……
read more »
6/27/2017
Operational Risk Awards 2017: In recognition of assisting clients in addressing insurance needs under Basel requirements……
read more »
6/27/2017
Operational Risk Awards 2017: Authors provide rigorous proof of SMA’s pitfalls and suggest ways to improve existing approach……
read more »
6/27/2017
Operational Risk Awards 2017: Winning entry taps into number one concern for many op risk managers……
read more »
6/27/2017
Operational Risk Awards 2017: Insurer has harnessed the power of its entire workforce for op risk effort……
read more »
6/27/2017
CCP clamps down on bond-for-cash switches driven by reporting and quarter-end repo spikes……
read more »
6/23/2017
IFRS 17 will create a closer link between insurers’ risk management and P&L volatility……
read more »
6/23/2017
Operational Risk Awards 2017: Winner stood out in a sector dominated by bigger names……
read more »
6/23/2017
Operational Risk Awards 2017: High-quality advocacy for individuals and firms accused of market wrongdoing impressed judges……
read more »
6/23/2017
Operational Risk Awards 2017: For its attempts to bring cyber risk management into the mainstream, RSA Archer wins two awards……
read more »
6/23/2017
Operational Risk Awards 2017: Financial crime specialist scoops award for helping clients reduce costs……
read more »
6/23/2017
Operational Risk Awards 2017: Winning entry from IBM harnesses machine learning for its GRC solution……
read more »
6/23/2017
Operational Risk Awards 2017: Focus on cyber helps RiskLens scoop award……
read more »
6/23/2017
Operational Risk Awards 2017: NEX Regulatory Reporting’s client customisation impressed judges……
read more »
6/23/2017
Operational Risk Awards 2017: Breadth of coverage helped Nasdaq clinch award……
read more »
6/23/2017
Operational Risk Awards 2017: Clients speak highly of unified post-trade management platform……
read more »
6/23/2017
Operational Risk Awards 2017: Sharia compliance tool is just one of the firm’s pioneering KYC initiatives……
read more »
6/23/2017
Operational Risk Awards 2017: Wide-ranging KYC operation – Org ID – promises cost savings for clients……
read more »
6/23/2017
RSA Archer takes Best Cyber Risk/Security Product and Overall Provider; IBM OpenPages wins Best GRC Product……
read more »
6/22/2017
There is no question that the banking community has a tremendous amount invested in model risk management (MRM) capabilities. While regulatory requirements have been the primary driver, this investment has expanded beyond compliance value. As banks continue to refine their MRM functions, KPMG’s Bri…
read more »
6/22/2017
This paper describes a simple model that can be used for risk management….
read more »
6/22/2017
This paper examines how we may use A-IRB models in the estimation of expected credit losses for IFRS 9 purposes….
read more »
6/22/2017
This paper proposes a portfolio credit risk model with random recovery rates….
read more »
6/22/2017
Until all the final standardised approaches are known, the floor has little meaning……
read more »
6/20/2017
Have your say in this year’s survey of the interdealer market……
read more »
6/20/2017
Mnuchin report marks a US regulatory shift – from leadership to gamesmanship……
read more »
6/20/2017
Impact of capital floor depends on new credit risk SA and changes to treatment of provisions……
read more »
6/20/2017
Investors may be forced to sell illiquid assets in a crisis to avoid compliance breaches……
read more »
6/19/2017
Clearing house to hike CDS index trade fees from July after Ice’s determinations committee takeover……
read more »
6/15/2017
SFTR vagaries cause confusion over commodity-specific transactions……
read more »
6/15/2017
Treasury converges to international standards, but leverage ratio exception may delay Basel deal……
read more »
6/14/2017
Ex-SEC head says hedge funds should expect greater harmonisation between regulators……
read more »
6/14/2017
Lengthy payout mechanism of cyber policies makes it ineffectual against large losses, dealers argue……
read more »
6/08/2017
This paper applies classical theory to determine if limiting distributions exist for WCvM test statistics under a simple null hypothesis….
read more »
6/07/2017
Industry still advocates single-sided reporting as a way to improve EU swaps data quality……
read more »
6/05/2017
This paper investigates the mechanics of the empirical aggregate loss bootstrap distribution….
read more »
6/01/2017
Structured Products Americas Awards 2017: Cross-asset capabilities and compliance know-how are expanding Smart Derivatives’ user base……
read more »
5/31/2017
Esma promises guidance, but some say ‘firm, executable’ quotes are impossible……
read more »
5/30/2017
Fed using qualitative reviews to test compliance with SR 11-7……
read more »
5/25/2017
Rules could produce “lots of little country desks”, warns StanChart market risk head……
read more »
5/25/2017
In today’s insurance environment, risk-based decision-making must become the new norm……
read more »
5/25/2017
Financial institutions increasingly depend on models to estimate risk, inform decision-making, to drive operations and strategy, and to set their future direction……
read more »
5/25/2017
Solvency II is driving the regulatory agenda for most insurers in Europe and increasingly in many countries throughout the rest of the world. The opportunity exists for industry leaders to set their sights on more than just achieving regulatory compliance and to use this new risk-based regulation as…
read more »
5/25/2017
Banks will have more flexibility on use of internal models, but calibration still undecided……
read more »
5/25/2017
Market participants unsure who will report client-side leg of exchange-traded derivatives trades to CCPs……
read more »
5/23/2017
EC and EBA officials criticise low pass rates for P&L attribution test……
read more »
5/23/2017
Regulatory heads at JP Morgan and BNP Paribas recommend regulatory recess……
read more »
5/22/2017
5/19/2017
Increasing regulation requires more data reporting, and financial institutions are relying on faster, more adaptable regtech solutions to manage the swelling scope and complexity of regulatory compliance and to build more efficient businesses. Rajat Somany, vice-president, product and platform manag…
read more »
5/18/2017
Internal move sees equities risk chief replace Kasenally, after her move to UBS AM……
read more »
5/17/2017
Time-stretched energy traders are crying out for faster, smarter risk management systems. OpenLink has answered the call with its trading and risk management cloud that offers transformative possibilities to individual firms and the industry as a whole……
read more »
5/17/2017
This paper proposes a model for forecasting scenarios from the perspective of a reverse stress test using interest rate, equity and foreign exchange data….
read more »
5/17/2017
Data shows removal of cap on substitutability in revised methodology would hit four banks……
read more »
5/16/2017
Brevan exec says market risk capital rules could force buy-side out of certain trades……
read more »
5/15/2017
European regulators embrace external data for internal modelling of credit risk capital……
read more »
5/11/2017
Isda AGM: EBA acknowledges approach’s shortcomings, but warns Basel is not reconsidering……
read more »
5/10/2017
Isda AGM: transition period may allow time for Basel to recalibrate rules, panelists note……
read more »
5/10/2017
Energy Risk USA: market participants say delay in rulemaking is ‘very frustrating’……
read more »
5/10/2017
Energy Risk Awards 2017: Forecasting accuracy sets French bank apart in oil and gas analytics……
read more »
5/09/2017
Donald Trump may have strengthened ties with the region, but the true impact of his administration on Asia remains to be seen……
read more »
5/09/2017
Isda AGM: Swinburne criticises Basel’s lethargy on clash between leverage and clearing rules……
read more »
5/04/2017
Building an outlier test for interest income would be better than the standardised EVE approach……
read more »
5/03/2017
Anfuso, Aziz, Loukopoulos and Giltinan propose a method to develop and backtest forecasting models for IM……
read more »
5/01/2017
Capital models should reflect loss grouping – research……
read more »
4/28/2017
Krzysztof Wolyniec presents a volumetric risk management model for energy markets……
read more »
4/27/2017
Step-in risk guidelines could be taken more seriously in the EU than in the US……
read more »
4/26/2017
David Carruthers of Credit Benchmark looks at banks’ credit risk data……
read more »
4/25/2017
Dealers adapt regulatory capital models to ease implementation burden, but approach comes with challenges……
read more »
4/21/2017
As energy markets change, risk management should be at the heart of business strategy – Novera Khan……
read more »
4/21/2017
As energy markets change, risk management should be at the heart of business strategy, says Novera Khan……
read more »
4/21/2017
This paper demonstrates that the rank-order tests are unreliable for assessing models to be used to predict probabilities….
read more »
4/20/2017
Although it was designed to improve and stabilize the financial system worldwide, especially in developing and emerging countries, the implementation of Basel III has involved a number of challenges and obstacles. Pakistan, with its recent economic expansion and lagging rate of Basel III implementat…
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4/20/2017
The purpose of this particular study is to determine if any liquidity risk exists in the Islamic banks of Pakistan and, if it does, what effect it has on the resilience of the industry in that country….
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4/20/2017
Some experts warn the methodology to identify systemic banks could increase systemic risks……
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4/20/2017
The availability of cloud-based applications and services is not a new phenomenon to the financial markets industry, but their adoption by buy-side and sell-side firms is anything but universal. However, this is now changing……
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4/12/2017
JP Morgan’s Jamie Dimon and ex-StanChart CEO Peter Sands are no fans of the RWA approach……
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4/12/2017
Practitioners, vendors and service providers invited to enter by the end of April……
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4/11/2017
Megan van Ooyen from SAS rounds up the top five operational risk losses for March 2017……
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4/09/2017
Ice single-name CDS volumes double year on year following switch to semi-annual rolls……
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4/06/2017
US participants will be able to start clearing credit default swaps referencing Ice clearing members……
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4/04/2017
Authority’s “key goal” in Basel talks has been to defend risk-sensitive capital framework……
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4/04/2017
Ongoing rule changes at Basel and EU could allow future bid to end corporate exemption……
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4/04/2017
Why do 66% of risk and compliance practitioners think the three lines of defence model should be updated?…
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4/04/2017
Redemptions focused within strategies suffering losses in 2016……
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4/04/2017
US insurers claim their bespoke swaps are being front-run, raising hedging costs……
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4/03/2017
Carlos Blanco and Alessandro Mauro explain how non-linear P&L attribution tools can improve a company’s business intelligence capabilities, be an effective way of benchmarking mark-to-model values, and identify key sources of risk and return on energy portfolios……
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4/03/2017
Smaller banks’ modelling practices under growing scrutiny, but ability to comply is stretched……
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3/31/2017
With FRTB’s final implementation date of end-2019 on the horizon, banks are looking to respond swiftly and effectively to the challenges posed by the new FRTB framework. In this forum sponsored by CompatibL, Murex and Numerix, a panel of market risk practitioners explores the revolution in data, adv…
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3/30/2017
Guidance for IFRS 9 and Cecl phase-in leaves local regulators to decide on calibration……
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3/30/2017
Peter Sands advocates replacing SMA with a capital buffer set by regulators……
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3/30/2017
Ex-StanChart chief exec advocates replacing current op risk capital framework with regulator-set buffer……
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3/30/2017
This paper develops a framework to fully characterize the invariance of the Delta capital charge for the FX book under a change in reporting currency….
