Opinion
CCP defaults, Pillar 2 charges and robo-raters
The week on Risk.net, November 9–15, 2019
Swaps data: CCPs – a systemically important market infrastructure
Disclosures show heavy concentration of initial margin in top three clearing services, writes Amir Khwaja
Climate change spells death of certainty
Global warming threatens to upend everything risk models take for granted
Credit data: US slowdown starts to bite for high yield
Credit quality in the US is turning, while the UK is sliding sharply, writes David Carruthers
Quants bring ‘triptych’ of variables to risk measurement
Risk and portfolio managers at La Francaise and LFIS are squeezing more information out of stress tests
Swiss banks ask, how about a magic trick?
Banks pull off an accounting trick – with the help of their regulator
Banks feel chill of exposure from Fed’s SCCL
US rules on counterparty credit limit pose challenges for risk and regulatory teams despite proposed delay, says expert
Repo madness, FRTB and swaptions switch
The week on Risk.net, November 2–8, 2019
Plumbing problems in the repo market
On September 17, three banks may have sucked up nearly a quarter of money market fund cash
Op risk data: $250m legacy loan frauds hit Bric banks
Also: costs from post-2012 cyber breaches top $2bn. Data by ORX News
How slower growth in China could threaten financial reforms
Low GDP could mean reforms are forgotten
French banks, jump-to-default and STS for synthetics
The week on Risk.net, October 26–November 1, 2019
Better risk reporting doesn’t need an IT upgrade
By revisiting certain calculations, new insights into risk and profit drivers can be gained, says data scientist
Stress-testing: still worth the stress?
There may be more efficient ways to assess if banks are misjudging their risks
Stress tests, risk-free rates and cross-currency swaps
The week on Risk.net, October 19–25, 2019
Europe’s new default rules: a defined benefit?
EBA’s single definition of default will have multiple effects for credit risk management, say consultants from PwC
Systematic investing, the value factor and Hong Kong swap rates
The week on Risk.net, October 12–18, 2019
UK swaps carrot for stick in Libor switch
BoE committee mulls policy action, which could include capital hikes on Libor exposures
Brexit disruption, fire sales and climate risk
The week on Risk.net, October 5–11, 2019
Futures rise to the occasion as SOFR surges
It's SOFR's time to shine
Swaps data: are the new RFRs on track to replace Libor?
Progress on volumes of SOFR and Sonia swaps and futures
US clearing houses need not take collateral damage from Brexit
There are signs the US and EU will pull back from the brink in dispute over CCPs
Credit data: sustainable companies are better credit risks
When credit conditions deteriorate, companies with high ESG scores outperform