Risk.net
Latest
Margin exchange threshold relief: get out of jail free?
‘Game-changing’ IM exchange threshold relief may not be the phase five free pass it first appears
Chinese banks set for mass loan repricing
Options launch slated for February to help industry switch to new benchmark by August
Fed could postpone stress buffer beyond CCAR – experts
Delays prompt speculation that new rules will only be known after stress-test results in June
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
Libor limbo: loan market fallback language upends lenders
Banks seek to replace painful fallback language in loan docs and avoid a cost-of-funds contingency
Big Figure
VAR off
European banks tend to agree on the value-at-risk of equity and interest rate portfolios, while differing most on foreign exchange, commodities and credit trades. The European Banking Authority’s latest supervisory benchmarking exercise, which assessed the market risk models of 50 lenders, showed the interquartile distribution of VAR outputs for equity portfolios on average was 14%, and for interest rates it was 16%.
Read the full article
7 days in 60 seconds
AI in practice, EU clearing and post-Libor hedging
The week on Risk.net, February 8–14, 2020
Receive this by email
Comment
Op risk data: Citi fined $18m for failing to buy flood insurance
Credit data: a sharp turning point in CCP credit risk
Signing the Libor fallback protocol: a cautionary tale
Op risk data: regulator fines tumble by $5bn in 2019
Our Take
Full stream ahead for bonds
No silver bullet for AI explainability
Grand designs? Time to rein in the Pillar 2 project
Secrets and Libor fallbacks