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3/30/2017
This paper presents a comprehensive model framework for DRC that is compliant with the revised Basel regulatory framework….
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3/29/2017
Cost of implementing General data protection regulation could reach hundreds of millions for largest banks, say op risk practitioners……
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3/26/2017
Darrell Duffie explains why it’s difficult to arbitrage direct and swap-implied funding rates……
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3/24/2017
EU regulators may use different reporting deferral periods for large or illiquid trades……
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3/21/2017
Most recently standing trial accused of manipulating an interest rate futures market, Don Wilson has had a colourful career……
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3/21/2017
Energy trading and risk management software implementations are a huge investment, yet not all are considered worthwhile, according to a survey by Energy Risk……
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3/21/2017
The authors put forth a realistic network model that maximizes the use of data available to a CCP in order to simulate credit default contagion….
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3/21/2017
Consob’s Minenna says new ECB policy effectively hedges QE bond purchases……
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3/21/2017
The panel discusses the top regulatory requirements and operational risk priorities in the current market environment……
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3/20/2017
Deal volumes in the US shale sector have soared as operators slash costs and hedge against increasing fears of falling oil prices……
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3/20/2017
Grace Brasington of IBM discusses solutions to key regulatory compliance issues……
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3/17/2017
The need for accuracy, speed and flexibility: how regulation is affecting data management……
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3/16/2017
US president Donald Trump is no fan of Basel III, Perdue claims……
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3/15/2017
Trigger decision highlights product’s weaknesses, warns Milbank’s Williams……
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3/15/2017
Lack of data makes AI technology unsuitable for risk management, say Cont and Rebonato……
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3/15/2017
Non-European firms may have to undertake compliance projects without knowing the final rules……
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3/15/2017
Rising default rates could trigger a stampede out of the market……
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3/15/2017
Revised op risk capital framework unlikely to be implemented uniformly, even when a deal is agreed, bankers say……
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3/14/2017
Net long position weakens after cartel announces change in attitude to price drivers……
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3/14/2017
UK and Swiss bank Holdco CDSs likely inclusions in next iTraxx index roll, say strategists……
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3/13/2017
The mysterious fate of the apocryphal 2013 clearing proposal, and what comes next……
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3/13/2017
Megan van Ooyen from SAS rounds up the top five operational risk losses for February 2017……
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3/13/2017
Cognitive computing can help banks streamline operations and reduce regulatory compliance cost……
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3/08/2017
Banks feel “wind of optimism” from market risk group reshuffle……
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3/07/2017
Cognitive technology can increase data and process efficiencies across an organisation and enhance predictive accuracy……
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3/03/2017
Market participants accuse committee of being disingenuous and underestimating capital hit……
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3/03/2017
Market participants say capital hit has been underestimated……
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3/02/2017
Recalibration of Basel risk weights raises fresh concerns over bail-in buffer levels……
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3/02/2017
Dumping every IT problem into the operational risk register could cause chaos; operational risk and cyber risk managers can avoid this by using a taxonomy-based process to feed each level of the company only the risk information it needs……
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3/01/2017
Managed futures funds saw big inflows in 2016, but left investors disappointed……
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2/28/2017
Some firms forced to watch from sidelines as voluntary clearing of single-name CDSs takes off……
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2/27/2017
The authors develop a factor-type latent variable model for portfolio credit risk that accounts for stochastically dependent probability of default (PD), loss given default (LGD) and exposure at default (EAD) at both the systematic and borrower specific levels….
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2/24/2017
Error-strewn, duplicated and inconsistent – reporting of over-the-counter derivatives contracts data to trade repositories was supposed to lead to transparency and maintain global financial stability. As Jenny Nilsson, product marketing executive at triResolve, the portfolio reconciliation and repo…
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2/21/2017
This paper focuses on the corporate stress testing models for credit risk….
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2/20/2017
A market report on buy-side risk management technology sponsored by OpenLink and Tradeweb……
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2/20/2017
‘Vague’ anti-manipulation standards a source of frustration for energy firms……
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2/15/2017
Attitudes to GRC are changing, thanks to a new breed of solutions and the dawn of cognitive GRC……
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2/15/2017
2/15/2017
Fed chair rebuffs Republican lawmaker; dodges question on delaying VM rule……
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2/14/2017
While regulatory considerations remain a key driver of risk management, financial services firms are under pressure to recalibrate their strategy to focus on new, emerging threats such as cyber attacks……
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2/14/2017
This paper examines the three lines of defence in the context of ORM in UK financial institutions….
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2/14/2017
Firm hopes move will entice smaller players to join rates clearing service……
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2/13/2017
This paper uses a model combination approach to develop robust macrofinancial models for credit risk stress testing….
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2/13/2017
Investors have flocked back to commodities. And while analysts believe this will continue, hedge fund managers see traditional investor profiles changing……
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2/10/2017
The authors propose a method to consider business cycles in the computation of capital for operational risk….
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2/10/2017
New reporting regime marks start of increased scrutiny for big players……
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2/09/2017
Megan van Ooyen from SAS rounds up the top five operational risk losses for January 2017……
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2/09/2017
The authors examine the behavior of asset correlations for companies in Taiwan under the Basel Accord’s asymptotic single-risk-factor approach….
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2/09/2017
Murex was voted overall number one technology vendor in the Risk Technology Rankings 2016. Chief marketing officer Stella Clarke explains how exploiting technology can cut costs, soften the impact of regulation and align short- and long-term goals……
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2/09/2017
Dealers blast “illogical” carve-outs for backtesting exceptions……
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2/08/2017
FSB concerns about regulatory arbitrage might prove tricky for the likes of BlackRock……
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2/06/2017
Special features will look at the future of bank technology, quantitative research, risk transfer and regulation……
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2/06/2017
Central bank to issue guidelines to help address the shortage of data for compliance……
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2/06/2017
Model predicts future crashes will not be total wipeout……
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1/31/2017
Cyber attacks on energy firms are growing each year – an alarming fact for chief risk officers who are becoming ever-more involved in cyber risk management……
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1/31/2017
The Basel Committee’s new market risk framework will lead to crowded trading in instruments referencing the most commonly used benchmarks, dealers say – to the detriment of all others. The result could be a dangerous concentration of risks across the banking sector……
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1/30/2017
Segmented upside and downside betas can be used for better risk management……
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1/26/2017
Risk.net This paper proposes a methodology applied to complex systems to analyze operational risk events in Australian banks….
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1/25/2017
Some interpret draft CRR II changes to NMRF framework as raising the bar for compliance……
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1/25/2017
Risk Awards 2017: US bank racks up $500 billion in book deals, $9 billion in CDS basis trades……
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1/25/2017
Risk Awards 2017: XVA and reg specialist finds “perfect use case” for maths trick……
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1/25/2017
Risk Awards 2017: Record-breaking contingent hedge accompanies complex, cross-border acquisition……
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1/25/2017
Risk Awards 2017: 30-year-old incumbent moves with the times……
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1/25/2017
Risk Awards 2017: Bold decision to ditch VAR in favour of expected shortfall pays off……
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1/23/2017
Risk.net presents the top 10 operational risks of 2017, as chosen by risk practitioners……
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1/22/2017
Bruno Castor, head of market risk at Murex, discusses the issues senior management will need to consider when fulfilling the requirements of such important regulation……
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1/22/2017
Bruno Castor, head of market risk at Murex, discusses the challenges of implementation issues around FRTB……
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1/21/2017
Bruno Castor, head of market risk at Murex, discusses the challenges of implementation issues around FRTB……
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1/19/2017
As financial criminals innovate their methods and the costs of compliance mount, financial institutions are responding by centralising their data and investigations……
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1/19/2017
This year’s Top 10 Operational Risks survey highlights sharp rise in geopolitical risk following Brexit and Trump election……
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1/19/2017
Market participants raise concerns about extraterritoriality and hedge exemptions, while regulators are tipped to struggle……
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1/17/2017
Todd Semanco discusses how the leveraging of regulatory technology, digital labour and data analytics is transforming compliance programmes……
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1/17/2017
Legal settlements with US regulators dominate the year’s biggest operational risk charges……
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1/16/2017
Risk.net The author of this paper proposes a dynamic PD term structure model for multi-period stress testing and expected credit loss estimation….
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1/15/2017
Risk.net Phase-in to IFRS 9 and Cecl needed to avert “a dramatic overnight drop in regulatory capital”, say auditors Phase-in to IFRS 9 and Cecl needed to avert “a dramatic overnight drop in regulatory capital”, say auditors……
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1/15/2017
Lack of substituted compliance for Japan’s small bank margin rules causing concern……
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1/12/2017
Risk.net Corporates “don’t have a choice” about hedging Corporates continue to hedge despite price rises as RMB set to weaken furtherCorporates continue to hedge despite price rises as RMB set to weaken further……
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1/12/2017
Corporates continue to hedge despite price rises as renminbi set to weaken further……
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1/12/2017
Megan van Ooyen from SAS rounds up the top five operational risk losses for December 2016……
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1/11/2017
Talks under way to exchange principal amounts on IMM dates to allow for greater netting……
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1/10/2017
Risk.net Operators of legal entity identifiers hope Mifid II will spur greater adoption Operators of legal entity identifiers hope Mifid II will spur greater adoption……
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1/05/2017
New accounting standard requires tough data upgrade, but capital incentives are weakening……
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1/04/2017
Risk.net Disagreement on output floors continues Governors and heads of supervision to delay meeting that would have given final approval to Basel III, as disagreement continues on output floors……
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1/04/2017
Market pushes for change to auction date amid fears of reduced single-name and index CDS payouts……
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1/04/2017
Risk.net Market pushes for change to auction date amid fears of reduced single-name and index CDS payouts Market pushes for change to auction date amid fears of reduced single-name and index CDS payouts……
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12/28/2016
Risk.net Possible revision to standardised approach would favour US banks for corporate exposures Possible revised standardised approach would favour US banks for corporate exposures……
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12/28/2016
Industry experiencing crisis of negative investor sentiment……
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12/28/2016
How Basel’s plans to tighten control over banks’ internal models have evolved since 2014……
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12/27/2016
SGSS enables clients to achieve compliance targets and zero in on their core business……
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12/21/2016
EC dilution of Basel liquidity and market risk rules could create new regulatory arbitrage……
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12/20/2016
Risk.net Isda DC to consider whether non-payment of debt held by an affiliate is a failure-to-pay event Isda DC to consider whether non-payment of debt held by an affiliate is a failure-to-pay event……
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12/16/2016
IBM Algo Reporting for Solvency II gives LV= the tools to produce reports with minimal manual intervention……
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12/14/2016
Imperfect markets create opportunities for Culross, played out through different themes……
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12/14/2016
Tages’ hedge fund seeding business concentrates on spotting top early-stage managers……
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12/11/2016
Final compromise regulation not expected to trigger large fund reallocations, unlike US……
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12/06/2016
The ‘flylet’ approach allows risk managers to simultaneously hedge on local and global levels……
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12/06/2016
Risk management professionals are switching to the powerful ESG from Conning……
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12/05/2016
Two years on from its devising – and two years out from its implementation – large parts of the Basel Committee’s new market risk framework currently remain unworkable. That’s according to the banks charged with implementing it, who responded to Risk’s 2016 FRTB implementation survey – and many are…
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12/05/2016
Technology transformation is about thinking strategically and beyond the risk management function……
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12/02/2016
Risk.net This paper proposes using an optimization mechanism in the currency overlay portfolio construction process….
