Articles by Luke Clancy
Quants tout improved expected shortfall backtest
Measure aims to provide better gauge of VAR violations
Kyte follows broker herd to Europe as Brexit looms
OTF provider lines up contingency plan to transfer London business to Paris entity
New credit risk modelling approach touted to reduce CCAR bias
Academic aims to address gaps in existing LGD forecast method with two-equation fix
Risktech start-ups: survival of the fittest?
A new breed of vendors could change the face of risk management, if they can hang around long enough
Risktech start-ups struggle to clinch big-bank contracts
Light on cash, risk management fintechs face an extended gauntlet most won’t survive
CLS seeking legal fix for Brexit settlement threat
Market infrastructure firm wants EU27 to protect trades in insolvency by tweaking local laws
Paper calls for action on payment ‘free-riding’ in Colombia
Country’s financial corporations most likely to prefer to rely on others’ liquidity to fund payments
Quants tout exposure-based approach to op risk modelling
Ebor especially suited to modelling loss events such as legal claims, say proponents
Banks fear loss of Emir intragroup exemptions
Firms would have to clear or margin transactions with affiliates in non-equivalent jurisdictions
EU prime brokers hit by new rules on collateral reuse
Draft AIF and Ucits regulation would oblige more stringent record-keeping along custody chain
Industry split over running of new derivatives IDs
Funds object to Isda proposal, arguing it would leave ‘control’ of UPIs with incumbents
Planned sale prompts hard look at post-trade firms
Plans to sell MarkitServ fuel warnings about middleware vendors’ future
Banks should quantify loan-loss model risk – academic
Models such as those used for IFRS 9, CECL or CCAR are prone to errors, and should be accounted for
CCP stress tests need improvement, argues new research
Existing data could inform greater number of stress scenarios and create system-wide test
New method proposed for modelling large op risk losses
Outsize loss events modellable through extension of approach to measuring moderate losses, says research
Mifid transparency, FRTB and alternative data
The week on Risk.net, April 30–May 4, 2018
Industry mulls challenging Isins through global identifier
Success of UPIs could be catalyst for European rethink on unpopular derivatives identifier
Isins for swaps need ‘complete rethink’, say platforms
Three trading venues say Mifid II transparency objectives diminished by identifier choice
The battle for the back office
Post-trade incumbents at risk as Isda and others search for standards
Basel liquidity, last look and higher vol
The week on Risk.net, March 3-9, 2018
Quants needed: how finance can use power of quantum tech
New machines have big potential in AI, valuations and VAR, but tech giants like IBM need help from practitioners
EU lawmaker wants cost-benefit analysis of rejecting a CCP
Hübner says adaptation period may follow decision to deny recognition to non-EU clearing house
Basel output floors, VM rules and taper talk
The week on Risk.net, January 13-19, 2018
Huge capital savings at stake in STM swaps debate
Estimates show portfolio would generate 250% more capital in worst-case version of new margining treatment