Risk Management
Latest Risk Management
Squashing CVA still dominates XVA desks’ priorities
Dealers favour options-based strategies to manage charges; some explore contingent CDSs amid rising exposures
EU single portal faces battle to unify cyber incident reporting
Digital omnibus package accused of lacking ambition to truly streamline notification requirements
Who is Selig? CFTC pick is smart and social, but some say too green
Colleagues praise crypto smarts and collegial style, but views on prediction markets and funding trouble Senate
XVA desks prioritise core tech upgrades over AI
Vendor upgrades, cloud-native rebuilds and sensitivities tooling dominate 2026 budget road maps
Chicago data centre outage forced clearers to turn away clients
Friday’s cooling system failure highlights cracks in tech and concentration risk of big CCPs
Destabilising: is stablecoin deposit drain a bank funding risk?
While some fear a trillion-dollar flight to stablecoin, others doubt crypto is an existential threat for banks
Clearing
FICC to launch new default fund before UST repo clearing mandate
Clearing members expected to welcome FICC’s plans to separate loss mutualisation from margin
Industry groups call on EC to delay foreign CCP reporting
Trade bodies seek to prevent late-running rules causing duplicated implementation projects
FICC takes record bite from MMF repo investments
Funds shift cash from the Fed’s ON RRP as cleared repos hit $1.11trn
How US hedge funds won big on permission to clear at JSCC
But CFTC no-action letter won’t allow netting of Japanese trades with those cleared at US FCMs
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Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
US G-Sibs diverge on cashflow volatility
Maturity mismatch add-on hits peak at two banks and trough at two others
XVAs
Most banks stick to tried-and-trusted XVA models
Black Scholes- and Heath-Jarrow-Morton-based approaches dominate, with some exploring Copulas for wrong-way risk, post-Archegos
Half of European banks already embed FRTB into XVA pricing
US and rest of world lag Europe in incorporation of Basel capital rules into XVA calculations, Risk Benchmarking analysis shows
Dealers favour central XVA desks, but splits remain on funding
Most banks run a single desk within the front office, but more than half share responsibility for its funding needs with treasury
XVA desks may be standard – their tech and mandates aren’t
A decade into centralised management of XVAs, Risk Benchmarking data finds divergent approaches to pricing, methodologies and tech stacks
Lloyds draws a (second) line on AI risk
Model risk office is accountable for managing the risk of AI roll-out at the UK bank
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