Opinion
Swap termination, SA-CCR and the AFM’s push for fair treatment
The week on Risk.net, September 5-11, 2020
Op risk data: Revlon lenders won’t make up over Citi error
Also: Cyber fines on the up; and more fat-finger fails of yore. Data by ORX News
Time to move on from mean-variance diversification
A new diversification measure appears to produce better results than mean-variance optimisation
The long-term effect of Covid-19 on market risk capital
Covid-19 has replaced the global financial crisis in some banks’ stressed VAR calculations
Swap stays, FX clearing, and the value of real options
The week on Risk.net, August 29 - September 4, 2020
Power surge: the value of investing in renewables
Energy market expert investigates ways to forecast future power prices and capture rates in order to value renewables PPAs
XVA traders have no time to rest on laurels
Markets have calmed, but they may not be out of the woods yet
The unintended impact of swap stays on financial stability
As swaps leverage shrinks, bankruptcy stay rules are not guaranteed to reduce systemic risk, says economist
Valuing scenarios with real option pricing
Risk managers could use Black-Scholes to help drive strategy, writes René Doff
To make sense of complex systems, send in the agents
Standard quant models cannot comprehend a radically complex reality, writes Jean-Phillippe Bouchaud
Stablecoins, term Sonia and skin in the game
The week on Risk.net, August 15-21, 2020
Stress testing, home working and the move to €STR
The week on Risk.net, August 8–14, 2020
Op risk data: Goldman 1MDB settlement swells 2020 loss tally
Also: Deutsche fined over Epstein KYC failings; collateral fraud in focus. Data by ORX News
Rising Level 3 assets threaten bank profits
Dealers are relying on in-house models to value large amounts of complex structured products
Covid liquidity, block trades and Fed op risk
The week on Risk.net, August 1-7, 2020
Spotting co-movement breakdowns with neural networks
Autoencoders can detect changes in relationship between assets in real time
Mifid swaps, VAR and buy-side Covid lessons
The week on Risk.net, July 25–31, 2020
The unintended impact of collateral on financial stability
Initial margin requirements for OTC derivatives can increase risk of contagion, writes economist
Why Asia needs to talk about SOFR
Focus on local benchmark reform is “distracting” Asia’s preparations for the end of USD Libor
FX swaps clearing redux
SA-CCR could unleash the potential of clearing, and may ignite some big changes
Climate risk, ethics, and mega-bankruptcies
The week on Risk.net, July 18-24, 2020
Collar financing, low op risk losses and ESG data
The week on Risk.net, July 11-17, 2020
Op risk data: Losses plummet during lockdown
Also: Wirecard dominates legacy losses; SEB hit with massive AML fine. Data by ORX News