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R-nought is the wrong number for markets, academics say
New research suggests the volatility of transmission matters more for asset prices
European lawmakers urged to prevent CCP contagion risk
Watchdog says carve-out needed in new recovery and resolution rules to avoid cascading default of clearing houses
At systemic US banks, CLO holdings dip
Wells Fargo sees 15% sliced off the value of its portfolio
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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
Negative Vix premium signals vol spikes, research finds
Unusual pattern seen in Covid crash could help volatility sellers avoid future reversals
Big Figure
A margin tonic
Investment funds made over €10 billion ($11 billion) in variation margin (VM) payments to derivatives counterparties in the week beginning March 16, up from an average of €2 billion a week throughout the first half of February, partial data from the European Central Bank (ECB) shows. The absolute value of VM payments that week was likely far higher, and could have peaked at €40 billion on March 16. The ECB estimates rely on data gathered under the European Markets Infrastructure Regulation, which is spotty.
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7 days in 60 seconds
Oil price models, IM changes and VAR caps
The week on Risk.net, May 16-22, 2020
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Comment
Now is not the time to change the rules on CCP resolution
Credit data: coronavirus takes toll on corporates
Swaps data: record trading volumes in March
Op risk data: IBK snagged in money-laundering ops to Iran
Our Take
Blurred lines in bank capital standards
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