Risk.net
Latest
Hedge fund Parplus said to be source of ABN’s $200m loss
New York-based volatility fund had close ties to defaulted prop shop Ronin Capital
Deutsche Bank cut liquidity buffer in 2019
Cash balance dropped €49 billion last year
To handle Covid-19 we need better data
Winton’s David Harding says unconscious bias in test data means epidemic is poorly understood
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
Exchange shutdowns could trigger derivatives unwinds
Eight-day closure would invoke subjective valuation clauses; hedge disruption could cancel trades
Big Figure
Fallback brow-furrowing
The yawning gulf that’s sprung open between secured and unsecured funding rates in recent days has wrenched the planned Libor fallback rate far out of sync with the disgraced benchmark it would replace. The mooted fallback rate for dollar Libor contracts has two components: the realised three-month SOFR rate and the five-year median of the realised three-month Libor/SOFR spread. This historical median is calculated for the five years ending the day three months before the benchmark ceases, so that a valid realised SOFR rate can be used.
Read the full article
7 days in 60 seconds
Pandemic disruption, alt data and Argentinian rates problems
The week on Risk.net, March 21–27, 2020
Receive this by email
Comment
Growing sanctions raise compliance risk for energy firms
Leverage is underestimated
Op risk data: BNP faces €150m bill from mortgage loan sales
Swaps data: cleared volumes drop for all markets – except FX
Our Take
Outsmarting counterparty risk with smart contracts
The open data revolution in banking falls short
Why bankers should embrace the Brexit political theatre
A peek inside op risk managers’ coronavirus response