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12/02/2016
Our panel discusses how far global financial institutions have moved with the risk data aggregation and reporting mandate……
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12/01/2016
BP restructures long-dated hedge for commercial player……
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12/01/2016
Risk.net TLAC-driven issuance changes likely to see UK and Swiss holding company CDS included in iTraxx Financials TLAC-driven issuance changes likely to see UK and Swiss holding company CDS included in iTraxx Financials……
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12/01/2016
New structure cuts costs associated with Ucits-compliant commodities trading……
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12/01/2016
Macro risk model offers means to stress test multiple worst-case scenarios……
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11/30/2016
Bank treasurers call plan to underpin internal models with standardised floors “unmanageable”……
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11/28/2016
Basel’s new market risk capital framework imposes strict conditions on internal risk transfers between the banking and trading books. These promise to load new costs and operational burdens on dealers. Plenty of unanswered questions on the specifics remain, however……
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11/28/2016
The authors develop an agent-based model to study the impact of a broad range of regulation policies on the banking system….
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11/23/2016
Repositories battling to improve matching rates for Emir trade reporting as SFTR looms……
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11/23/2016
In this paper, the author studies how asymptotic normality does, or does not, hold for common severity distributions in operational risk models….
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11/23/2016
Risk.net The author of this paper explores the reasons for the pending demise of the advanced measurement approach (AMA) to operational risk….
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11/22/2016
IRS’s Section 871(m) rule poses huge problems for US and European structured products issuers……
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11/18/2016
Banks may push ahead with publishing key information documents before compliance date……
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11/17/2016
No transactions after first day of trading, while price discovery is problematic……
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11/16/2016
Mary Jo White says the agency has brought about “fundamental reforms”; the future direction of US financial regulation is unclear following divergent statements from Trump……
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11/16/2016
Risk.net The author of this paper proposes a prudent methodology to correct for potential biases in LGD estimations due to historical price appreciations, appraisal biases and wear-and-tear or potential damage to the house….
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11/16/2016
If CDS skew spikes, some banks may be thankful for conservative accountants……
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11/16/2016
Risk.net Massad: stress tests reveal “quite a bit of diversification” in CCP exposures Massad: stress tests reveal “quite a bit of diversification” in CCP exposures……
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11/15/2016
Risk.net Agency to publish report on regulation and market liquidity in May 2017 Agency to publish report on regulation and market liquidity in May 2017……
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11/14/2016
Risk.net The aim of this paper is to integrate prior information into a robust parameter estimation via OBR-estimating functions….
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11/13/2016
Risk.net Committee discussed axing standardised and basic approaches in recent months, sources say – but ruled out both Committee discussed axing standardised and basic approaches in recent months, sources say – but ruled out both……
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11/10/2016
Risk.net Ailing British bank is still winding down its defunct Asia derivatives business RBS sold the CDS book as it was looking to retreat from Asia to refocus efforts on home markets……
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11/10/2016
Risk.net Risk USA: Senior US regulator criticises focus on capital neutrality Risk USA: Senior US regulator criticises focus on capital neutrality……
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11/10/2016
Risk management preparations confounded by day that shifted from risk-off to risk-on……
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11/10/2016
US, EU regulators expected to implement new framework consistently……
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11/09/2016
Stability improves, but higher capital requirements also cut lending in new research……
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11/08/2016
The recent changes in regulation, in particular the Basel Committee’s standardised measurement approach (SMA), are an opportunity to escape misconceptions regarding operational risk……
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11/08/2016
Short credit and equity positions held in banking book will be caught by market risk capital requirements……
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11/07/2016
Fund managers see some major flaws in the SEC’s watered-down liquidity risk management rules……
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11/04/2016
Risk.net Regulator builds out reporting platform to monitor position limit breaches Regulator builds out reporting platform to monitor position limit breaches……
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11/04/2016
This paper explores the aggregation of different single ratings to a ‘consensus rating’ to get a higher precision of a debtor’s default probability. It builds upon the methodology published by Grün et al, 2013 and Lehmann and Tillich, 2016….
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11/02/2016
This paper uses simulation studies and an example of operational risk modeling to show the necessity and benefit of using RMT to fit high-dimensional t-copulas in risk modeling….
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11/02/2016
Risk.net Record-keeping obligations of SFTR already in force, but no guidance on data fields Record-keeping obligations of SFTR already in force, but no guidance on data fields……
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11/01/2016
Droit gets $16m capital boost to support growth of cross-border compliance service……
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11/01/2016
Risk.net The authors analyze the impact of a decline in property prices that leads to stressed recovery rates for collateral on the loss given default (LGD) parameter in portfolios of mortgage loan….
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10/31/2016
Risk.net David Frank proposes an adjustment to sample variance for the computation of value-at-risk The calculation of value-at-risk often relies on using a sample variance for that of the forward-looking distribution. However, using an unbiased estimate of variance leads to biased est…
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10/31/2016
Mercuria hires Morgan Stanley commodities chief; SocGen Asia energy sales head moves to CME; Lindt named Danske CEO; Commonwealth Bank hires head of commodities structuring; Freepoint hires Cofco agriculture heads; Uniper appoints Nordic region GM; Statkraft adds power and gas traders……
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10/31/2016
Bump to operational risk capital under SMA could be bigger than expected, experts warn……
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10/31/2016
Risk.net The authors of this paper study the forecasting performance of Nordic power futures in order to see whether the futures bias reported in a number of previous studies still prevails and, if so, whether this means that the market is inefficient….
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10/31/2016
Risk.net New Basel capital exemptions could be too small if all EU banks have to issue bail-in bonds New Basel capital exemptions could be too small if all EU banks have to issue bail-in bonds……
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10/31/2016
Two observations have consequences for commodity risk management and stochastic volatility modelling: the first is that the standard leverage effects in commodities are due to a misspecification and are inefficient proxies for the forward slope effect; and the second is that commodity volatility can…
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10/28/2016
The last line of defence between us and punitive negative rates is paper currency……
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10/27/2016
Views on risks and accounting treatment of arbitrage repack differ across the Street……
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10/26/2016
Regulators could rescue op risk modelling through Pillar 2, writes former supervisor……
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10/26/2016
Risk.net New chief executive seeks to clarify approach after stumbles in past years New chief executive seeks to clarify approach after stumbles in past years, admitting global understanding of conduct regulation still at an early stage……
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10/25/2016
HFT default could destabilise interdealer markets……
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10/25/2016
Risk.net Manager says systemic risk has reduced, creating opportunity in sell-offs Manager says systemic risk has reduced, creating opportunity in sell-offs……
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10/21/2016
Risk.net Basel Committee to integrate insurance and divestitures, but SMA still lacks forward-looking approach Basel Committee to integrate insurance and divestitures, but SMA still lacks forward-looking approach……
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10/21/2016
Unfunded loans and exposures to suppliers worry credit risk managers……
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10/21/2016
Risk.net Revival of credit derivatives arbitrage strategy targeted at insurers and private banks Revival of credit derivatives arbitrage strategy targeted at insurers and private banks……
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10/20/2016
Risk.net KRIs show particular promise for managing operational risk……
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10/17/2016
The authors conduct a comprehensive study of some parametric models that are designed to fit the unusual bounded and bimodal distribution of loss given default (LGD)….
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10/14/2016
Risk.net Buy-side turning to Brexit-inspired hedges for political tail risk Buy-side turning to Brexit-inspired hedges for political tail risk……
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10/12/2016
Have hedge funds got so good at investing that luck now dominates the field?…
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10/11/2016
There has been a resurgence of interest in enterprise risk management (ERM) recently. What can ERM offer beleaguered utilities?…
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10/10/2016
Risk.net The authors of this paper analyze the Solvency II standard formula for capital risk aggregation in relation to the treatment of operational risk capital….
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10/07/2016
Ken Phelan stresses importance of credit risk management in key Treasury role……
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10/06/2016
Recognising excellence in derivatives trading and risk management in Asia……
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10/06/2016
Macro funds still suffering; commodities inflows continue……
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10/05/2016
This paper explores how a defined-contribution pension fund optimally distributes wealth between a defaultable bond, a stock and a bank account, given that a salary is a stochastic process….
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10/04/2016
Risk.net ERM remains just a compliance function at many utilities, say consultants……
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10/03/2016
Self-taught technology could push humans aside from some – or all – of the underwriting process……
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9/30/2016
Debt subordination behind spread widening from January; CVA desks may need to adjust hedge ratios……
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9/29/2016
Risk.net Parliamentarian hits back at European Commissioner’s criticism of Basel model floors Parliamentarian hits back at European Commissioner’s criticism of Basel model floors……
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9/29/2016
Risk.net US regulators have already imposed stringent internal model floors, which Europe opposes US regulators have already imposed stringent internal model floors, which Europe opposes……
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9/26/2016
Risk.net BoE and EC concerned about repo liquidity, but Basel Committee unlikely to budge BoE and EC concerned about repo liquidity, but Basel Committee unlikely to budge……
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9/22/2016
Risk.net Repo, collateral and legal entities pose obstacles to liquidity reporting, say panellists at event Repo, collateral and legal entities pose obstacles to liquidity reporting, say panellists at event……
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9/22/2016
Risk.net Differing discount methods and EVE approach will need explaining to investors……
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9/21/2016
Ken Robinson reflects on the ‘good, bad and ugly’ in energy risk management……
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9/21/2016
A panel of market risk experts discusses the impact of the systemic change, examines the technological challenges and asks how service providers can support the banking sector……
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9/21/2016
Crowding is the “biggest challenge” facing the hedge fund industry, CRO of Point72 says……
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9/19/2016
Banks must construct a new IT architecture to support the burden of FRTB regulation……
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9/16/2016
But humans and ‘intelligent’ computers a strong combination, hedge fund managers say……
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9/15/2016
Risk Hedge Europe attendees say they lack formal measures of liquidity……
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9/14/2016
Impact studies showing significant capital increase prompted committee rethink……
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9/13/2016
Non-maturing liabilities pose problems for banks’ IRRBB hedge accounting……
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9/12/2016
9/12/2016
Setting an op risk appetite is illogical without reference to reward, argues Ariane Chapelle……
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9/12/2016
This issue contains four technical papers. Two of which deal with an analysis of the SMA, one paper deals with data and another tackles statistical issues around the quantification of operational risk….
