Risk.net
Latest
Swaptions expiries complicate portfolio optimisation runs
triBalance and Quantile users call for better post-trade co-ordination between dealers
CCPs say central bank access needed to avoid liquidity crisis
Uniform access to deposit accounts and overnight liquidity vital, say market participants
Credit risk models can dodge procyclical bias – Fed adviser
Excluding some metrics makes A-IRB retail portfolio risk model more stable
Latest
Quotes
Singapore remains in the running for the first wave of equivalence, which the EC indicated is likely to be released in November
Jeth Lee, SGX
The present HQLA requirements for the LCR are excessive, and have a negative impact on lending
Hal Scott, Harvard Law School
Much of the [Mifid II] work has been done with London as the largest financial centre and part of the EU. Unfortunately, after the [Brexit] decision, it will not be
Thomas Book, Eurex Frankfurt
Editors' choice
Unwanted Kingdom: managing no-deal Brexit risks
UK-based dealers must plan now if they are to handle trades that extend beyond Brexit day
Big Figure
Assets backed
The US Treasury’s suggested loosening of restrictions on high-quality liquid assets could boost the market for asset-backed securities and act as a fillip to lending, say experts. An analysis by Risk.net shows 0.3% of total HQLA held by the eight largest banks currently consists of Level 2B instruments.
Read the full article
7 days in 60 seconds
AIG, US Treasury reforms and a Brexit deadline
The week on Risk.net, October 13–19, 2017
Receive this by email
Comment
Are failure indexes fair play?
Monthly op risk losses: Equifax breach sparks regulatory review
Monthly credit data review: UK corporates’ post-Brexit slide
Monthly swaps data review: basis swaps galore
Our Take
Insurers want clarity not compromise on G-Sii list
Machine learning could solve optimal execution problem
Mifid’s great race to the bottom
A common interest in common law