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Fed’s MBS exit surprises some with muted rates vol
Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared
JP Morgan VAR surges 46% in Q4
The bank’s average VAR jumped $16 million to $51 million at end-December
Princeton tops inaugural Risk.net quant master’s ranking
Course sees off competition from Berkeley’s Haas and three New York schools
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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.
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.
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Comment
Swaps data: volumes up amid volatility
Credit data: how US industries have fared under Trump
Doing well by doing good
We need a different approach to supervisory stress-testing
Our Take
A tale of two CCPs
Does credit risk need an expected shortfall-style revamp?
Learning algos that learn how to learn
Margin model revamp should top 2019 agenda for Asian CCPs