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9/12/2016
Some funds using artificial intelligence already; others see obstacles to its success……
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9/12/2016
Risk.net This paper discusses and studies the weaknesses and pitfalls of the SMA and the implicit relationship between the SMA capital model and systemic risk in the banking sector….
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9/12/2016
Risk.net In this paper, the behavior of the SMA is studied under a variety of hypothetical and realistic conditions, showing that the simplicity of the new approach is very costly….
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9/08/2016
Substituted compliance ruling means parties will not face worst-of-both-worlds regulation……
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9/07/2016
Risk.net Hedge fund puts clients’ money in machine learning and company capital in deep learning Hedge fund puts clients’ money in machine learning and company capital in deep learning……
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9/06/2016
Take part in our annual survey to find the top 10 operational risks affecting banks and other financial institutions……
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9/06/2016
Clients face tougher reporting rules if dealers don’t become systematic internalisers……
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9/05/2016
Search for ‘quick fix’ underway before plenary vote on Priips regulation later this month……
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9/04/2016
Jodi Richard, US Bank’s chief operational risk officer, explains her overhaul of the firm’s op risk programme, including its plans for crisis management……
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9/02/2016
Big US Treasury trader has seen hedge fund add $1.5bn this year……
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9/02/2016
French bank helps corporates hedge in the wake of China devaluation……
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9/01/2016
Risk.net The authors of this paper address some issues to do with IFRS 9 and explain how to determine if an instrument has suffered serious deterioration in credit risk….
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9/01/2016
Risk.net Increased activity by funds fuels take-off in listed and OTC volumes, traders say Increased activity by funds fuels take-off in listed and OTC volumes, traders say……
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8/31/2016
Lack of recognition in new SMA capital charge could cause market to shrink, worry insurers……
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8/30/2016
Risk.net Gordon Ritter proposes a stable mean-variance optimisation for APT models Gordon Ritter presents an explicit formula for mean-variance optimisation in the context of arbitrage pricing theory models (also called multifactor models), and related generalisations with trading cost…
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8/29/2016
Systematic hedge funds are looking to new markets for a competitive advantage……
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8/26/2016
Risk.net Sfr270 million transaction by Credit Suisse and Zurich thought unlikely to be copied due to SMA Sfr270 million transaction by Credit Suisse and Zurich thought unlikely to be copied due to SMA……
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8/23/2016
Using historical equity and credit market data, this paper illustrates the validation of a structural correlated default model applied to Black-Cox setups….
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8/19/2016
Offering investors gains on the downside can present risk management headaches……
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8/19/2016
Risk.net Central bank seeks ways to improve corporate risk management Indonesia regulator moves to bring 10bn USD/IDR market onshore……
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8/19/2016
Effective risk management is more important than what your organisational chart looks like……
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8/19/2016
8/17/2016
Operational risk managers say the idea is too formalised and beset by implementation challenges……
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8/16/2016
Risk.net This paper aims to derive VaR bounds for the portfolios of possibly dependent financial assets for heavy tailed Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity processes using extreme value theory copulas….
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8/15/2016
Bonds could pre-fund CCP default funds and higher margins during market stress, authors argue……
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8/12/2016
Benefits of initial margin also overstated, new research finds……
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8/09/2016
Risk.net This study investigates two well-established ensemble learning methods: Stochastic Gradient Boosting and Random Forest, and proposed two new ensembles….
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8/08/2016
The focus and priorities of financial institutions appear to reflect the uncertainty of global markets and the growing impact of money laundering and counter-regulatory measures……
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8/05/2016
Risk.net Guidelines would cut the large exposure due diligence threshold to 2%, versus the 5% Basel standard Guidelines would cut the large exposure due diligence threshold to 2%, versus the 5% Basel standard……
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8/04/2016
Hardwiring of older risk measure into Priips means risk ratings could mislead investors……
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8/04/2016
Funds of hedge funds are struggling to attract investment more than the funds they invest in……
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8/02/2016
Asset managers are turning to ETFs and CDS to meet exposure targets, replacing them with bonds later on……
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8/02/2016
Risk.net Vivien Brunel establishes the properties of an operational risk model under the requirement of classification invariance Most of the banks’ operational risk internal models are based on loss pooling in risk and business line categories. The parameters and outputs of operationa…
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8/02/2016
The US banking supervisor has been taking a leaf out of banks’ books and putting the focus on enterprise risk management……
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8/01/2016
Lamorre-Cargill seeks to entice investors back to commodities with Argon……
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8/01/2016
Seven months after new market risk capital rules were finalised, regulators and lobbyists are still locked in discussion over one of its key elements – the result of a mysterious eleventh-hour change to the text……
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7/31/2016
As structural reforms push up defaults, China’s regulators are working to put in place a credit default swap market. However, without reforming the regulatory fragmentation that plagued previous attempts, market participants fear new efforts will also fail……
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7/29/2016
Basel Committee working on sovereign risk, but eurozone has most at stake……
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7/25/2016
Uncertainty over approval process leaves firms “in limbo”……
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7/24/2016
Teza, TransMarket, Virtu among firms held back by regulation and old market practice……
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7/22/2016
Risk.net This paper analyzes the validity of using the loan-to-value (LTV) ratio to explain the behavior of mortgage borrowers at an empirical level….
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7/22/2016
UK energy firms fear leaving EU may usher in new layer of reporting rules……
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7/21/2016
UK regulator promotes the use of financial technology to smooth compliance wrinkles……
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7/18/2016
Receptiveness, resilience and reflection are crucial for avoiding nasty surprises……
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7/14/2016
Demand for credit protection increases, but traders say sellers will be hard to find……
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7/14/2016
Risk.net Latest tweaks to position limits rule draw ire of CME and Ice Latest tweaks to position limits rule draw ire of CME and Ice……
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7/14/2016
Risk.net The step-in risk concept may need a total overhaul to be fit for purpose as the UK goes its own way The step-in risk concept may need a total overhaul to be fit for purpose as the UK goes its own way……
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7/11/2016
Foreign investors can now hedge CNY bonds but dealers expect limited uptake……
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7/11/2016
Loss of influence belies critical role UK played in crafting sensible financial regulation……
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7/07/2016
Risk.net This paper addresses the issue of model selection risk by examining whether a model’s past performance in forecasting expected returns provides an indication of its future forecasting performance….
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7/05/2016
The AMA doesn’t make any sense – but the idea of a single, simple equation does, writes Ruben Cohen……
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7/04/2016
The authors propose a method for determining an arbitrage-free density implied by the Hagan formula….
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7/04/2016
Risk.net Regulator seeks info on currency make-up of capital base, and capital adequacy Regulator seeks information on currency make-up of capital base, and capital adequacy……
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7/04/2016
Low prices across the commodity spectrum have made credit risk a higher priority for energy firms worldwide. This webinar, brought to you by Energy Risk and Moody’s Analytics, brings together thought leaders from across the industry to discuss the best tools and methodologies for assessing counterpa…
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7/03/2016
PwC goes back to basics to simplify how clients approach risk management……
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7/03/2016
The vendor, a leader in the governance, risk and compliance space, scores with rapid deployment solutions……
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7/03/2016
The service boasts some 50,000 users, with around five billion transactions being processed each year……
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7/03/2016
Apra wins praise for pushing business case for op risk modelling and scenario analysis……
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7/03/2016
The consortium wins with a definitive set of op risk scenarios that insurers can use to identify which one is relevant……
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7/03/2016
Firm captures a 24% market share in Mifid reporting by volume and is the third-largest manager of trade reports under Emir……
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7/03/2016
At the foundation of Oracle’s offerings across all 46 of its financial services analytical applications is a common data model……
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7/03/2016
Risk management failures cause the bank to revamp its op risk programme……
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7/03/2016
The US software company’s product enables reporting and decision-making on cyber security……
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6/30/2016
Even as EU Market Abuse Regulation kicks in, few companies have systems to flag suspect trades……
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6/30/2016
Risk.net Bids to use bigger datasets give no better loss forecasts, says hedge fund Bids to use bigger datasets give no better loss forecasts, says hedge fund……
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6/30/2016
Wave of organisational change at major banks heightens operational risk exposure……
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6/30/2016
UnaVista, London Stock Exchange Group’s global hosted platform for all matching, validation and reconciliation needs, was named best regulatory reporting platform in this year’s Operational Risk Awards. Tom Wieczorek, head of product management, describes how the platform helps firms reduce operatio…
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6/29/2016
Local regime likely to be tougher than Solvency II, although risk margin might change……
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6/29/2016
Risk.net UK-based firm’s four macro funds hit by equity index and sovereign debt losses UK-based firm’s four macro funds hit by equity index and sovereign debt losses……
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6/29/2016
Risk.net Banks told to avoid trades that offset regulatory adjustments, but details are thin Banks told to avoid trades that offset regulatory adjustments, but details are thin……
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6/29/2016
Risk.net Researchers offer academic justification for Basel’s standardised measurement approach Researchers offer academic justification for Basel’s standardised measurement approach……
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6/28/2016
Relentless focus on Priips compliance leaves industry vulnerable to hidden threats……
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6/27/2016
Risk.net Going beyond the regulatory requirements to operational risk measurement, the authors of this paper aim to provide relevant business applications to a bank….
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6/23/2016
Pictet has developed a unique hedge fund unit within its asset management business……
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6/23/2016
Hathersage wins hedge fund of the year for its dbSelect currency trading strategy……
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6/23/2016
Since the early 1970s, David Anderson has been key in the European hedge fund industry……
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6/23/2016
Deep research and a careful strategy has delivered impressive returns for Elementa……
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6/23/2016
Lyxor’s Epsilon fund and its research model gives it top spot in the best directional hedge fund category……
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6/23/2016
Religion and hedge funds are an unusual mix, but Roy Kuo has mixed them successfully at the Church of England……
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6/23/2016
The team at LFIS hope their new spin on risk premia will be attractive to investors……
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6/23/2016
No good reason to subject energy firms to mandatory clearing, says firm’s head of regulation……
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6/23/2016
Some UK insurers think secondary annuity assets are the ideal hedge for annuity liabilities and could fit well into matching adjustment portfolios. Others think regulators will hold the market back……
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6/22/2016
New EU rules may fragment liquidity and spur regulatory arbitrage, conference hears……
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6/22/2016
Operational risk managers are becoming unusually excitable, with some justification……
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6/22/2016
Risk.net Internal models remain more accurate than standardised approaches, say industry responses Internal models remain more accurate than standardised approaches, say industry responses……
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6/22/2016
Investing now in a new-generation technology platform for front and middle office is the smart choice. Those who don’t are storing up problems – regulatory and financial – for the future, says Steve O’Hanlon, chief executive officer of Numerix……
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6/17/2016
Risk most dispersed, but most extreme, in macro funds……
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6/17/2016
Margins, OpRisk Europe and the pushback against Basel……
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6/16/2016
Small but muscular Altura Markets has always known that keeping abreast of technology and regulation was going to be critical in exchange-traded funds. Sverre Hasvold, managing director, explains how the Spanish leaders continue to lead the way in derivatives……
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6/15/2016
Risk.net Information security should use same framework as op risk, Cyber Risk Europe delegates hear Information security should use same framework as op risk, Cyber Risk Europe delegates hear……
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6/15/2016
Risk.net Capital hit from new loan loss accounting rules to rival incoming Basel regulations Capital hit from new loan loss accounting rules to rival incoming Basel regulations……
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6/15/2016
List of information expected or required to be disclosed under the Market Abuse Regulation is ‘misleading’, say industry groups……
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6/15/2016
Risk.net Resist temptation to intervene often, says head of op risk at UBS Asset Management Resist temptation to intervene often, says head of op risk at UBS Asset Management……
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6/15/2016
Risk.net Row over access to books and records threatens to undermine registration rules Concerns mount over ability of foreign banks to comply with the SEC’s security-based swap registration rules……
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6/15/2016
Risk.net EU authorities express concern over move to less risk-sensitive capital requirements……
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6/14/2016
Chair of working group on operational risk says committee is considering discounting certain historical losses for SMA capital calculation……
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6/10/2016
Risk.net This paper proposes a methodology for constructing TTC rating grades and assessing the resulting degree of PIT-ness….
