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China stimulus creates hedging headaches for HK warrants
Dealers say options liquidity issues during Hang Seng’s rollercoaster ride made the products tricky to risk manage and price
How the rate hike cycle emboldened banks’ deposit modelling
But just because depositors didn’t react quickly doesn’t mean it will never happen
MUFG blocks vendors that refuse to reveal subcontractors
Risk Live: US arm of Japanese megabank asks first line to sign written waivers when risk advisories ignored
Risk data
Citizens’ growth won’t bow to regulatory thresholds, CRO says
Risk Live: Bank faces stricter capital and liquidity requirements if it crosses $250 billion in assets
Are investors betting on Kamala or Donald? Neither
Hedge funds and others shun election-based trades and rely on existing hedges to guard against surprise market moves
August’s volatility thunderbolt rattles risk managers
Investment firms mull changes to value-at-risk models after never-before-seen spike in volatility index
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BASEL III ENDGAME
FDIC’s McKernan wants single capital stack in Basel III endgame
Rebuffing Barr’s offer of a partial rollback, Republican director also targets op risk framework
Nine jurisdictions yet to finalise Basel III rules
Turkey and South Africa worst laggards, with no final drafts published
Fed’s new liquidity rule spells more pain for regional banks
Limit on HTM assets follows move to deduct unrealised losses from capital buffers
Endgame manoeuvre: US banks put SLR reform back in spotlight
Plan to ease Basel III brings renewed focus to impact of leverage ratio on US Treasury market
Risk Quantum
Data insights, delivered daily
Risk Quantum tracks thousands of data points across hundreds of metrics from organisations that represent a cross-section of the financial system. Published daily, articles are short and broken into chunks – the facts, the context and a brief commentary – and use data visualisations to get each story across.
JPM, PNC bolster available-for-sale portfolios in Q3
Four major US banks add $119bn to AFS holdings
Counterparty Radar
Matchmaking and benchmarking for OTC derivatives
Counterparty Radar is based on position data from around 20,000 US mutual funds and ETFs, rolled up to the manager level – it shows the OTC derivatives they have on their books, and who they traded them with, providing unique insights into an important market segment. More info
Goldman Sachs retakes top FXO dealer spot with mutual funds in Q2
Counterparty Radar: Trades with SEI Investments boosts US bank to top spot
Artificial intelligence
UBS embraces ‘narrative alpha’ for new form of sentiment strategy
NLP engine traces how stories spread, instead of counting words
Banks must loosen up on ChatGPT use – risk chiefs
Risk Live: ’Shadow use’ and inability to attract new hires mean restricting access to GPTs is untenable
Quantum cognition machine learning: financial forecasting
A new paradigm for training machine learning algorithms based on quantum cognition is presented
Banks urged to keep regulators in the loop on AI plans for AML
Risk managers advocate five-year strategies and compliance teams’ ownership of the tech they use
The curious case of the revealing orders
Oxford academics have found evidence pointing to collusion on a European exchange, but market-makers aren’t wholly convinced
Central clearing
Fed relief plan for G-Sib agency clearing welcomed
Rollback may revive interest in European FCM model, as principal clearing still treated punitively
Accounting fix needed for done-away Treasury clearing – DTCC
Splitting UST execution and clearing “not viable” for clearing brokers under current regime
EquityClear’s IM concentration hits record high
Membership dwindles as LCH SA continues to wind down service
LCH set to take CGBs as collateral
Asia Risk Congress: US dollar and euro CGBs confirmed for next year while CNY versions remain a goal
Op risk benchmarking
Our new research service compares op risk practices at financial institutions – from staffing to AI safeguards, key controls to board reporting packs.
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