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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
Dollar cost averaging won't work for energy hedging
Long periods of losses make strategy impractical, says energy consultant
Monthly op risk losses: AML failings cost banks $1.1bn
Also: Japanese crypto exchange loses ¥58 billion in hack; Deutsche, UBS, HSBC settle spoofing claims. Data by ORX News
Time to move on from risk-neutral valuation?
Risk-neutral valuation could be replaced by models with a subjectivity element, writes mathematical finance head
Brexit issues for carbon market must be solved soon
UK departure from EU ETS is causing headaches for energy traders and risk managers, writes energy consultant
Bull run shows up differences in factor strategies
Market exposure, factor construction and risk budgeting have impact, writes Luc Dumontier of LFIS
Forecasting crypto crashes with bubble analysis
Analysis finds bubble signals in bitcoin and ether, write trio of quant risk managers