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6/09/2016
Risk.net Regulatory arbitrage fears stall clearing mandate for CAD swaps in Canada Regulatory arbitrage fears stall clearing mandate for CAD swaps in Canada……
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6/08/2016
Risk.net The authors of this paper simulate realistic total bank return distributions by means of a top-down copula approach for different parameter settings….
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6/08/2016
Risk.net Study finds op risk losses can be scaled in the same way as tests on engineering models Study finds op risk losses can be scaled in the same way as tests on engineering models……
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6/08/2016
Risk.net Swinburne says clearing should be shielded from ratio “if Basel does not deliver” Swinburne says clearing should be shielded from ratio “if Basel does not deliver”……
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6/07/2016
Fed’s analysis of NSFR costs ‘dubious at best’, says AEI scholar Paul Kupiec……
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6/07/2016
The papers in this issue deal with credit stress testing models, pricing equations for derivatives, the double default value-of-the-firm model and intuitive models for covered bonds……
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6/07/2016
Risk.net The authors demonstrate how different credit risk models can be efficiently implemented for scenario analysis and stress testing execution with concrete application examples….
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6/01/2016
Heightened lapse risk ends 20-year “romance” with hedge funds, says Nordea Life & Pensions CIO……
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6/01/2016
Insurers still treating own-risk assessment too much like a compliance exercise, Nordic supervisors say……
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6/01/2016
The papers in this issue are all related to energy risk management, including both risk assessment and risk hedging by financial derivatives….
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6/01/2016
CRO Aileen Gillan discusses UK bank’s approach to culture, conduct and credit risk under Basel II……
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5/31/2016
US model risk management guidelines being increasingly used by banks and regulators elsewhere……
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5/27/2016
Regulation is having unexpected effects on derivatives unwinds……
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5/27/2016
To properly value a basket option, one should construct a joint probability density, correctly repricing all asset smiles and correlation smiles. At first sight the task seems formidable, but by reformulating the problem, Peter Austing develops a model that is simple and fast, admitting analytic or…
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5/27/2016
Ditching own models for CVA risk is too binary and eliminates possibility of further dialogue……
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5/27/2016
Risk.net Code covers ethics, governance, information sharing, execution, risk management, confirmation and settlement Code covers ethics, governance, information sharing, execution, risk management, confirmation and settlement……
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5/26/2016
Switching to the standardised approach for credit modelling could have an impact on their legacy books……
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5/26/2016
Rama Cont and Lakshithe Wagalath propose a portfolio risk model that integrates market risk with liquidation costs. Their model provides a framework for computing liquidation-adjusted risk measures such as liquidation-adjusted value-at-risk. Real-life examples reveal a substantial impact of liquidat…
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5/26/2016
Firms should use stress testing to challenge assumptions……
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5/26/2016
Efficiently achieve FRTB compliance with IBM solutions……
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5/25/2016
This paper reviews and extends the saddlepoint methods currently available to measure credit risk….
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5/23/2016
Bank traders who leak information about derivatives trades to hedge funds could face charges, CFTC officials say……
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5/22/2016
Improving credit risk assumptions could soften Basel’s push for input floors……
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5/20/2016
Risk.net This paper examines the applicability of a wide range of VaR models in emerging markets, focusing on South Eastern European countries….
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5/19/2016
Risk.net This paper investigates the hedging effectiveness of energy derivatives traded at the EEX for the purpose of mitigating the risk exposure of gas- and coal-fired power plants in Germany….
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5/19/2016
Risk.net Capital requirements, position limits and other rules still hampering liquidity, conference hears Capital requirements, position limits and other rules still hampering liquidity, conference hears……
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5/18/2016
In this paper the authors provide a comprehensive treatment of the discretization effect under general stochastic volatility dynamics….
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5/18/2016
Risk.net Fewer models and higher capital requirements seen as likely outcomes of SSM review Fewer models and higher capital requirements seen as likely outcomes of SSM review……
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5/18/2016
Risk.net Key MEP urges broader exemptions for regional banks as FRTB looms Key MEP urges broader exemptions for regional banks as FRTB looms……
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5/16/2016
Regulatory attention shifting to hedge fund users of derivatives……
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5/12/2016
This paper investigates whether there are existing common model features that yield consistently superior results under both VaR and ES risk metrics in the energy commodities markets….
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5/12/2016
Risk.net A push towards anonymous trading via platforms could undermine counterparty risk management A push towards anonymous rates trading via electronic platforms could make it harder for banks to manage credit lines……
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5/12/2016
IRRBB could reveal commercially sensitive information and mislead analysts……
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5/12/2016
Industry co-operation on operational risk taxonomies might yield a valuable tool……
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5/11/2016
Risk.net The authors of this paper formalize a methodology to manage short-term FX risk….
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5/10/2016
Megan van Ooyen from SAS rounds up the top five operational risk losses for April 2016……
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5/09/2016
Risk.net New regulation could shut down secondary markets in outstanding products New regulation could shut down secondary markets in outstanding products……
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5/06/2016
This paper models the tail behavior of daily returns and forecasting VaR in order to evaluate the performance of several skewed and symmetric distributions….
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5/05/2016
Dealers face conflicting incentives and capital hike after internal models are blown away……
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5/04/2016
GZC’s Elbhar rode oil spread trade to 40% annual return in 2015……
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5/03/2016
Analysts say regulatory risk plays a part in weak bank valuations and wobbly prices……
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5/03/2016
Basel Committee’s decision removes a potential source of competitive advantage for large dealers……
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5/03/2016
Risk.net This paper analyses whether the double default treatment under Basel II is appropriate to capture the asymmetric relationship between an obligor and its guarantor….
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5/03/2016
Technological innovation continues to provide market participants with access to increasingly sophisticated risk management tools and strategies. Senior executives at HSBC discuss how organisations can make the most of cutting-edge solutions such as algorithmic execution models……
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4/29/2016
Risk.net A new mothod to estimate marginal VAR and marginal ES is presented Here, Apoorva Shende, Kyriakos Chourdakis, Amit Puniyani, Marc Jeannin, Alan Smillie and Eduardo Epperlein develop an enhanced method for estimating marginal value-at-risk using local linear regression. Their n…
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4/28/2016
Risk.net This paper focuses on a comparison of the capital for Indian banks as required by the current regime for capital charge calculation, versus the possible revised Standardised Approach….
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4/28/2016
Banking operations are being rewired around XVA metrics, quantifying market incompleteness. Here Claudio Albanese, Simone Caenazzo and Stéphane Crépey focus on the cost of funding of variation margin and the cost of capital: that is, funding valuation adjustment (FVA) and capital valuati…
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4/28/2016
Risk.net Staggered implementation of transparency regime could allow further easing of regulation……
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4/27/2016
Risk.net Risk.net analysis finds PD floor would hit a swath of low-risk corporate loans at the biggest EU banks Risk.net analysis finds PD floor would hit a swath of low-risk corporate loans at the biggest EU banks……
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4/27/2016
Risk.net Representatives of energy and agriculture firms clash over Regulation AT Representatives of energy and agriculture firms clash over Regulation AT at meeting of CFTC’s Market Risk Advisory Committee……
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4/26/2016
Risk.net This paper focuses on medium-term probabilistic forecasting for risk management purposes….
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4/26/2016
Just because we can’t measure op risk accurately doesn’t mean we should give up, argues Peter Sime……
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4/26/2016
G-Siis see MetLife opinion as strengthening their case against aspects of international regulation……
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4/22/2016
Risk.net EBA voices preference for 3%, but evidence backs Basel plan for G-Sibs EBA voices preference for 3%, but evidence backs Basel plan for G-Sibs……
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4/21/2016
Adoption of ‘risk-sensitive’ SA-CCR will allow more leverage, argues FDIC vice-chair……
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4/21/2016
Vanilla and exotic products should be treated differently, BlackRock co-founder argues……
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4/20/2016
This issue explores the practicality of the CVaR measure as a criterion for portfolio selection, and also discusses wavelet analysis for portfolio selection and currency option pricing….
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4/20/2016
Casting doubt on science is an unwise risk management strategy, Vincent Kaminski argues……
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4/19/2016
Small firms have many advantages in administering op risk programmes, argues Ariane Chapelle……
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4/18/2016
Risk.net Prime brokers proposing to guarantee the performance of clients’ trades Prime brokers proposing to guarantee the performance of clients’ trades……
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4/18/2016
The Fundamental review of the trading book requires dramatic change to the banking industry’s existing market risk management practices. One of the underlying challenges is the collection and management of market data and other information, especially for banks that want to use internal models. In a…
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4/18/2016
Risk.net Hedge fund’s foray into gas follows bank retreat from physical commodities Hedge fund’s foray into gas follows bank retreat from physical commodities……
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4/18/2016
Risk.net This approach would align interests of clearing house and their members……
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4/15/2016
Risk.net To enable autocorrelation in the frequency distribution, this paper proposes a significant generalization of the LDA model that involves treating operational risk as a Lévy jump-diffusion….
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4/14/2016
Uncertainty lingers even as firms begin reporting bilateral power and gas trades……
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4/13/2016
Risk.net This paper proposes a method based on Granger causality to measure the level of contagion between financial institutions and sovereigns….
