News/Risk management
Podcast: CFM’s Bouchaud on agent-based models and ESG investing
Hedge fund quant, and Risk.net’s new columnist, shares his unique take on markets
Ronin, felled prop giant, shuts up shop
Firm cancels regulatory licences; traders receiving payouts on equity stakes
Big buy-side firms seek better model risk disclosures
Working group building standardised disclosure doc for managers and vendors
Target2 ‘fingerprint’ could flag liquidity problems – research
Deviations from regular payment patterns are a sign something might be wrong
After Covid, CCPs face calls for revamped disclosures
Banks and buy-side firms working with clearers to provide more granular info on margin shortfalls
Facebook’s libra could disrupt collateral markets – IMF paper
Collateral used to back ‘stablecoins’ such as libra will be unavailable for reuse
Basel sets out its stall on operational resilience
Body says banks expected to maintain critical services, but steers clear of setting compliance metrics
Indonesia eyes netting changes to enable derivatives CCP
Central bank says legal amendments will pave way for locally cleared NDFs and interest rate swaps
Covid forces banks to focus on vendor risk
Firms eyeing financial well-being of critical suppliers, and seeking alternatives
Fed’s approach to stressing op risk frustrates banks
Regulator’s stress test results overshoot banks’ numbers, threatening capital plans
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
Good citizenship can signal better creditworthiness – study
Environmental and social behaviour predicts credit ratings in North America – less so in Europe
Altman: mega-bankruptcy wave coming
Credit conditions were worsening before Covid, research finds
LME distressed at severity of Esma stress tests
Watchdog’s simulated price shocks said to be unprecedented in metals markets
Hacking threats growing in work-from-home era, fear CISOs
Covid-enforced remote working creates new threats and vulnerabilities for bad actors to exploit, say cyber experts
Banks eye post-pandemic shake-up of op risk scenarios
Firms seek better handle on impact of global shocks, and hope to avert regulatory attention
Contagion can spread via cross-asset links, ECB study shows
Research throws more light on the hidden risks of central clearing
Podcast: should negative oil prices be allowed?
Did negative oil prices signify the market was operating effectively, or that something was wrong?
FCMs feared systemic incident during March back-office meltdown
Trade breaks following Covid-19 spike in futures volumes required massive clean-up job, says BofA exec
Higher margins would aid clearing stability – Ice Clear chief
Using volatility floors to aid “higher margins in peacetime” would have to be globally applied policy, warns Serafini
US banks face capital hit from resurgent advanced approaches
Banks pushed onto internal models wrestle with procyclical capital charges
How UBS kept workers plugged in during the pandemic
Swiss bank’s A3 virtual desktop system offers a blueprint for remote working
Podcast: Lipton and de Prado on Covid and trading strategies
Top quants discuss collaboration and their worries about the economic recovery
Deutsche insists Covid-19 won’t derail ‘bad bank’ wind-down
Lender actively seeking buyers for remaining derivatives portfolios ahead of 2022 target, says CRO