Risk.net
Latest
EU parliament OKs no-action powers but leaked doc signals delay
Council note means regulators may not get no-action powers until at least November
Podcast: Kenyon and Berrahoui on the pitfalls of PFE
Quants propose replacement to existing credit risk measure
Cross-currency swaps could hasten RFR shift in Australia
Adoption of new risk-free rate for both swap legs likely to turbo-charge wider benchmark change, say sources
Latest
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.
Editors' choice
Pooled resources offer way to keep credit models afloat
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
Big Figure
Ice not in the Clear
Ice Clear Europe reported a peak margin breach of $1.2 billion in the third quarter of 2018 – the largest since public disclosure began in 2015. Prior to this, the CCP’s largest margin breach was $65.5 million and occurred in the fourth quarter of 2017.
Read the full article
Comment
Op risk data: JP fined $135m over depository receipts
Teach history to avoid mistakes of yesterday’s quants
Swaps data: volumes up amid volatility
Credit data: how US industries have fared under Trump
Our Take
Credit risk quants are hitting the tech gap
A tale of two CCPs
Does credit risk need an expected shortfall-style revamp?
Learning algos that learn how to learn