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4/13/2016
Megan van Ooyen from SAS rounds up the top five operational risk losses for March 2016……
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4/13/2016
As well as guarding against operational threats and market fluctuations, John Scott, chief risk officer of Zurich Global Corporate, says accurate risk management can also provide frontline staff with vital information with which to maximise commercial opportunity even in challenging times……
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4/12/2016
Risk.net Late narrowing of scope and exclusion of package trades throws up difficulties Late narrowing of scope and exclusion of package trades throws up difficulties……
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4/12/2016
Regulators need to rely less on uniform rules and work closer with banks, says Mori……
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4/12/2016
Risk.net Shirakawa warns binding leverage ratio could harm banks’ risk management practices Shirakawa warns binding leverage ratio could harm banks’ risk management practices……
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4/12/2016
Pooling market risk factor data could cut capital requirements……
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4/12/2016
Businesses face a daunting combination of risk factors in supply chains – and many existing supply chain risk management (SCRM) systems are not up to the task. Software company ACL believes firms should take a more holistic view of supply chain risk to build more streamlined, reliable and cost-savin…
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4/11/2016
Risk.net Trade finance exposures would move to standardised approach Trade finance exposures would move to standardised approach……
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4/11/2016
Maturities too short to hedge autocallable books, say dealers……
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4/08/2016
Quant funds doing a better job interpreting drivers of rates and currency markets……
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4/06/2016
But the proposals do not yet allow for more lenient treatment of initial margin……
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4/06/2016
Risk.net High cost of downgrade triggers forces Dutch bank to consider alternative hedge High cost of downgrade triggers forces Dutch bank to consider alternative hedge……
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4/05/2016
Risk.net CCPs, the TLAC and Basel III capital rules are all cause for concern, Minnesota Fed hears CCPs, the TLAC and Basel III capital rules are all cause for concern, Minnesota Fed hears……
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4/04/2016
Risk.net Firms reporting more than 50,000 open swap positions could save $1 million a year at CME Firms reporting more than 50,000 open swap positions could save $1 million a year at CME……
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4/03/2016
Outdated systems and lax controls mean it may only be a matter of time before a US public sector pension plan experiences a major operational risk failure……
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3/28/2016
“The stick they’re wielding right now is around CCAR,” says SunTrust’s Marmolino……
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3/24/2016
Risk.net Proposals clamp down on IRB approach that is “usually gamed pretty easily”, says FDIC’s Hoenig Proposals clamp down on IRB approach that is “usually gamed pretty easily”, says FDIC’s Hoenig……
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3/24/2016
Risk.net Wujiang Lou presents a framework to compute recursive CVA and FVA via Monte Carlo simulation Uncollateralised swaps hedged back-to-back with central counterparty swaps are being used to introduce the funding valuation adjustment (FVA). The open IR01 from FVA, however, is a sur…
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3/24/2016
Novations will not automatically trigger de-designation of hedge accounting treatment, says FASB……
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3/24/2016
Basel Committee’s controversial proposal on op risk modelling spurs debate at US event……
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3/23/2016
Risk.net Demand is high for alternative ETFs, despite underwhelming performance Demand is high for alternative ETFs, despite underwhelming performance……
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3/23/2016
Rising cost of CNY forwards and tighter regulation encourages renminbi funding……
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3/23/2016
Operational Risk / BAE Systems global survey of financial crime is now open……
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3/22/2016
A wounded CCP should not have a claim on users’ assets, says hedge fund group……
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3/18/2016
Energy Risk, in association with OpenLink, presents a summary of a technology and regulation breakfast briefing held recently in London. The invitation-only event convened heads of regulation and compliance, chief technology officers, consultants and risk managers from energy companies to discuss th…
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3/18/2016
Biggest share of bank capital at stake as regulators take aim at credit models……
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3/17/2016
Basel Committee’s “tantrum-like reaction” is not supported by evidence, say practitioners……
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3/16/2016
Concentration on largest holdings has grown but average holding size has shrunk……
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3/16/2016
Operational risk urged to assume bigger role in strategic and HR decisions……
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3/16/2016
Risk.net Op risk professionals pour scorn on SMA charge, but some bank experts speak out in favour Op risk professionals pour scorn on SMA charge, but some bank experts speak out in favour……
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3/16/2016
Ice is “working through” wrong-way risk issues, may need to revamp auctions……
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3/16/2016
CFTC adopts substituted compliance for European CCPs; US clearers still waiting on Esma approval……
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3/15/2016
Risk.net The objective of this paper is to compare numerical approximation techniques in terms of their practical usefulness and potential applicability in an operational risk context….
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3/15/2016
This special issue contains papers covering central counterparty default management and stress testing….
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3/15/2016
Risk.net This paper highlight the key differences between CCPs and banks in terms of roles, risk profiles, balance sheets and systemic characteristics, and the implications of these differences for CCP risk management and regulation….
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3/15/2016
This paper investigates the two mechanisms of memory, short-term memory and long-term memory, in the context of credit risk assessment….
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3/14/2016
This paper examines risk management governance challenges of the demutualized CCP ownership model and the incentives faced by “incomplete demutualization”, where clearing members remain the ultimate underwriters of CCP default risk….
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3/14/2016
Risk.net This paper discusses a VaR time-scaling approach based on fitting a distribution function so as to apply a Monte Carlo simulation to determine long-term VaR….
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3/11/2016
Risk.net The authors discuss the incentives created by the structure of CCPs’ default waterfalls, drawing out the role of transparency and governance in ensuring effective incentives….
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3/10/2016
Risk.net This paper proposes a new approach for determining OpVaR using an inhomogeneous counting process based on Panjer recursion as the frequency distribution….
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3/10/2016
Risk.net This paper introduces a credit portfolio framework that allows for dependencies between default probabilities, secured and unsecured recovery rates and exposures at default (EADs)….
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3/10/2016
Risk.net This paper analyzes the pricing of contingent credit default swaps….
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3/09/2016
Sponsored by FIS, this webinar convenes a panel of insurance industry risk experts and aims to provide actuaries, risk executives and other risk management stakeholders with useful insights to help them best prepare for what lies ahead. The webinar includes a review of key findings from recent resea…
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3/09/2016
This paper investigates a sample of 142 live hedge funds via a DEA sensitivity analysis using a super-efficiency model….
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3/08/2016
Risk.net SMA expected to raise capital charges, but lower standards in risk management SMA expected to raise capital charges, but lower standards in risk management……
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3/08/2016
Changing attitudes to risk management in the financial services industry have created a demand for innovative technology that addresses new regulations and creates an accurate and consistent enterprise-wide view of risk. IBM, which was ranked at number one for enterprise-wide risk management in the…
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3/04/2016
Risk.net Industry sources that have met with the agency claim it has “no plan” for mandate Industry sources that have met with the agency claim it has “no plan” for mandate……
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3/04/2016
Oversight from clearing members is good for central counterparties, says LME Clear CEO……
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3/03/2016
Swap spread inversion contributed to derivatives losses of $2.7 billion in 2015……
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3/01/2016
New margin approach threatens hedge accounting status, could hurt effectiveness……
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3/01/2016
Using traditional financial tools such as value-at-risk can improve market risk analysis in the energy sector……
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3/01/2016
Risk.net Stricter oversight could see index houses gobble up dealers’ in-house indexing units The capture of “non-significant benchmarks” by incoming European regulation – such as the proprietary indexes banks offer via subscription to small groups of investors – is prompting some deal…
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3/01/2016
Youssef Elouerkhaoui addresses the problem of pricing derivatives with credit valuation adjustment, funding, initial margin and capital costs. By extending the fundamental funding invariance principle, he shows how to compute the capital valuation adjustment (KVA) term for an IMM bank and how to tac…
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2/29/2016
Practitioners, vendors and service providers invited to enter to win an Operational Risk Award……
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2/29/2016
As ranks of commodity funds thin, survivors say investor interest is starting to pick up……
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2/28/2016
The liquidity coverage ratio restricts global dealers’ capacity to issue equity derivatives thanks to the punitive treatment it metes out to hedge collateral. In a bid to liberate their inventories, dealers are turning to monetisation risk options, but prospective counterparties are wary……
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2/26/2016
Risk.net Alexander Passow presents a portfolio performance measure that combines the omega measure with Johnson distributions The Johnson-Omega performance measure accounts fully flexibly and on a non-discretionary basis for the first four moments. Johnson-Omega is insensitive to ‘nois…
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2/25/2016
Issuers of structured notes that hedge their own credit risk by selling CDSs or holding financial bonds face protracted conversations with their auditors about whether the practice is legitimate under new accounting rules……
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2/25/2016
Other hires at Noble Group, JP Morgan and Mercuria……
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2/24/2016
Risk.net Commodity firms can slash Mifid II capital charges by 40%, report finds Commodity trading firms can slash Mifid II capital charges by 40% through optimisation of derivatives portfolios and application of new Basel rules, report finds……
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2/23/2016
Risk.net Increasing the number of reporting fields ‘doesn’t necessarily add a ton of value’, market participants argue Increasing the number of reporting fields ‘doesn’t necessarily add a ton of value’, critics argue……
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2/22/2016
Definitions, reporting lines, frameworks and metrics vary among major banks……
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2/22/2016
Firms face heat over out-of-the-money natural gas hedge transactions……
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2/18/2016
Demutualised CCPs must find a way to keep clearing members engaged in risk management……
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2/17/2016
China indexes tied to structured products fell precipitously following the lunar new year break but there was no scramble to hedge positions according to dealers……
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2/17/2016
US regulator finally moves to clean up its own swap data mess……
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2/16/2016
Vast variety of contracts, lack of coordination by SDRs led to reporting debacle……
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2/10/2016
Risk.net CDS trades between non-US counterparties will be captured under Dodd-Frank……
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2/10/2016
Risk.net Operational risk practitioners from large banks working together on industry best practice Operational risk practitioners from large banks working together on industry best practice……
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2/09/2016
Dealers are increasingly opting to bifurcate the market risk and credit risk in large cross-currency swaps, but greater standardisation may be needed……
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2/09/2016
Risk.net European authorities’ risk scale “too conservative”, says trade body The European structured products industry has mobilised to seek inclusion of the German Derivatives Association’s alternative market risk measure in the final iteration of the Priips framework……
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2/09/2016
Processes, people, systems and external events are fundamental to operational risk management, says Ariane Chapelle……
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2/04/2016
Local data laws clash with Basel’s risk data aggregation rules……
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2/04/2016
Eiopa chairman speaks to Risk.net on G-Siis, derivatives use and regulation of securities financing……
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2/03/2016
A dynamic regulatory climate and the increasing cost of governance failures continue to put pressure on banks and other financial institutions to overhaul and improve their overall approach to governance, risk management and compliance. But there continues to be a lack of best practices or technolog…
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2/03/2016
Risk.net Clearing members say narrow definition of default may limit ratings’ usefulness Clearing members say narrow definition of default may limit ratings’ usefulness……
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2/03/2016
Risk.net Lundin and Satchell present a non-linear asymmetric dependance method among two assets Derived from a century-old and largely forgotten theorem involving the basic characteristics of Pearson’s correlation, Mark Lundin and Steve Satchell introduce a non-linear and asymmetric de…
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1/31/2016
Dealers cite limited demand to clear foreign currency interest rate swaps at JSCC as reason for slow volumes, with two trades cleared in four months……
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1/27/2016
Citadel’s hedge funds dodged the Swiss franc’s surge and made money during the Greek debt crisis……
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1/27/2016
Clearing adds complexity for small buy-side firms; CloudMargin aims to take it away……
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1/27/2016
LiquidityMetrics uses buy-side questionnaire to measure liquidity in the data-scarce bond market……
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1/27/2016
More than 400 customers are now using the ERCM platform to keep a lid on financial crime……
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1/27/2016
Persistent low liquidity in commodity markets is the result of the fundamental interaction of high volatility and noisy data sets. This fact has profound implications for the theory and practice of risk management in commodity markets……
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1/26/2016
With Eonia no longer representing reality and huge volatility in the spread between secured and unsecured funding rates, hedgers require accurate, bespoke instruments to avoid risk, explain Frank Odendall and Maesa Beany of Eurex. New Secured Funding Futures, using Stoxx GC Pooling EUR Deferred Fund…
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1/25/2016
Old technology poses security and compliance risk……
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1/25/2016
This paper investigates a practical and fast analytic framework for portfolio modeling and tail risk allocation using Hermite polynomials….
