Risk.net
Latest
Cross-currency swaps set to ditch Libor in ‘RFR first’ drive
A plan to oust Libor in September is expected to spur voluntary RFR adoption for euro legs
Ex-regulators back PTFs’ call to reform Treasuries clearing
G30 proposal comes just weeks after PTFs requested improvements to Ficc sponsored clearing
CME’s term SOFR rate gets the official nod
Endorsement comes just three days after ‘SOFR first’ drive, cementing availability in fallbacks
Latest
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.
Credit Suisse’s op risk up $6.5bn on subprime-era litigation
Increase offsets the removal of Archegos-related capital add-on by Finma
Editors' choice
Term SOFR gets cautious blessing for derivatives
ARRC use cases for forward RFR could accelerate derivatives' availability, though dealers must warehouse basis risk
Big Figure
Capital gains
Capital One’s Tier 1 leverage ratio increased by 70 basis points in the second quarter as the bank’s capital growth outpaced rises in exposures. Tier 1 capital rose 6.3% to $50.9 billion over the second quarter, faster than the 0.6% expansion in adjusted average assets, the leverage ratio’s denominator, which hit $411 billion. This boosted leverage adequacy to 12.4%, up from 11.7% the previous quarter.
Read the full article
Risk Management
After bruising EU model review, banks ask: ‘Why bother?’
Post-Trim changes erode capital savings from internal models while raising their running costs
Receive this by email
Most read on Risk.net
- Mixed signals as swap dealers begin quoting ‘SOFR first’
- After bruising EU model review, banks ask: ‘Why bother?’
- Capturing the effects of climate change on CVA and FVA
- Anti-fraud product & Anti-money laundering product of the year – BlackSwan Technologies’ ELEMENT™ of Compliance
- Cross-currency swaps set to ditch Libor in ‘RFR first’ drive
Comment
‘It’s the economy’: forecasting an op risk climate change spike
Op risk data: Robinhood to pay $70m for meme stock failings
Hedge funds and the rebound in collateral velocity
Op risk data: UBS, Nomura, UniCredit hit with $450m cartel fine
Our Take
G-Sib regime: something’s broken
The case for reinforcement learning in quant finance
Confusion reigns as US prepares for Libor’s end
How XVA quants learned to trust the machine