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BoE plans to link system-wide and individual stress tests
Meanwhile, ECB wants to broaden system-wide stress models to include central counterparties
People: Balaÿ is new broom at CA CIB, Ungari swaps QIS roles at SG
Latest job changes across the industry
Cyber insurance costs expected to rise as loss ratios worsen
Recent ransomware and tech failure events could feed through into higher premiums this year
SG’s Ungari swaps research for structuring in new QIS role
Veteran researcher and strategist ‘putting things into action’ with new remit
The WWR in the tail: a Monte Carlo framework for CCR stress testing
A methodology to compute stressed exposures based on a Gaussian copula and mixture distributions is introduced
Fed’s proposed SCB tweak would free $20bn of capital at US banks
Averaging of stress test-based inputs over two years would reduce current add-ons by up to 60bp
Yen rates losses from tariff volatility top $1 billion
Pay fixed, curve flattener and vol steepener positions were hit hard as yields swung wildly
Markets are mispricing tariff uncertainty, say academics
Johns Hopkins economists warn of risk from changes to the ‘rules of the game’
Synthetic deals drive securitisation RWA surge at EU banks
BNP Paribas and RBI lead Q4 rise
‘This is not a wobble’: Brunello Rosa on the path to de-dollarisation
Digital currencies will play a central role as China challenges US hegemony, says economist
Repo clearing rule could raise SOFR volatility – OFR analysts
Analysis of 2022 data finds large divergence in tail rates but no change in median
One year on, EU banks get greener as GARs grow
Contentious green asset disclosures show improvements for most major European banks in 2024
Investors dip a toe back into Tips despite April losses
US inflation-linked bonds back in vogue as stagflation hedge
Europe’s Ucits funds: Made in the USA
Counterparty Radar: EU retail funds market is a prime example of Trump’s miscalculation on trade
China’s top banks bulk up liquidity as global peers trim buffers
US G-Sibs continue to trail with lowest median LCR since 2021
Goldman Sachs doubled FX trading revenues in 2024
Bumper Q4 powers bank to head of US dealer pack by foreign exchange revenue
OCC’s security chief on generative AI with guardrails
Clearing house looks to scale technology across risk and data operations – but safety is still the watchword
EU edges closer to calming FRTB fund-linked fray
Dealers say temporary solution is a step in the right direction but won’t fully resolve all issues
CFTC takes red pen to swaps rules, but don’t call it a rollback
Lawyers and ex-regs say agency is fine-tuning and clarifying regulations, not eliminating them
SVAR surges gird Europe’s trading books in H2 2024
UniCredit and UBS lead pack with hottest gauges in half a decade
EU firms fear dollar liquidity becoming tariff bargaining chip
Eurozone banks rely on dollars for 17% of funding; trade war escalation could affect access
Pimco’s $19 billion Sonia swaptions trade
Counterparty Radar: Bond giant springs up as largest player in space among US mutual fund managers, with Guggenheim shadowing its move
BNP Paribas tops European ship finance table with €20bn book
US tariffs cast shadow over banks’ shipping exposures
How Florida’s pension plan foresaw deglobalisation and trimmed its risk
Retirement fund reduced exposure to public equities more than a year ago
JPM boosts credit loss provisions to highest levels since 2020
Allowances up to $28bn driven by worsening economic outlook
Op risk data: Luna crypto chicanery shrinks Galaxy coffers
Also: Down under and dirty – motor finance scandal comes to Oz, and 2024 in review. Data by ORX News
Australian banks’ leverage exposures surge to new highs
ANZ leads pack as leverage ratios slide
HK warrant issuers optimistic on listing cost cuts
Inclusion of listing reform in second budget speech raises hopes for action on ‘expensive’ fees
Asia’s bond investors hesitant to buy US dip, say dealers
Insurers and pension funds have been slower to step in than usual during sell-off
Trump tariffs sent FX options traders on a wild ride
As US assets sold off, dealers found themselves on the front lines of a hedging scramble
Vanguard is new kid on the CDS options block
Counterparty Radar: Passive behemoth held a quarter of reported notional among US retail funds in Q4 2024
CCP default funds 35% larger than on eve of pandemic
Sixteen out of 25 clearing services had bigger buffers heading into the recent tariff turmoil compared to Q4 2019
Amid tariff turmoil, banks warned not to fudge IFRS 9 overlays
Flip-flopping US policies challenge loan loss provisioning models; EU regulators take watching brief
Why AI will never predict financial markets
Laws that govern swings in asset prices are beyond statistical grasp of machine learning technology, argues academic Daniel Bloch
Supervisors should be mindful of geopolitical risks, says IMF
Shock events cause sizeable swings in asset pricing, institution’s latest report highlights
JP Morgan’s equity and commodity VAR soar to five-year highs
Trading risk gauges jump 150% and 190% amid Q1 trading flurry
European Commission changes tune on proposed FRTB multiplier
Banks fear departure from original diversification factor undermines case for permanent relief
EMS vendors address FX options workflow bottlenecks
Vol jump drives more buy-side interest in automating exercises and allocations
US hedge funds post near-record low share of securities collateral
SEC data shows $3.66 trillion tied to posted securities at end-2024, down 10% in three months
Getting a handle on model parameters
Mean reversion in rate parameters opens the door to dimensionality reduction
Caramanli quits Ion, destination unknown
Current markets head Oliviero is said to have replaced outgoing chief product officer
Inside the week that shook the US Treasury market
Rates traders on the “scary” moves that almost broke the world’s safest and most liquid investment
How Trump’s trade talks may play out
SSGA’s chief geopolitical strategist on which tariffs stay in place and who blinks first in negotiations
Index CDS trading nearly doubles as tariffs spook market
Turnover ebbed in single-name contracts as iTraxx and CDX volumes climbed rapidly last week
Patience pays off for XVA desks in wild week of tariff swings
Dealers avoided knee-jerk reactions that could have caused credit spreads to widen further
Treasury selloff challenges back-office systems, data feeds
FIS and Trading Technologies suffered downtime during peak activity
Bowman won’t commit to stress-testing the tariff shock
Nominated Fed vice-chair stonewalls calls to run ad hoc scenario similar to 2020 Covid test
Market whipsaw spurs calls to rethink buy-side stress-testing
Risk Live Boston: Morgan Stanley and BlackRock urge rethink of scenario assumptions and top-down factor models
MSU endowment beats peers by ‘not minding that it hurts’
CIO Philip Zecher rides out tariff storm with long-term view; singles out ‘Mag 3’ tech stocks
Bond rout puts pressure on UST holdings at US banks
Banks leaned heavily on mark-to-market Treasuries before April’s sell-off