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1/25/2016
Rated number one worldwide in the RiskTech100 rankings for its liquidity risk and asset liability management (ALM) solutions, risk consultancy and technology firm Prometeia explains how it combines cutting-edge innovation with client-centric flexibility……
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1/22/2016
Risk.net Market participants frustrated at attempts to further standardise swaps in data reporting proposals Attempts to further standardise swaps in new data reporting proposals are a source of frustration for market participants……
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1/20/2016
Ferc and the CFTC have overlearned the lessons of past crises, and energy traders are paying the price……
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1/20/2016
Study says 2013 capital rules more in line with actual risk, but can be easily gamed……
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1/20/2016
Risk.net presents the Top 10 Operational Risks of 2016, as chosen by risk practitioners……
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1/19/2016
In an increasingly complex marketplace, energy trading and risk management (ETRM) systems have become the flight deck from which firms pilot their entire business activity, says Sidhartha Dash, research director at Chartis Research……
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1/19/2016
Risk.net This paper employs the least-action principle to model the complex relationship between expected load and expected price in electricity spot markets….
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1/19/2016
Regulator emphasis and high-profile attacks keep cyber threat top-of-mind……
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1/18/2016
Improvements in some areas of market risk rules offset by harsher treatment in others……
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1/15/2016
Risk.net Credit risk in creation and redemption process singled out by Finra Finra’s new year letter prompts speculation on new collateral and reserve requirements for authorised participants……
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1/13/2016
‘Very poorly timed’ paper misses the point on pro-cyclicality, says ABI’s head of regulation……
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1/13/2016
Risk.net This paper provides a comparative assessment of the minimum capital requirement (MCR) in three prominent versions of the Basel regulatory framework….
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1/11/2016
Risk.net No standard charge for banking books, but souped-up Pillar 2 still worries critics No standard charge for banking books, but souped-up Pillar 2 still worries critics……
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1/11/2016
Advances in understanding of networks hold potential for new trading strategies for hedge funds……
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1/07/2016
Regulatory change drives innovation, with valuation, centralisation and speed taking centre stage……
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1/07/2016
Risk.net Some class action attorneys are watching developments closely Enforcement action may hamper regulatory efforts and result in dark pool practices, an industry lawyer says……
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1/07/2016
Risk.net Morgan Stanley loses four staff in US; Barclays forex head departs; Citadel adds CDS trader; and more Morgan Stanley loses four staff in US; Barclays forex head departs; Citadel adds CDS trader; and more……
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1/07/2016
eVestment analysis shows exposure to top 10 risk factors……
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12/28/2015
Banks want an integrated solution to the many different regulatory costs facing the trading business – creating a demand for flexible, cross-asset systems that can cope with capital, credit, and funding impacts. Vendors are doing their best to deliver. Reporting by Clive Davidson. Research for this…
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12/23/2015
EU energy firms warn Esma’s proposal to scrap the Emir hedge exemption would introduce a glaring inconsistency between Emir and Mifid II……
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12/22/2015
Commodity houses are searching for more sophisticated ways of enhancing their risk management systems. Instead of tearing down the old order, or duplicating systems across services, Amine Chbani, head of commodities business development at Murex, believes that welding an in-house infrastructure to a…
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12/21/2015
Risk.net Latest FRTB tweaks also include increasing granularity of commodity risk weights Latest FRTB tweaks also include increasing granularity of commodity risk weights……
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12/18/2015
12/17/2015
Risk.net Roberto Torresetti and Giacomo Le Pera explore the relevance of the diversification benefit from a theoretical and practical point of view A granular classification of operation risk classes, based on event types and business lines, can have a significant impact on the value-a…
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12/17/2015
“Most acute shortages” are in operational risk, say recruitment consultants……
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12/16/2015
Risk.net Accounting standards and auditing may be a weak point Accounting standards and auditing may be a weak point that is only just starting to be addressed, according to MPs at a parliamentary committee hearing on the failure of HBOS……
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12/15/2015
Ucits funds still pose operational risks, says Credit Suisse……
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12/15/2015
Deutsche AWM’s platform has embraced arbitrage strategies others have not……
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12/15/2015
Risk.net Regulators ignored expert recommendations, lobbyists say Industry associations condemn market risk measure, which they fear is biased against many equity-linked products……
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12/14/2015
Axa avoids big hedge funds that leave footprints in illiquid markets……
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12/11/2015
Risk.net “Critical mass” needed before risk management benefits can be realised, firms say “Critical mass” needed before risk management benefits can be realised, firms say……
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12/11/2015
Complying with continuously evolving regulation is at the heart of a fund administrators’ business, but efficient preparation and an unflinching emphasis on supplying client-led solutions has boosted the fortunes of RBC Investor & Treasury Services……
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12/11/2015
Proposal requiring banks to deduct holdings of other banks’ TLAC debt could restrict market-making……
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12/10/2015
Consultation on scrapping operational risk modelling is now expected in early 2016……
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12/10/2015
Risk.net Analysis shows some trading desks receive lower capital with stressed market risk charge Analysis shows some trading desks receive lower capital with stressed market risk charge……
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12/09/2015
Risk.net Regulators want to switch CEM for SA-CCR, conference told Regulators want to switch CEM for SA-CCR, conference told……
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12/09/2015
Job changes in the derivatives, regulation and risk industry throughout Asia……
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12/08/2015
Saudi Hollandi Bank’s operational risk leader discusses implementation of governance, compliance and risk project……
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12/08/2015
Risk.net Oil major exploring “all possible options” for compliance, official says Oil major Royal Dutch Shell is exploring “all possible options” for compliance with Mifid II, including migrating trading activity to countries outside the EU, a company official says……
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12/08/2015
Energy firms get wise on credit risk; asset managers tackle op risk……
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12/07/2015
A recent report from FIS argues that insurers will benefit from adopting a flexible and innovative data management strategy – one they can use to continually adapt to inevitable changes in regulation and business intelligence requirements. In this article, the authors explore further how firms can g…
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12/07/2015
AMA can go, but other models will stay, Felix Hufeld tells Risk.net……
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12/07/2015
Risk.net This paper investigates European bond markets; looking at credit risk spillover effects between financial institutions and sovereigns in the euro area….
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12/04/2015
This issue includes: an analytical value-at-risk approach; loss distributions; default risk of money-market fund portfolios; and credit scoring and medical collections….
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12/03/2015
Being able to demonstrate good practice in areas such as risk reporting, governance and culture is critical for firms seeking to reassure regulators about their operational risk management. Ariane Chapelle offers some advice on how to avoid unnecessary scrutiny……
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12/03/2015
Risk.net The authors of this paper develop a modeling framework that can incorporate mean-reverting scenarios into any scenario-based forecasting model….
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12/02/2015
This paper proposes a semi-analytic approach to quantify the default risk associated with Money-Market Fund (MMF) portfolios….
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12/02/2015
New venture will offer average pricing for swaps starting in early 2016 New company will offer automated clearing and reporting services alongside compressions, compactions and average pricing……
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12/01/2015
A year ago, banks warned of the threat Basel III posed to hedge fund strategies. After an overhaul of prime brokers, many say they now want to expand prime financing – but only to certain strategies……
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12/01/2015
Supervisors under pressure to finalise post-crisis reforms to capital rules Supervisors under pressure to finalise post-crisis reforms to capital rules……
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12/01/2015
With defaults in the energy industry at their highest level in 15 years, firms are increasingly nervous about the credit standing of their peers. That has put pressure on credit teams to improve their counterparty assessments……
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11/30/2015
It has been another tough year for Italy’s derivatives houses. Once again, low and stable interest rates, excess liquidity from the European Central Bank, and the dampening effects of regulation have made life difficult for derivatives desks. But, with the US Federal Reserve finally moving to tighte…
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11/27/2015
This paper shows that it is an “inconvenient truth” that the largest losses by banks are not firm specific….
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11/27/2015
Firms benefiting from ‘relatively favourable’ regulation The relatively benign impact of Solvency II compared with banking regulation is enabling insurers to take opportunities banks are being forced to miss……
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11/27/2015
A study of alternative mixing models for external data for a particular risk class using real operational risk data. Scaling through a proxy for size for this risk class does not seem to be a sensible technique; kernel-modified estimators and Bayesian estimators represent an improvement; we describe…
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11/26/2015
A long-awaited Basel Committee review of trading book capital rules is nearing its conclusion. That is worrying banks, which point to major outstanding problems with the framework. But supervisors argue a simple recalibration is all that is necessary……
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11/26/2015
A conflict of interest could raise operational risk if one part of a group oversees its affiliate, writes Bill Prew of Indos Financial……
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11/25/2015
Icap and Tradeweb also named as defendants Quinn Emmanuel follows $1.8bn CDS lawsuit with rate swap allegations……
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11/23/2015
Capital rules have incentivised bank- and insurance company-owned asset managers to enhance their operational risk functions. Meanwhile, independent money managers have fallen behind the curve……
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11/23/2015
The winners of the 2015 European Fund of Hedge Funds awards were announced on November 19 in London……
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11/23/2015
In the wake of the first criminal conviction in a spoofing case, US commodity traders and lawyers are concerned that the vagueness of the CFTC’s rule is having a chilling effect on market participants……
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11/20/2015
This paper focuses on the distribution of correlations among aggregate operational risk losses….
