Commodities/Commodities
Ice adds insurance to default waterfall
Protection promises partial recovery of guarantee funds at three CCPs
Quants bring ‘triptych’ of variables to risk measurement
Risk and portfolio managers at La Francaise and LFIS are squeezing more information out of stress tests
Cat risk: why forecasting climate change is a disaster
Forecasters are poles apart on climate-driven catastrophes; insurers fear worse ahead
Morgan Stanley, Wells not sold on AI for credit scoring
Risk USA: Lenders warn on AI model risks and use of non-traditional data
Better risk reporting doesn’t need an IT upgrade
By revisiting certain calculations, new insights into risk and profit drivers can be gained, says data scientist
Energy25: Energy firms turn to next-generation analytics
FIS, Enverus and Eka take to the podium in the inaugural Energy25 technology rankings
The greening of Natixis’s balance sheet
Green weighting factor will be used to adjust the credit RWAs of loans
Barclays, IBM test quantum computing for settlement
New research suggests quantum machines will dramatically improve settlement efficiency
When climate risk starts to bite
Energy firms under increased pressure to assess physical climate risk
A behavioural lens could help manage human risk
Human decision-making needs careful watching. For that, behavioural science can help
Funds look to ‘retrain’ traders as automation takes hold
As technology reshapes markets, nearly a third of buy-side staff will need to gain new skills
Ice, CME shore up clearing house recovery planning
Introduction of VMGH and tear-ups comes amid impasse over CCP recovery and resolution rules
FCA chief calls for EU to extend Brexit clearing exemption
Bailey also urges EU to grant equivalence determinations for UK trading venues
An old fight over margin protections rears its head
CFTC rules on margin and loss limits for separate accounts are being torn up for asset managers
A look under the hood of Span 2, CME’s new margin engine
VAR-based framework has new ways of netting contracts and setting volatility floors and more
CME no longer looking back to Lehman
Changes to rates margin model move CCP into line with rivals
ING issues ESG-linked interest rate swap
Dutch bank takes carrot-and-stick approach on interest rate swap for oil and gas equipment firm
Buy side continues with IM prep despite delays
Firms looking at custodian types, docs and trading strategies to optimise margin
Clients demand access to CCP default auctions
“In a default, we are comfortable taking on risk and can move quickly,” says DRW’s Wilson
The great migration: CCPs ponder life after Span
As CME moves to a value-at-risk methodology, CCPs that license its model look on nervously
Regulators plan to delay IM ‘big bang’ – market sources
Most see final phase of initial margin rules coming a year later, in September 2021
Energy firms grapple with rising customer risk
A case study on developing dynamic risk-based customer screening
CCP margin buffers too big, research suggests
Procyclicality calculations should depend on expected spikes in volatility, argue Ice risk experts
Search engine study shows limits of alternative data
Google Trends adds nothing to volatility predictions, researchers find