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Risk Quantum
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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%.
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7 days in 60 seconds
AI in practice, EU clearing and post-Libor hedging
The week on Risk.net, February 8–14, 2020
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