Articles by Fabio Santos
Most banks stick to tried-and-trusted XVA models
Black Scholes- and Heath-Jarrow-Morton-based approaches dominate, with some exploring Copulas for wrong-way risk, post-Archegos
Dealers favour central XVA desks, but splits remain on funding
Most banks run a single desk within the front office, but more than half share responsibility for its funding needs with treasury
Most banks add ERM heads – but CROs keep control
Hiring tilts towards AI, cyber and model risk as enterprise risk’s remit grows faster than its reach
In more than 90% of banks, second line tackles cyber risk
But some regulators would still like to see more 2 LoD risk staffing for infosec and IT disruption
Almost all banks mandate cyber security training
And unlike other risks, information security coaching moves the internal confidence dial
FMIs create culture club for op risk
Exchanges and clearing houses seek to build risk resilience among front-line business, amid concerns of overreliance on second line of defence