
Lorenzo Migliorato
Lorenzo is a senior data journalist on the Risk Quantum desk at Risk.net. He has previously covered consumer credit, financial regulation, equities and the high-yield markets. He graduated in philosophy at Sapienza University of Rome and in journalism at Cardiff University.
Follow Lorenzo
Articles by Lorenzo Migliorato
Foreign dealers still lag US banks in stress tests
IHCs’ CET1 depletion triples that of domestic participants, despite improved performance since 2024 exercise
UniCredit’s market RWAs would inflate 75% under FRTB
Pro forma figures for capital floor give first look at de-modelling impact on a major EU dealer
Softer DFAST market shock favours Goldman but confounds comparability
Tweak to trading book test reveals widening gap between bank and Fed loss forecasts
JP Morgan’s loan losses loom ever-larger in Fed stress test
$90 billion in projected markdowns accounts for almost a fifth of total across 22 banks
US banks’ VAR shortfalls are wrapped in a black box
Public disclosures only allow crude approximations of loss size and timing
US G-Sibs set to reclaim $6.6trn in leverage room under eSLR reform
Replacement of fixed 2% buffer with variable add-on could cut requirements by up to 150bp
The VAR-centric models that never were
Often spotlighted, rarely dominant – VAR plays a surprisingly small role in most IMA stacks
US banks’ FX notionals hit record $66trn on forwards frenzy
JP Morgan leads record derivatives surge amid Q1 market volatility
Bucking Japan megabank trend, Norinchukin’s market RWAs spike 41%
Latest surge underscores challenge of adapting to FRTB
Unseasonal Q1 surge lifts US G-Sib scores to record highs
Latest systemic risk scores for JP Morgan, Citi, Goldman and Morgan Stanley could lead to extra 50bp to their respective capital surcharges
CRR III curbs charges for BPCE’s equity stakes
RWAs for subsidiaries outside prudential consolidation drop 82% after Basel revamp
Norinchukin trims slotting approach reliance, expands A-IRB scope
Bank’s models recover ground after Basel III curtailing