Risk.net
Latest
All roads lead to Bergamo: Euronext eyes new home for its tech
Market participants fear a “horrible” relocation project and more room for latency arbitrage
CanDeal ideal: could Canada make a sea-change in e-trading?
E-trading firm aims to capture all Canada’s electronic fixed income trade, requiring a culture shift
SOFR adoption stalls after US Libor delay
Stay of execution, RFR illiquidity and fallback reliance slow SOFR adoption
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.
Editors' choice
Softer US NSFR could skew global repo pricing
US banks benefit from Treasury repo exemption, while EU banks report only end-quarter ratios
Big Figure
Model charges
Large banks in the EU continued to absorb capital add-ons in response to scrutiny of their internal risk models in the last quarter of 2020. A number expect to take further such charges this year, too. Dozens of top lenders were subject to on-site assessments under the ECB’s Targeted Review of Internal Models from 2016 through 2020. Some were saddled with capital add-ons following these to address the “unwarranted variability” of their model outputs compared with benchmarks.
Read the full article
Derivatives
Has Covid stopped the clocks on FX timestamp efforts?
Budget reallocation may not be the only factor stalling standardisation progress, say participants
Receive this by email
Comment
My kingdom for the right copula
Op risk data: Chronic corruption charges cost Deutsche dear
If stablecoins are money, they should be backed by reserves
Repair the leverage ratio, revive the repo market
Our Take
A European watchdog with more bark than bite
March’s clearing failures give new life to an old idea
Putting the H in XVAs
Why US dollar Libor spreads may be mispriced