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Natixis said to offload a third of Korean structured book
BAML and BNP Paribas named as buyers in $2.5 billion notional sale of equity-linked securities
First SOFR term rate coming in 2020
Staff at the New York Fed are working on a series of backward-looking averages
At US G-Sibs, 11 VAR breaches in 2018
The final quarter of 2018 saw a record number of VAR breaches at the biggest US banks
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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.
Editors' choice
Functional programming reaches for stardom in finance
Fans highlight more reliable code, and suitability for complex tasks and distributed ledgers
Big Figure
VAR model in the spotlight
The VAR model used by NatWest Markets underestimated actual daily losses once in May, once in November, and three times in December.
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Comment
Swaps data: SOFR volume and margin insights
Op risk data: $1.5bn subprime hit for GE Capital
Credit data: falling default risk for China’s banks
Top 10 operational risk losses of 2018
Our Take
Aussie banks: a right Royal mess
We need to talk about Collins
Calling out autocallable pricing
Dabbling in data science won’t cut it