Risk.net
Latest
In fake data, quants see a fix for backtesting
Traditionally quants have learnt to pick data apart. Soon they might spend more time making it up
BlackRock faces an early climate change test in China
The firm is the main Western investor in three of the worst emitters. It has yet to change their ways
Commonwealth Bank’s LCR dips 13% as liquidity buffer shrinks
The Australian bank reported liquidity assets of A$171 billion, down 6% from the previous quarter
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.
Commonwealth Bank’s LCR dips 13% as liquidity buffer shrinks
The Australian bank reported liquidity assets of A$171 billion, down 6% from the previous quarter
Editors' choice
Who wants to buy US Treasuries?
Federal Reserve’s journey to tapering will be paved with volatility and weaker demand
Big Figure
Goldman ups margin
Required client margin held by Goldman Sachs’ swaps clearing unit jumped up by $1.2 billion (11%) in the first quarter of the year – the biggest increase of the 16 reporting futures commission merchants. Data from the Commodity Futures Trading Commission shows the US bank held $12.4 billion of required margin from clients to cover their swap trades, the highest level on record.
Read the full article
Derivatives
Sterling swaptions edge towards Sonia ahead of July deadline
Risk-free successor jumps to almost half non-linear activity, up from 20% in April
Receive this by email
Comment
Op risk data: Money laundering gaffes cost ABN €480m in penalties
Net losers? Benefits of clearing US Treasuries are cloudy
Risk management is not a job for compliance
Government bond swaptions and how they might work
Our Take
US Treasuries: a venerable market in need of fresh thinking
How Credit Suisse fell victim to its own success
The Giancarlo spirit: wobbling but not falling
For EU banks, there can be no ‘back to normal’