Risk.net
Latest
CLO scare: could rated tranches see losses?
Structures are more solid, but loans are dicier, and recovery rates may be disintegrating
Japan’s term RFR toil may mean bigger Tibor role, dealers say
Derivatives-based methods for constructing curve unpopular amid negative rate environment
Leaked EU paper softens French blow to Mifir equivalence
Council draft ditches national licensing but introduces conditions on equivalence for some services
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
As Brexit looms, Mifid transparency faces the chop
EU law and equivalent UK draft threaten to split and undermine trade disclosure rules
Big Figure
VAR off
State Street and the US units of BNP Paribas and Credit Suisse all reported value-at-risk backtesting exceptions in the third quarter of the year, as a result of larger-than-expected trading losses. The US custody bank experienced one day during the three months to end-September in which trading losses exceeded its VAR model estimates. BNP Paribas USA incurred two breaches, while Credit Suisse Holdings (USA) suffered one.
Read the full article
Comment
How to stress-test portfolios for Brexit and trade wars
Credit data: rate hikes put borrowers on the rack
Swaps data: cleared vs non-cleared margin
Op risk data: conduct risk losses top $600 billion since 2010
Our Take
Lobbing out the Clobs?
In EU stress tests, everyone’s a loser
Asian exotics desks need to slash risk
Humans struggle to keep pace with machine learning