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CME unveils term SOFR in face of ARRC doubts
Exchange group says benchmark aligns with ARRC principles – but committee has pushed back endorsement plans
BNP Paribas AM turns to machine learning for carbon emissions
AI may help fund manager count emissions that companies fail to report
Botched fallbacks leave CLOs facing early Libor switch
Nearly two-thirds of CRE securitisations issued since 2019 have already triggered fallback clauses
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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