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11/20/2015
A strong dollar, weakness in emerging markets and a downturn in commodities caused the International Finance Corporation’s net income to plummet during the year to June. But Avi Hofman and Frank Taverner, its co-directors of corporate portfolio and risk management, remain unperturbed……
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11/20/2015
Independent asset management firms catching up with bank- and insurance-owned peers Independent asset management firms are catching up with bank- and insurance-owned peers……
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11/19/2015
Structured Products Europe Awards 2015: The implementation of Credit Suisse’s Giraffe risk management system is now well advanced, boosting the bank’s capabilities and increasing efficiencies across its structured products business……
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11/19/2015
Structured Products Europe Awards 2015: As investors in Switzerland dealt with negative interest rates and the SNB’s sudden decision to remove its currency floor in January, UBS stepped forward with a number of structures tailored to the unique market conditions……
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11/18/2015
Paul Berry, CRO of Mizuho International, believes risk managers must understand the commercial pressure facing frontline staff – and encourage those colleagues to reciprocate by getting actively involved in risk management……
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11/16/2015
Funds welcome aggregation tweaks but urge regulator to go further Hedge funds, pension funds and private equity firms welcome the CFTC’s new proposals on position aggregation but urge the regulator to go further……
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11/16/2015
Your chance to shape our landmark annual forecast on operational risks……
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11/13/2015
Widening in the dollar/yen cross-currency basis is being blamed on regulation such as the Basel III leverage ratio which is decreasing the appetite of foreign banks to provide liquidity for cross-currency swaps….
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11/13/2015
This paper addresses the uncertainty in scenario analysis and produces a combined loss distribution….
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11/12/2015
Capital increase levied by Basel Committee on Banking Supervision could depend on use of mean versus median figures……
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11/12/2015
Insurance Risk Awards 2015: Users of BearingPoint’s Abacus software can be reassured that many supervisors have chosen to operate a version of the same product……
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11/12/2015
Insurance Risk Awards 2015: Ways to help clients move data into their op risk frameworks are key to OpenPages’ win……
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11/11/2015
With oil-rich Alberta and four other provinces set to finalise a joint rule on trade reporting by year-end, Canadian energy firms are hoping that regulators resolve troublesome issues with the definition of a ‘dealer’ and the handling of trades with US counterparties……
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11/10/2015
Rules double down on existing clash with national privacy laws……
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11/09/2015
Association still faces licensing overhaul as part of pending settlement Association still faces licensing overhaul as part of pending settlement……
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11/06/2015
This paper studies alternative mixing models for external data for a particular risk class….
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11/06/2015
The January 2017 implementation deadline for Markets in Financial Instruments Directive II (MiFID II) and its companion legislation, Markets in Financial Instruments Regulation (MiFIR) is fast approaching. Firms subject to the new rules must act quickly to mitigate the risk of transaction reporting…
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11/06/2015
Shrinking pool of FCMs could undermine efforts to port client positions in a default FCMs may not be willing to absorb a defaulting clearing member’s client positions, CCPs and regulators warn……
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11/05/2015
Meucci, Santangelo and Deguest introduce a risk decomposition method based on minimum-torsion bets Standard risk budgeting and risk parity use marginal risk contributions to attribute risk to the different instruments in a portfolio. Attilio Meucci, Alberto Santangelo and Romain Deguest introduce…
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11/05/2015
Revised rules mean G-Sibs only need bail-inable debt of up to 18% not 20% of RWA A lower TLAC threshold and concessions for pre-funding bank recovery find favour with Japan……
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11/04/2015
The US Treasury market should adopt reporting requirements similar to swaps, says director of analysis at the Treasury……
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11/04/2015
Fabio Mercurio and Minqiang Li investigate credit valuation adjustments (CVAs) in the presence of wrong-way risk by introducing jumps at default to model the correlation between counterparty default and relevant risk factors. Efficient approximations based on CVA formulas with the independence assum…
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11/04/2015
The cumulative effect of post-crisis regulation has reduced the number of market-makers, which has in turn made the financial system more interconnected than in 2008, according to Michael Leibrock, chief systemic risk officer at DTCC……
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11/04/2015
CFTC chairman takes aim at banks falling foul of swap reporting requirements CFTC chairman takes aim at banks that fall foul of swap reporting requirements……
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11/03/2015
Insurers have been using derivatives to optimise their equity holdings and reduce capital requirements under Solvency II, but dealers are still battling with uncertainties in the regulation……
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11/02/2015
Despite the September mandate, electronic trading platform volumes have been low and participants are concerned about how the scope of the regulation will evolve……
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11/02/2015
ETP volumes are low despite mandate and participants are worried about regulation’s future scope Despite the September mandate, electronic trading platform volumes have been low and participants are concerned about how the scope of the regulation will evolve……
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11/02/2015
Scrapping op risk modelling in Europe could take five years, say lawyers……
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11/01/2015
The 40% fall in the HSCEI index in September left dealers scrambling to hedge their Korean autocallable and variance swap positions, leading to losses of more than $300 million……
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10/30/2015
Revealing identifying information of a counterparty, including passport details and date of birth, can get EU bankers jailed in some countries – but Mifir reporting requires exactly that. Dealers and platforms say they’re not sure how to proceed and lawyers are warning of the consequences……
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10/30/2015
The manner in which wind generation can affect the half-hourly APX price is discussed This paper discusses the manner in which wind generation can affect the half-hourly APX price and also the risk distributions associated with various power contracts. Wind generation is modelled using correlated…
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10/30/2015
EU non-financial reporting rules expected to push firms to consider ESG concerns EU non-financial reporting rules expected to push firms to consider ESG concerns……
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10/29/2015
Deputy Commissioner Shirakawa says remaining differences make this more important Deputy Commissioner Shunsuke Shirakawa says the remaining differences make compliance more important……
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10/28/2015
Compliance product manager Laurie Gentz on BAE Systems’ win in this category….
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10/28/2015
In December, the Basel Committee says it will propose scrapping the use of banks’ internal models in calculating minimum capital for operational risk. Banks worry that such a move would discourage investment in op risk modelling and make the world a riskier place……
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10/27/2015
Funds would have to be replenished during period of stress……
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10/27/2015
Funds would have to be replenished during period of stress Funds would have to be replenished during period of stress……
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10/27/2015
Reporting risk information to management means synthesising some information, but drawing attention to what matters, such as high risks or worrisome alerts. For risk managers struggling to find the right flavour, cakes and candles can help, writes Ariane Chapelle……
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10/26/2015
Coen calls for greater parity between leverage ratio and clearing requirements William Coen calls for greater parity between the leverage ratio and clearing requirements; he says the Basel Committee plans to finalise the ratio’s level in 2016……
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10/26/2015
Coen calls for greater parity between leverage ratio and clearing requirements William Coen calls for greater parity between the leverage ratio and clearing requirements; he says the Basel Committee plans to finalise the ratio’s level in 2016……
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10/26/2015
Regulators expect to make major advances in EU wholesale energy market monitoring now that trade reporting has begun, but some participants fear that different approaches across borders will lead to inconsistent enforcement……
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10/26/2015
Having run the numbers, dealers are finding a new standardised approach to credit risk from the Basel Committee isn’t quite as appealing as first hoped, and is riven by data challenges and ambiguities in the rules……
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10/23/2015
Residual risk add-on more broadly applicable than first thought under Basel rules Residual risk add-on more broadly applicable than first thought under Basel review of trading book capital rules……
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10/23/2015
The EBA chair says EU regulation derived from Basel III is too complex for some banks; the Basel Committee’s head sees tension between making Basel III more proportionate and keeping rules consistent across borders……
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10/22/2015
Operational Risk Awards 2015: New technique may help limit errors in AMA capital estimates……
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10/22/2015
Operational Risk Awards 2015: Firms look to planning suites to manage change programmes and get ahead of regulatory expectations……
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10/22/2015
Operational Risk Awards 2015: Offering an enterprise-wide view and multi-disciplinary skill set is important to tackling op risk challenges……
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10/22/2015
Operational Risk Awards 2015: Thomson Reuters’ Org ID managed service eases increasing burden of know-your-customer regulations……
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10/22/2015
Operational Risk Awards 2015: Swift offers firms assistance in avoiding entities and individuals hit by sanctions……
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10/22/2015
Operational Risk Awards 2015: As firms navigate their way through ever-demanding compliance requirements related to financial crime, the FATF has been an expressive voice on the need to maintain a risk-based approach……
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10/22/2015
Operational Risk Awards 2015: MetricStream benefits from exclusive and rigorous focus on governance, risk and compliance sector……
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10/22/2015
Operational Risk Awards 2015: BAE Systems Applied Intelligence uses sophisticated network analysis to curb threat of money laundering……
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10/22/2015
Operational Risk Awards 2015: After surviving the Libor scandal, a complete reimagining of the group-wide risk management framework has helped Rabobank claim the title of Bank of the Year……
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10/22/2015
Operational Risk Awards 2015: Oracle’s enterprise risk management suite could help G-Sibs comply with Basel principles on risk data, which take effect in January 2016……
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10/22/2015
The Operational Risk awards honour excellence in operational risk management, regulation and risk management service provision……
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10/21/2015
This issue of The Journal of Risk covers historical simulation and extreme value theory, as well as the assessment of bond portfolios with missing credit ratings and a behavioral perspective on option risk management….
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10/21/2015
Human failings can subvert even the most sophisticated systems that companies put in place to prevent disaster, which is why a true risk management culture is important, Vincent Kaminski argues……
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10/20/2015
AMA’s likely demise is the latest sign of a worrying trend in bank capital rules……
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10/20/2015
Massad warns of heavy-handed regulation from Europe Protecting the integrity of existing benchmarks runs the risk of discouraging innovation……
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10/19/2015
Managing all Centrica’s financial risk is a challenging task, and one that is made increasingly complicated by regulation, chief risk officer Olivier Herbelot tells Mark Pengelly……
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10/16/2015
Worries that EU banks would lose customers in non-EU member Norway are likely behind the hiatus……
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10/16/2015
Derivatives rise on notional basis, but fall relative to fund assets, says SEC’s White……
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10/15/2015
Half of G-Sifis face demands to change business mix or deleverage, survey finds Half of G-Sifis face demands to change business mix or deleverage, survey finds……
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10/14/2015
Joining forces early on would create more cohesive regulation Joining forces early on would improve regulatory cohesion between countries, but post-crisis pressure on national rule-makers to legislate poses problems……
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10/14/2015
This paper explores the implications for risk management of mental accounting of a call option with its underlying….
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10/14/2015
Internal teams’ concerns around data security hinders adoption, Sibos attendees told Know-your-customer data executives from Barclays and Standard Chartered tell Sibos audiences that adoption of the Swift KYC registry requires persuading their compliance teams of its capability and value……
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10/13/2015
Corporates may be drawn into reporting regime, however Russia is set to ditch a requirement that derivatives trades be reported if close-out netting is to be enforceable, according to a senior lawyer……
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10/13/2015
“The factories manufacturing new regulation are still operating at their full capacity”……
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10/13/2015
Intraday liquidity reporting underpins rulebook created by the Liquidity Implementation Task Force to support BCBS compliance The Payments Market Practice Group (PMPG) has selected Swift’s messaging system for intraday liquidity reporting as required by the Basel Committee on Banking Supervision (…
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