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Machine learning algo trawls liquidity pools to slash US Treasury trading costs
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Hong Kong exchange’s several hundred clearing members pose complex default risk correlations, says chief risk officer
Banks hurdle Fed stress tests with ease
Aggregate post-stress CET1 capital ratio of 18 participants well above regulatory minimum at 9.2%
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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
Libor leaders: how seven firms are tackling the transition
BMO, Prudential, Associated British Ports, LCH and others reveal their plans to move off troubled benchmark
Big Figure
CCAR ‘not harder’
Economists at the Federal Reserve contest the idea that annual stress tests have become more severe over time, arguing the higher level of capital depletion reported by participating banks in recent iterations is not driven by a toughening up of the scenarios used. The staffers show that the total decline to the Common Equity Tier 1 capital ratio posted by a sample of banks that took part in the 2018 round of the Comprehensive Capital Analysis and Review was 6.1%, the largest to date. However, just 2.7 percentage points of this decline – 44% of the total – was due to the effects of the stress scenario itself. The remaining 3.4 percentage points of decline related to the banks’ planned capital distributions over the stress test time horizon.
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Comment
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Our Take
Libor leaders: how seven firms are tackling the transition
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Time to put real problems to the quantum machines