News/Risk management
CFTC rule change sparks dealer-client margin scuffle
FCMs fear “race to the bottom” as funds lobby dealers for lower margin status
CME, FICC to overhaul Treasury market margining
Clearers eye deal to dramatically improve cross-margin savings, aim to extend offsets to end-users
Quantum computing experts voice explainability fears
Risk Live: big speed-ups for quantum-powered models could prompt bigger questions from regulators
Singapore banks step up their game against internal fraud
Firms respond to MAS warnings about dangers of remote working spurred by Covid
Goldman banker calls for greater CCAR flexibility
Exec says share buybacks should have been permitted for stronger lenders during Covid freeze
CME rebuts accusations of procyclical margining
Merc issues white paper touting strong portfolio-level coverage during pandemic, rebuffs calls for higher MPOR
Cyber attacks top threat to US financial system – bank CEOs
Lawmakers signal readiness to act as finance chiefs warn of heightened cyber risks
From one extreme to another: Covid upsets loan models once more
Unusual economic slumps tripped up models in 2020. Now, they are struggling with fast recoveries
Nomura hires McKinsey to examine Archegos failings
Risk framework under external review as DOJ reportedly opens probe into fund’s collapse
How time-step stress-testing helped Deutsche navigate Covid
Market risk chief touts importance of repeat stress-testing over point-in-time methods
US watchdogs seek to govern bank AML systems as models
Banks fear prudential agencies’ move could hamper their own ability to fight financial crime
Goldman inks modelling, data tie-up with MSCI
Move to cross-sell risk analytics could herald further content deals for bank’s Marquee platform, says sales chief
LCH, JP Morgan question BoE’s CCP resolution powers
Isda AGM: UK proposals give central bank broad powers to intervene in winding up stricken clearers
New UK op risk rules elevate management over measurement
Under op resilience rules, firms must plan for all severe stresses, whatever their probability
Credit Suisse held just 10% margin against Archegos book
Swiss bank gave family office 10 times leverage, compared with four or five times at Goldman
Simm template to be expanded for SA-CCR and FRTB
Crif-plus will capture risk exposures for all instruments, boosting optimisation potential
After Archegos, Credit Suisse clients tap rivals for clearing
Swiss bank is said to have lost clearing business amid uncertainty over its future
Would margin rules have checked Archegos? Perhaps not
Regulator-prescribed margin methodology permits six-times leverage on equity swaps
Eurex switches default fund calculation
As whipsawing markets see contributions balloon, CCP will now base charges on stress loss method
Fed economist sounds alert over op risk capital arbitrage
Insurance payouts could allow banks to pare back capital without equivalent reduction in risk, says paper
Users clash with ASX over changes to its DLT settlement system
Industry groups and tech experts worry that proposed last-minute changes will introduce new risks
US regulators seek to tighten cyber incident reporting
New federal rule, mindful of Covid, will force firms to report serious incidents within 36 hours
Fed’s Lindo: Basel op resilience rules imminent
Committee has also formed new group to oversee supervisory policy harmonisation, says senior regulator
Deep hedging strays when volatility gets rough – study
In the most realistic simulations, data-driven approach fared 30% worse than conventional hedging