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Botched fallbacks leave CLOs facing early Libor switch
Nearly two-thirds of CRE securitisations issued since 2019 have already triggered fallback clauses
Archegos debacle prompts Credit Suisse to slash prime services
Executives pledged $35 billion of cuts to investment bank leverage exposure
Flexi forwards see rise in corporate interest post-Covid
Treasurers seek flexibility in cashflow hedging as pandemic-related supply chain disruptions bite
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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
Would margin rules have checked Archegos? Perhaps not
Regulator-prescribed margin methodology permits six-times leverage on equity swaps
Big Figure
VAR north
Morgan Stanley’s average daily trading value-at-risk gauge surged to its highest level in eight years over the three months to end-March, a period that ended with wild stock market swings following the meltdown of family office Archegos Capital Management. One-day VAR averaged $69 million in Q1, up from $55 million the previous quarter and the highest since the $72 million disclosed for Q1 2013.
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Comment
Government bond swaptions and how they might work
Op risk data: Sberbank suffers $108m supermarket clean-out
Clear, concise, consistent, doable – rules for a risk policy
Op risk data: Pandemic paradox of low, low losses
Our Take
Games of hazard: NSCC’s margin waiver sets bad precedent
What good are risk disclosures anyway?
Rough volatility’s steampunk vision of future finance
A look at future exposures, through a 19th century lens