Risk magazine - Aug 2023
In this collection: Introducing Op Risk Benchmarking, ChatGPT slapped, swaps transparency scaled back, and much more.
Cover detail: Daisy Chadwick, ‘Tempus Vernum’ 2022
Alcohol ink, acrylic ink, yupo paper and epoxy resin on wood panel, 1.2 x 1.2m
Contact: Anne-Marie Bainbridge, www.anne-mariebainbridge.co.uk
Articles in this issue
Iosco deals hammer blow to BSBY, Ameribor
Non-compliance ruling does not equate to a ban, but may strangle use by regulated firms
Lawmakers ask how big is too big for US banks
JP Morgan purchase of First Republic sparks debate over 10% cap on deposit market share
Tradeweb treads fine line as API trend brings challenges
Buy-side rates traders look to dodge platform’s interface but remain barred from cross-venue price-shopping
NatWest plans to put the XVA into RFQs
Bank to launch approximation tool on its electronic pricing framework for FX forwards
T+1 in the US to push ETF spreads wider
Settlement mismatch expected to raise creation and redemption costs
Dealers tackle US Libor swaptions transition
Complexity of legacy book and CCP deadlines sees banks turn to new Capitalab service
Banks’ internal watchdogs bark back at ChatGPT
Generative AI has plenty of uses in finance, but banks must first overcome compliance headaches
Plumb job: can Basel III unblock US credit risk transfer?
Deals from G-Sibs have slowed in recent years due to regulatory confusion over capital relief
Clients versus compliance: banks hung up over WhatsApp fines
Most opt for outright ban, but some seek technological solutions to monitor private messaging
Automating regulatory compliance and reporting
Flaws in the regulation of the banking sector have been addressed initially by Basel III, implemented last year. Financial institutions can comply with capital and liquidity requirements in a natively integrated yet modular environment by utilising…
Op Risk Benchmarking: Inside the G-Sibs
New initiative scrutinises op risk measurement and management practices at the world’s largest banks
Sizing cyber: banks split on who owns and measures hack threats
G-Sibs split on risk modelling and management for IT disruption and infosec
Bread-and-butter op risks at the top table
As G-Sibs are forced to do more, how can they avoid doing more wrong?
No tick-the-box approach to compliance risks
G-Sibs share fear of regulatory run-ins, but lack common stance on modelling, KRIs and more
Power play: how geopolitics is shaping op risk at G-Sibs
Geopolitics is a top five fear for G-Sibs, but most banks lack specialist risk staff and classical tools
Mounting pressure to capture real-time exposures spurs data aggregation efforts
A range of market factors and technological advances is driving the need for real-time data and analytics, and persuading firms to move away from their risk management infrastructures. In a recent Risk Live panel session sponsored by KWA Analytics,…
EU’s late CDS transparency push triggers trader fears
Leaked proposal to shoehorn public disclosure of CDS into Mifir placates Esma, but alarms traders
Lenders try to move fast and fix things in UK BTL market
Relaxing stress tests when buy-to-let clients switch banks to remortgage is key to avoiding a credit squeeze
Relief (and some regret) as EU scales back swaps transparency
Leaked document outlines plans to narrow scope of dysfunctional OTC disclosure regime
Risk Technology Awards 2023: Bank runs become sprints
The abrupt collapse of SVB is changing what banks want from ALM software
Eurex wargames pricing derivatives during disruption events
Ukraine war and tech glitches prompt German exchange to set out methods for handling market closures
SRB head asks for extra tools to restore faith in resolution
Laboureix disputes Swiss claim that G-Sibs are not resolvable, but wants improvements to framework
Op risk data: Aussie insurers caught out in chronic pricing misconduct
Also: JP Morgan settles Epstein lawsuit; US in crypto clampdown. Data by ORX News
The AOCI elephant in the DFAST room
After March’s banking crisis, Fed stress tests should adopt harsher and wider ranging rate scenarios
Sovereign bonds top choice for IM collateral
Drive towards higher interest-earning assets strongest at CME and LCH among top CCPs
Five US banks would breach CET1 buffers on AFS loss reinclusion
Fed’s vice-chair proposal to scrap AOCI waiver would cripple KeyCorp the most
Goldman could face higher capital charge under Barr proposal
Plans to prevent G-Sib score window dressing would penalise all US systemic banks bar Citi
JSCC’s IRS unit hit by record margin breaches
Interest rate volatility drives coverage level below CCP’s risk appetite, triggering IM methodology review
Eight US banks slapped with higher capital buffers
US units of Deutsche and UBS hit with highest SCBs yet imposed by the Fed
How a machine learning model closed a hidden FX arbitrage gap
MUFG Securities quant uses variational inference to control the mid volatility of options
Obtaining arbitrage-free FX implied volatility by variational inference
An ML-based algorithm that provides implied volatilities from bid-ask prices is proposed
Does the term structure of the at-the-money skew really follow a power law?
A power law can fit the ATM skew, but struggles with short maturities
Citi cyber chief says AI providing new weapons in hacking wars
Barron-DiCamillo also urges regulators to work with industry best practice, not against it
