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Risk modellers navigate fearful new world of depositor behaviour
Silicon Valley Bank suffered fastest bank run in history, but how should others respond?
Long-end euro swap pricing anomaly remains largely untapped
Deviation in swap curve attracts limited interest because of regulatory and pension reform barriers
First Citizens leads regional bank rush for riskless assets
Share of 0% risk-weighted assets increases at small banks for first time in seven quarters
Risk data
US life insurer index options market hits $1trn mark
Counterparty Radar: Lincoln Financial emerges as top player in Q4 with $43 billion portfolio increase
Eurex scrambles to avert Treasury collateral ban on US default
Current policy prevents CCP from selectively excluding eligible collateral
Quant Finance Master’s Guide 2023
Risk.net’s guide to the world’s leading quant master’s programmes, with the top 25 schools ranked
Banks in crisis
The tweet and the trust collapse: how banks can fall on a dime
In March’s market contagion, experts see lessons in the rapid erosion of confidence
In bank runs and market crashes, it matters how ideas ‘catch’
Contagion episodes show importance of network effects in finance
Why tougher liquidity rules may not reduce the risk of bank runs
EU regulator and industry experts say LCR reform is the wrong response to Credit Suisse and SVB
Investor wish-list offers no quick fix for Swiss CoCos
Some want bond doc overhaul to clarify bail-in risk, but sovereigns can always change the rules
Europe’s new IRRBB test: the riddle with no answer
A proposed compromise on net interest income test is not scientific, but exact calibration may be impossible
SVB failure signals Fed’s need for a speed rethink
Rapid transition to large-bank bracket left supervisors flat footed on rate risk
Fed’s discount window comes in from the cold
BTFP offers zero haircuts on collateral, but long-term usage is not recommended
Risk Quantum
Data insights, delivered daily
Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
First Citizens leads regional bank rush for riskless assets
Share of 0% risk-weighted assets increases at small banks for first time in seven quarters
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
US life insurer index options market hits $1trn mark
Counterparty Radar: Lincoln Financial emerges as top player in Q4 with $43 billion portfolio increase
SOFR
Regional banks face soaring term SOFR spreads
Bid/offers hit 10bp as dealers price counterparty risk into non-cleared Libor transition trades
Easing of trading curbs is no quick fix for term SOFR swaps
ARRC’s new guidelines will do little to improve liquidity, but may keep a lid on spiralling basis
Fed’s Bowman confirms interdealer term SOFR ban
Isda AGM: Further softening ruled out after April reprieve lifts curbs on term SOFR basis swaps
FRA-OIS demise leaves hole in bank treasury risk management
Banks now face ‘greater downside’ to widening credit spreads
Top 10 operational risks for 2023
The biggest op risks for the year ahead, as chosen by senior industry practitioners
FRTB
EU banks fear Brexit battle over FRTB internal models
Bank of England approach looks easier, but that may not make much difference to model uptake
Banks find new uses for discarded FRTB models
Much-maligned IMA models are being upcycled and repurposed for internal risk management
Banks look back in anger as FRTB revives 1990s risk test
Institutions bemoan need for parallel framework to measure portfolios’ sensitivities to market moves
US falls behind in race to match Europe’s FRTB launch date
Recent US bank failures could jeopardise planned January 2025 start date for Basel III
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Counting down to dollar Libor transition
