Risk.net
Latest
Volatility scaling unravels as market patterns shift
Waning power of quant approach could be a reason for trend following’s malaise
Swaps users mull ‘big bang’ for SOFR discounting
Cleared and bilateral US dollar swaps could move to SOFR discounting on the same day in 2020
Over four years, US banks blitz correlation trading risks
JP Morgan’s CRM charge has fallen 94% since Q1 2015
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
German CDS switch creates credit-linked note mismatch
Note issuers fear losses after relabelling of swap contracts creates subordination discrepancy
Big Figure
VAR off
Investigations into the market risk modelling practices of eurozone lenders by the European Central Bank have illuminated flaws in a number of firms’ value-at-risk calculation methodologies.
Read the full article
Comment
Not random, and not a forest: black-box ML turns white
Op risk data: Chinese regulators levy record fines
Credit data: worrying trends in sovereign risk
Fixing floaters: how the 10y10y rate can save FRNs
Our Take
Can bankers stop the trading book killer?
Citi scrape could change FXPB skyline
Whose leverage ratio is it anyway?
EU’s new securitisation market stumbles at the starting gate