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Banks hope final FRTB rules will ease NMRF burden
Internal models approach buoyed by more liberal rules on price observations and risk factor aggregation
Goldman suffers first VAR breach since 2016
Goldman reported 45 days in the calendar quarter where it suffered a trading loss
Brexit novations ‘on hold’ to gain reg relief
Conditional relief would subject early swaps movers to clearing and margin rules
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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
SOFR, so bad: liquidity lags transition ambitions
Thin current trading may lead to poor fallback choices, and dim SOFR’s appeal ahead of Libor’s death
Big Figure
IFRS 9 finds favour in Asia
New accounting rules are driving the uptake of long-dated forex hedges among Asian corporates, as growing geopolitical concerns heighten currency volatility.
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Comment
Swaps data: SOFR volume and margin insights
Op risk data: $1.5bn subprime hit for GE Capital
Credit data: falling default risk for China’s banks
Top 10 operational risk losses of 2018
Our Take
Aussie banks: a right Royal mess
We need to talk about Collins
Calling out autocallable pricing
Dabbling in data science won’t cut it