Articles by Alexander Campbell
SA-CCR tweak could slash equity risk charge – research
Better calibration would cut equity options exposures in half, research finds
SA-CCR, SOFR lending and model approval
The week on Risk.net, November 21-27, 2020
Fallbacks, Libor and the cultural risks of lockdown
The week on Risk.net, November 14-20, 2020
Climate risk, fixing Libor and tough times for US G-Sibs
The week on Risk.net, November 7-13, 2020
FVA pain, ethical hedging and a degraded copy of Trace
The week on Risk.net, October 31–November 6, 2020
Basis traders, prime brokers and election risk
The week on Risk.net, October 24-30, 2020
XVA calculation, backtesting and escape from Emir
The week on Risk.net, October 3-9, 2020
Ex-Isda risk chief: ditch gross notional thresholds for clearing
10 years on, David Murphy says mandate should be rebased to exempt less risky firms
Alt data, Libor and ESG in the time of Covid
The week on Risk.net, September 26–October 2, 2020
Autocallables, Mifexit and the value of HFT
The week on Risk.net, September 19-25, 2020
SOFR discounting, Covid and scenario crowdsourcing
The week on Risk.net, September 12–18, 2020
Swap termination, SA-CCR and the AFM’s push for fair treatment
The week on Risk.net, September 5-11, 2020
Ratings can still sharpen credit risk picture
Study shows even the most modern default models benefit from adding credit rating information
Swap stays, FX clearing, and the value of real options
The week on Risk.net, August 29 - September 4, 2020
CVA problems, CCP resolution and digital tokens
The week on Risk.net, August 22-28, 2020
Target2 ‘fingerprint’ could flag liquidity problems – research
Deviations from regular payment patterns are a sign something might be wrong
Stablecoins, term Sonia and skin in the game
The week on Risk.net, August 15-21, 2020
Stress testing, home working and the move to €STR
The week on Risk.net, August 8–14, 2020
Study suggests banks may be better off with simpler VAR models
Non-parametric VAR models perform well in calm markets, but miss the mark in volatile periods
Mifid swaps, VAR and buy-side Covid lessons
The week on Risk.net, July 25–31, 2020
Climate risk, ethics, and mega-bankruptcies
The week on Risk.net, July 18-24, 2020
Good citizenship can signal better creditworthiness – study
Environmental and social behaviour predicts credit ratings in North America – less so in Europe
Altman: mega-bankruptcy wave coming
Credit conditions were worsening before Covid, research finds
Collar financing, low op risk losses and ESG data
The week on Risk.net, July 11-17, 2020