Articles by Fabio Santos
One-factor rates models sit behind most XVA calculations
Risk Benchmarking: Dealers coalesce around calibration depth, but runtimes and lookbacks vary sharply
Dealers still split on XVA desks’ funding remit
Risk Benchmarking: Global dealers use XVA desks to manage swaps funding needs, but most treasuries retain some control
Dealers price ColVA, but few agree on scope
Risk Benchmarking: Two-thirds of dealers price in collateral valuation adjustments, but only half recognise it in accounting
Little consensus on how banks manage FVA
Risk Benchmarking: Majority of dealers still mix and match methodologies for funding adjustments
For enterprise risk, influence runs deeper than any veto
Risk Benchmarking study finds formal veto rights concentrated among the largest lenders, but used only as a last resort
At bigger banks, enterprise risk owns scenario frameworks
Risk Benchmarking research finds ERM teams tasked with providing effective challenge on scenario construction across risk silos
ERM’s influence is growing as its ranks are shrinking
Risk Benchmarking: Mandates expanding to include new threats like AI and geopolitical risk, but majority report flat to down headcount
Model risk managers see growing regulatory divergence
Risk Benchmarking study finds most banks expect easing of model risk supervisory scrutiny in the US, but tightening in Europe
Model risk managers are being asked to do more with less
Risk Benchmarking study finds function being handed expanding AI workload, on flat resources
A third of banks do not maintain logs for GenAI models
Risk Benchmarking study finds few banks review prompt logs systematically, with larger firms focusing on higher risk use cases
From gatekeeper to coach: model risk bids to reinvent itself
Model Risk Benchmarking data reveals a function in flux, grappling with resource cuts, AI models, regulatory divergence
Banks insure against cyber risk, but rarely claim
Risk Benchmarking study finds big banks aggressively negotiating on cost of cover, and seeking offsets to Pillar 2 capital