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New UK op risk rules elevate risk management over measurement
Under op resilience rules, firms must plan for all severe stresses, whatever their probability
Who wants to buy US Treasuries?
Federal Reserve’s journey to tapering will be paved with volatility and weaker demand
Jarrow and co find a better way to spot stock market bubbles
Quant team’s options-based approach avoids pitfalls of historical data dependence
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Risk Quantum
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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
Simm template to be expanded for SA-CCR and FRTB
Crif-plus will capture risk exposures for all instruments, boosting optimisation potential
Big Figure
Ex-cap
NatWest’s annual recalculation of its operational hazards led to a 4% drop in its regulatory capital charge for these risks over Q1, to £1.7 billion ($2.4 billion). It was the largest one-quarter drop since a similar recalculation in Q1 2018. Total operational risk-weighted assets, used to calculate capital charges, amounted to £21 billion in Q1, down from £21.9 billion the prior quarter and £22.6 billion in Q4 2019.
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Regulation
Swipe left: repo reporting no match for Brexit, or collateral
A happier start than Emir, but SFTR honeymoon is over now that trades report separately in UK and EU
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Comment
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
Op risk data: Sberbank suffers $108m supermarket clean-out
Our Take
For EU banks, there can be no ‘back to normal’
Games of hazard: NSCC’s margin waiver sets bad precedent
What good are risk disclosures anyway?
Rough volatility’s steampunk vision of future finance