Comment
Simple models won’t cut it for systemic risk
Understanding interconnectedness and capturing it within models is a key challenge, say quants
Swaps data: the allure of liquidity
Liquidity in OTC trading concentrates at one venue, or splits across three, writes Amir Khwaja of Clarus FT
Monthly op risk losses: banks count the cost of IT failures
Also: top five loss breakdown led by Wells Fargo’s $1bn fine. Data by ORX News
Credit data: firms with fewer well-paid women are riskier
Gender pay gap disclosures could be a proxy for credit risk, writes David Carruthers of Credit Benchmark
Op risk capital: why US should adopt SMA today
No reason to delay roll-out of standardised approach, says TCH’s Greg Baer
Watch out for commodity vol products
Commodity traders shouldn't ignore the recent meltdown in CBOE’s Vix derivatives, writes energy consultant
How banks should organise themselves for FRTB
New market risk rules require a rethink on trading and ops, argue market risk experts
Monthly op risk losses: China’s Anbang faces huge fraud hit
Also: in-depth look at multi-billion fraud in Indian banking system. Data by ORX News
The case for draining excess reserves
The financial system can operate efficiently with $500 billion or less in reserves after normalisation
Systemic rules for insurers and funds should be mutually coherent
Leverage and liquidity risks are common to both sectors, says IAIS chair Victoria Saporta
Swaps data: a Mifid-shaped hole
Data shows strong growth in US dollar rate swaps, but global picture is incomplete, says Amir Khwaja of Clarus FT
Curbing rogue behaviour
Regulators should try to combat rogue trading by measuring traders’ risk-taking differently, say quants
Credit data: UK retail sector’s woes continue
High street fails to get over Christmas slump; elsewhere, global PDs remain in flux, writes David Carruthers of Credit Benchmark
How fintech could reboot Libor
Polsinelli’s Rutenberg says blockchain technology and ‘Libor currency’ could boost submission incentives and make process more secure
The Fed’s heavy hand on economic equality
Monetary policy and bank regulations contribute to widening US wealth gap
Monthly op risk losses: MetLife suffers $510m pension reversal
Also: UK credit card mis-selling; Italy crypto loss; LendingClub class action settlement. Data by ORX News
Swaps data: breaking down CCPs’ $750 billion funding bill
Amir Khwaja of Clarus FT considers how initial margin, variation margin and default fund contributions can quickly add up
XVA: back to CVA?
Fundamental questions on CVA remain unanswered, writes mathematical finance head
Cash no longer king in European swaptions
Barclays executives explore weaknesses of current pricing formulas for cash-settled swaptions
Not the top 10 op risks
From gender discrimination to the next PPI, a veteran manager looks at forthcoming potential op risks
Credit data: a tough year for South African financials
Default risk rose steadily for 36 firms during Zuma’s final months of rule, writes Credit Benchmark’s David Carruthers
Swaps data: the monopoly effect in clearing
There are only a handful of products where clearing volumes are evenly split between rivals
Credit data: Brexit gloom lifting for UK companies?
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
Three ways to improve stress testing
Better scenario choice, iterative testing and top-down approaches could improve performance, says Ahraz Sheikh