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What quants can learn from the Covid crisis
More nowcasting, less backtesting, and strategies that adapt to new regimes: a manifesto from Lipton and López de Prado
‘Ostrich approach’ to financial stability is a mistake
Denmark’s top supervisor says scaling back IFRS 9 would be a costly error
Coronavirus is testing op risk managers to the limit
No amount of stress testing can prepare firms for the risks they’re facing, says Ariane Chapelle
Leverage is underestimated
Off-balance sheet funding is large, rising and not fully accounted for in leverage metrics
Op risk data: BNP faces €150m bill from mortgage loan sales
Also: Maybank, ING and MUFG hit by $300m commodities trading fraud. Data by ORX News
Swaps data: cleared volumes drop for all markets – except FX
Smaller CCPs make market share gains in a quarter of double-digit declines for rates and credit
Credit data: rising tide lifts fund houses – but can it last?
Strong revenue growth masks structural problems in the funds industry
How diversifying too far weakened alt risk premia’s rebound
Strategies that hurt ARP funds in 2018 did better but some cancelled out last year
Op risk data: Citi fined $18m for failing to buy flood insurance
Also: VTB takes $535m hit from Mozambique loan fraud; Citadel Securities fined in China. Data by ORX News
Credit data: a sharp turning point in CCP credit risk
The credit risk of CCPs is worsening, even as margin requirements rise, writes David Carruthers
Signing the Libor fallback protocol: a cautionary tale
As Orwell’s Room 101 beckons for Libor publication, muRisQ Advisory’s Marc Henrard warns of a potential pitfall in the fallback protocol
Op risk data: Regulator fines tumble by $5bn in 2019
Also: Julius Baer hit with $150m Cold War-era claim, Barclays pays $87m for bond rigging. Data by ORX News
Swaps data: have SOFR and Sonia swaps and futures lived up to expectations?
Progress on volumes of SOFR and Sonia swaps and futures
Credit data: the retail apocalypse continues
Consumers are spending, but brick and mortar retailers continue to struggle
Top 10 operational risk losses of 2019
Fraud, embezzlement, tax evasion, subprime (still) and rogue trading – and Citi crops up twice. Data by ORX News
Credit data: rising default risk for millennial companies
WeWork’s problems hint at the challenges facing companies focused on millennial customers
Swaps data: third-quarter clearing volumes increase across all asset classes
Dollar and euro rates clearing surges 60% year on year, but little shift in CCP market share
Op risk data: Brazil bank faces near-$1bn tax probe fine
Also: UBS hit for $77m for spread hikes; PPI costs top £50bn. Data by ORX News
When the data’s not there, expert-led models could help
Missing data is a problem. Expert elicitation taps the knowledge of many, say consultants
The end of the fintech gold rush?
Why did so many new fintech start-ups fail, and how can ‘fintech 2.0’ succeed, asks consultant
Swaps data: CCPs – a systemically important market infrastructure
Disclosures show heavy concentration of initial margin in top three clearing services, writes Amir Khwaja
Credit data: US slowdown starts to bite for high yield
Credit quality in the US is turning, while the UK is sliding sharply, writes David Carruthers
Banks feel chill of exposure from Fed’s SCCL
US rules on counterparty credit limit pose challenges for risk and regulatory teams despite proposed delay, says expert
Op risk data: $250m legacy loan frauds hit Bric banks
Also: costs from post-2012 cyber breaches top $2bn. Data by ORX News