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Optimism fades to uncertainty on banks’ CECL proposal
As crunch FASB meeting approaches, most decline to speculate on outcome
Stock slump dents income, hikes VAR by 22% at UBS
Income from equity derivatives trading plummeted $47 million quarter-on-quarter
Fed to persist with insurance capital proposals
Quarles indicates Fed will follow through on building block approach designed by previous board
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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.
Editors' choice
Pooled resources offer way to keep credit models afloat
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
Big Figure
Ice not in the Clear
Ice Clear Europe reported a peak margin breach of $1.2 billion in the third quarter of 2018 – the largest since public disclosure began in 2015. Prior to this, the CCP’s largest margin breach was $65.5 million and occurred in the fourth quarter of 2017.
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Comment
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Teach history to avoid mistakes of yesterday’s quants
Swaps data: volumes up amid volatility
Credit data: how US industries have fared under Trump
Our Take
Credit risk quants are hitting the tech gap
A tale of two CCPs
Does credit risk need an expected shortfall-style revamp?
Learning algos that learn how to learn