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US banks still fret about cutting liquidity buffers
Fed instructions to banks to run down LCR undermined by governance rules, other liquidity metrics
Quants warn on credit risk in stocks
Conventional models may be missing explosion in novel exposure
Fed’s leverage ratio relief puts foreign banks on the back foot
European banks cannot – yet – exempt US Treasuries from their exposure measures
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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
Hedge fund Parplus said to be source of ABN’s $200m loss
New York-based volatility fund had close ties to defaulted prop shop Ronin Capital
Big Figure
Are UK banks underestimating coronavirus impact?
The stress scenarios UK banks currently have in place to ballpark their expected credit losses (ECLs) may underestimate coronavirus-related impacts, although regulatory intervention should spare them from dramatically increasing loan-loss reserves as the economic effects of the crisis manifest. Lenders use a series of forward-looking simulations to size ECLs under IFRS 9 accounting standards. These are unique to each bank, meaning the number of, and economic assumptions included in, these scenarios vary. Downside, central and upside scenarios are all assigned a probability weighting, and the blended outcome is used to set loan-loss amounts.
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7 days in 60 seconds
Pandemic disruption, alt data and Argentinian rates problems
The week on Risk.net, March 21–27, 2020
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Comment
‘Ostrich approach’ to financial stability is a mistake
To handle Covid-19 we need better data
Coronavirus is testing op risk managers to the limit
Growing sanctions raise compliance risk for energy firms
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