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Count them in? Big US banks mull PCAF carbon standard
BofA, Citi and Wells Fargo looking to adopt emissions standard popular with EU lenders
Counterparty risk capital charges up 20% at top UK banks
StanChart CCR capital requirement jumps 41% over the first quarter
US benchmark switch splits swaptions market
Some users ignore new guidance to nominate SOFR for swap discounting
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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
Negative Vix premium signals vol spikes, research finds
Unusual pattern seen in Covid crash could help volatility sellers avoid future reversals
Big Figure
VAR: broad in the USA
The US trading entities of top international dealers disclosed losses far in excess of modelled estimates on a handful of days last quarter as the coronavirus crisis raged. The US arm of Deutsche Bank, DB USA, disclosed one trading day last quarter on which losses exceeded its value-at-risk estimate by 1,017%. Royal Bank of Canada’s US operation, RBC US, topped that by incurring a loss 1,200% over VAR.
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7 days in 60 seconds
Oil price models, IM changes and VAR caps
The week on Risk.net, May 16-22, 2020
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Comment
Now is not the time to change the rules on CCP resolution
Credit data: coronavirus takes toll on corporates
Swaps data: record trading volumes in March
Op risk data: IBK snagged in money-laundering ops to Iran
Our Take
Blurred lines in bank capital standards
China commodities regulation: time to end the turf war
Three adjustments in calibrating models with neural networks
Libor deadlines – the dominoes start to fall