Financial crisis
Ready for the unique product identifier (UPI) in two years?
Emma Kalliomaki, managing director of the Derivatives Service Bureau (DSB), explores UPIs for OTC derivatives, how and when they will be introduced, and the responsibilities of the DSB as designated service provider for a future UPI system
Funding pain prompts calls to rehome FVA
Dealers push to move derivatives funding costs out of P&L following March’s outsize losses
SFC’s Alder looks to shake up liquidity rules post-Covid
Asia Risk 25: HK regulatory head says central banks must “never have to step in again” to bail out investors
The Libor transition – Let’s talk about SOFR
Time is ticking to Libor’s planned decommission date of December 31, 2021. Firms need to move quickly to execute their transition strategies, and having unique insight into certain key issues can aid decision-making. Numerix’s Ping Sun discusses…
The unintended impact of swap stays on financial stability
As swaps leverage shrinks, bankruptcy stay rules are not guaranteed to reduce systemic risk, says economist
A k-means++-improved radial basis function neural network model for corporate financial crisis early warning: an empirical model validation for Chinese listed companies
This paper aims to simplify the early warning model for financial crises by collecting and analyzing the financial data of Chinese special treatment (ST) companies, normally listed companies and cancel special treatment (CST) companies.
Study suggests banks may be better off with simpler VAR models
Non-parametric VAR models perform well in calm markets, but miss the mark in volatile periods
Stuart Lewis, Deutsche’s survivor, confronts Covid-19
CRO talks loan reserves, VAR breaches, and the lessons of a lurid past
Risk doesn’t wait for market close
Many market participants rely on end-of-day batch systems to perform analytics and, in the current environment, they may see significant negative impacts on their business. Leila Sadiq, front-office risk head of product at Bloomberg, explores how the…
Cross-border investing boosts contagion risk, study finds
More countries now capable of triggering a wider crisis
Covid scenarios: finding the worst worst-case
As pandemic trashes historical data, a Risk.net tie-up with Ron Dembo’s new outfit tests promise of polling
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
Managing a derivatives portfolio through turbulent markets
Steering a portfolio of non-linear derivatives, such as options and more exotic products, is challenging at the best of times. Market risks change as markets move and time passes, risks offset in complex ways and proxy hedging is common. In this feature,…
Uncharted waters
How pension plans can better equip themselves for a period of economic upheaval. By Matthew Seymour, RiskFirst, a Moody’s Analytics Company
Uncleared margin – The changing needs of buy-side firms
Raf Pritchard, head of triResolve, discusses the initial margin calculation and collateralisation challenges for firms coming into scope under phases five and six of the uncleared margin rules
As Covid snaps credit models, lenders turn to stress-testing
Banks enlist scenario analysis to bolster creaking default models
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
A growing focus on op risk
Operational risk and resilience have taken centre stage over the past year. While op risk concerns all systems and controls that deliver effective solutions against the risks financial services businesses regularly face, Jonathan Peddie, partner at Baker…
CECL models may leave banks ill-prepared for next downturn
Mortgage backtest study shows some loan-loss models miss the mark
EU’s 2020 stress tests are toughest to date
Real GDP projected to contract –4.3% over three-year scenario horizon
‘Bad banks’ work best alongside capital injections – BIS
Those banks that did not get external funds struggled to improve even after using asset segregation schemes
Top 10 operational risk losses of 2019
Fraud, embezzlement, tax evasion, subprime (still) and rogue trading – and Citi crops up twice. Data by ORX News
Climate risk-weighting: the devil and the deep blue sea
Should capital charges be calibrated to climate risk? European banks test the waters
Brent crude oil spot and futures prices: structural break insights
This study focuses on the analysis of long-run and short-run relationships between Brent crude oil spot and futures prices during the first Gulf War (1990–91) and the global financial crisis.