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ICAAP/ILAAP – How can banks improve the process?
Regulators consider banks’ internal capital and liquidity adequacy assessment processes (ICAAP/ILAAP) – important tools in managing risk
Eurex takes ESG derivatives to a global level
Zubin Ramdarshan, head of equity and index product design, and Christine Heyde, product manager for environmental, social and governance (ESG) derivatives, Eurex, explore the firm’s decision to expand its range of ESG futures on European and global…
Ripping up the old asset class labels
Outmoded classifications of securities may be concealing market risk. AI has a better idea
Regulatory IM collateral segregation and the choice of triparty versus third-party
While the need to calculate and post Initial Margin grabs the headlines, so to speak, in terms of priorities for firms looking to comply with uncleared margin rules (UMR), there are many other issues for firms to consider.
Disruption, CCP default and the latest Libor problem
The week on Risk.net, January 18–24, 2020
Bank disruptors: tread carefully and bend things
How BofA, SocGen, JP Morgan, Nomura, UBS and others are disrupting themselves
Compounding, venue disruptors and the Fed’s stress buffer
The week on Risk.net, January 11–17, 2020
ICAAP/ILAAP – What’s new and what’s next?
The European Central Bank’s ICAAP and ILAAP guidelines aim to harmonise European banks’ approach to capital and liquidity management
People moves: NatWest Markets in senior shake-up, and more
Latest job changes across the industry
Podcast: Andrew Dickinson on CCPs’ defence mechanisms
Trades’ size limits, membership rules and more transparency key to avoid another CCP default
When a lapse in concentration is no bad thing
Fortifying too-big-to-fail firms to withstand future crises could make the entire system more vulnerable
EU compounding confusion creates headaches for banks
With the fallback possibly illegal in some EU states, loan system updates may become more complicated
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
Allocation models that know their unknowns
Quants say probabilistic programming beats machine learning in balancing strategies
CCP risks, Sonia shift and CVA carve-out
The week on Risk.net, January 4–10, 2020
Small, speculative clearing members – are they worth the risk?
CCPs need new tools to scrutinise their members, for everyone’s good health
Harnessing the benefits of more automated fx trade lifecycle operations
FX markets are unique not only in their scale but also in their complexity. There are multiple trading paradigms, and also multiple venues where trades may be executed. The FX ecosystem is highly fragmented and the case for more automation – more…
Margin test, open access, repo stress
The week on Risk.net, December 14–20, 2019
How AI can automate model validation testing and continuous monitoring
As the business environment becomes more complex – and as regulatory scrutiny increases – it has never been more crucial for financial institutions to ensure their models are robust and fit for purpose.
Smarter trading in a fragmented world
FX Week recently hosted a webinar in partnership with Refinitiv to ask foreign exchange industry leaders to discuss geopolitical challenges, market changes and developments, and evolving technologies, and how they have shaped forex markets in Asia
Coping with uncleared margin rules – the tricks, traps and tools
A unique insight on the evolving UMR strategies of 110 banks and buy‑side firms