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Time for a (proper) G-Sib speeding ticket
Fed’s systemic risk assessment has become box-ticking exercise, and US banks are getting away with it
Credit data: Italian banks find themselves at a crossroads
Political chaos in Italy could undermine the banking sector’s recent improvement
FRTB capital levels, model risk and Korean linkers
The week on Risk.net, August 31–September 6, 2019
People moves: Deutsche hires new treasury unit head; markets role for Barclays’ Pecot; Penney leaves HSBC, and more
Latest job changes across the industry
Backtesting expected shortfall: mission accomplished?
A rigorous backtest for ES cannot exist, but a good approximation might do the job
Structured products – The ART of risk transfer
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
The future of emerging markets – 30 years on from the launch of the MSCI Emerging Markets Index
For the past 30 years, emerging markets have provided return enhancement and risk diversification opportunities for global equity investors. The opening of the domestic Chinese capital market and its integration into international markets is likely to…
Evaluating the impact of Libor fallback
The planned discontinuation of Libor and other interbank offer rates (Ibors) in 2022 will affect a large number of existing financial contracts based on these benchmarks. According to some estimates, Libor-based contracts – such as interest rate swaps,…
Beyond market equilibrium – The future of active investing
Asset owners use indexes as policy benchmarks and reference portfolios in their asset allocation. Index investors track cap-weighted indexes that seek to capture the market return. Active investors select securities and build portfolios that aim to…
Virtue bonds, Hong Kong FRTB and letting go of Lehman
The week on Risk.net, August 24–30, 2019
Asia moves: Barclays picks Pecot as markets head, new Australia CEO for Credit Suisse, and more
Latest job changes across the industry
Op risk taxonomy, a Euribor futures spike and Sonia swaptions
The week on Risk.net, August 17–23, 2019
Asia’s ETF assets on the rise – HKEX presents the results of Asia ETF survey 2019
Asia’s total ETF assets surged by 23.9% in the first half of 2019 thanks to an increasing adoption of ETFs into investment portfolios. According to a survey conducted by Hong Kong Exchanges and Clearing (HKEX), asset expansion in Asia’s ETF market is set…
Default auctions, Libor replacement and op risk capital
The week on Risk.net, August 10–16, 2019
People moves: Ritchie steps down at Deutsche; Lynch takes Emea role at TP Icap, and more
Latest job changes across the industry
Deep hedging, robot quants and last look
The week on Risk.net, August 3–9, 2019
Swaps data: Fed’s change of tack on rates fuels volume rise
Cleared dollar rates jump by half year-on-year, as LCH market share tightens
Trading venues could help enforce the forex code
ECNs have the power to boost last look disclosures, but aren’t keen to be the code police
Credit data: no-deal Brexit threatens UK retail sector
Italian credits are improving, but banking sector is not out of the woods yet
Podcast: McClelland on why you need a good MVA model
Numerix quant presents a model aimed at showing the total cost of a trade
The machines are coming for your pricing models
Deep learning is opening up new frontiers in financial engineering and risk management
