Latest on リスク管理
Banks hold 73% of liquidity buffer in cash and level 1 assets, on average
Largest lenders hold highest share of central bank reserves in buffer, latest analysis shows
EBA supports global op risk taxonomy, but it won’t happen soon
New EU framework designed to ease adoption by banks; other jurisdictions have different priorities
EVE and NII dominate IRRBB limit-setting
ALM Benchmarking study finds majority of banks relying on hard risk limits, and a minority supplementing with early-warning indicators
Latest
Quotes
A minimum premium might have been $5,000 per million of coverage three or four years ago. That same layer might have gone for $25,000 per million in 2022
Adam Lantrip, CAC Speciality
You don’t know what cards the hackers are holding, unless you have really sophisticated firewalls and detection systems, you don’t know if they’re bluffing or not
Source at bank affected by the Ion cyber-attack
If you have locked in profits on an LME position, you can theoretically completely offset initial margin with your gains
Jo Burnham, OpenGamma
Editor's Choice
Ice Clear Credit may face Esma review as euro CDSs migrate to US
Upgrade in systemic status would depend on extent of migration from UK-based Ice Clear Europe
Big Figure
Last man standing
Following the exit of Bell Potter Securities from the Australian energy market, clearing members at ASX have become concerned that the domestic market has become heavily concentrated in Macquarie.
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Comment
Options liquidation can be costly. How costly?
Op risk data: Cerberus fight bites $850m off CIBC
Our Take
Was Archegos default a one-in-a-million event?
What happens when a bank drops off the systemic risk radar?