Opinion
Grand designs? Time to rein in the Pillar 2 project
Pillar 2 capital add-ons are becoming increasingly elaborate
Fire drills, initial margin issues and Libor replacement
The week on Risk.net, February 1–7, 2020
Secrets and Libor fallbacks
Lenders may be forced to reveal sensitive funding data when Libor disappears
Credit data: a sharp turning point in CCP credit risk
The credit risk of CCPs is worsening, even as margin requirements rise, writes David Carruthers
Taming the future: Hong Kong and China
Times are tough for Hong Kong, but it remains the best-positioned financial centre to access China
Climate stress, Libor triggers and life beyond silos
The week on Risk.net, January 25–31, 2020
Ripping up the old asset class labels
Outmoded classifications of securities may be concealing market risk. AI has a better idea
Disruption, CCP default and the latest Libor problem
The week on Risk.net, January 18–24, 2020
Signing the Libor fallback protocol: a cautionary tale
As Orwell’s Room 101 beckons for Libor publication, muRisQ Advisory’s Marc Henrard warns of a potential pitfall in the fallback protocol
Bank disruptors: tread carefully and bend things
How BofA, SocGen, JP Morgan, Nomura, UBS and others are disrupting themselves
Compounding, venue disruptors and the Fed’s stress buffer
The week on Risk.net, January 11–17, 2020
Op risk data: Regulator fines tumble by $5bn in 2019
Also: Julius Baer hit with $150m Cold War-era claim, Barclays pays $87m for bond rigging. Data by ORX News
When a lapse in concentration is no bad thing
Fortifying too-big-to-fail firms to withstand future crises could make the entire system more vulnerable
EU compounding confusion creates headaches for banks
With the fallback possibly illegal in some EU states, loan system updates may become more complicated
Swaps data: have SOFR and Sonia swaps and futures lived up to expectations?
Progress on volumes of SOFR and Sonia swaps and futures
Credit data: the retail apocalypse continues
Consumers are spending, but brick and mortar retailers continue to struggle
Allocation models that know their unknowns
Quants say probabilistic programming beats machine learning in balancing strategies
CCP risks, Sonia shift and CVA carve-out
The week on Risk.net, January 4–10, 2020
Small, speculative clearing members – are they worth the risk?
CCPs need new tools to scrutinise their members, for everyone’s good health
In factor timing, ‘where?’ matters as much as ‘when?’
Goldman quants’ thought experiment shows timing works best for low-Sharpe strategies
Margin test, open access, repo stress
The week on Risk.net, December 14–20, 2019
Zombie Libor, climate risk flaw, Mifid’s closed door
The week on Risk.net, December 7–13, 2019
Credit data: rising default risk for millennial companies
WeWork’s problems hint at the challenges facing companies focused on millennial customers
Hedging rate exotics, Bergomi-style
New paper by Nomura quant applies volatility model used in equities to exotic rate hedging