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What lies beneath: Nomura’s iceberg balance sheet
Collateral received by the Japanese bank exceeds its total on-balance-sheet assets – does it matter?
Seismology models sound out safe ground for DG Partners
Quake technology helps quant firm time entry and exit points – and buck trend-following trend
Impact of hedging strategies on variable annuities
Put options may reduce the cost of hedging strategies for insurers
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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.
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What lies beneath: Nomura’s iceberg balance sheet
Collateral received by the Japanese bank exceeds its total on-balance-sheet assets – does it matter?
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