Opinion
Three ways to model liquidity risk
Deriving synthetic bid/ask spreads offers a new approach to a thorny problem
When it comes to correlation, cleaning is a chore that pays
Recent trends in research may help firms obtain reliable correlations from limited data
FRTB, Eurex and swap spreads
The week on Risk.net, March 25 – 31, 2016
Crying wolf on CVA?
Standardised approach will hit corporates – but it's not clear that capital will jump
Dealers 'getting very creative' ahead of FRTB implementation
FRTB will force banks to rethink the structure of their businesses
Internal modelling, CVA and CDS clearing
The week on Risk.net, March 17 – 24, 2016
Why raiding CCPs’ initial margin would be bad policy
A wounded CCP should not have a claim on users’ assets, says hedge fund group
An encouraging shift in Asian LNG
Changes brewing in Asia are a reminder that trading can be a social good
Outsourcing can be beneficial, but it isn’t magic
Making use of third-party vendors changes your risk; it doesn't cause it to vanish
Putting a price on long-term life insurance business (part II)
Extending risk-adjusted performance metrics to take into account real-world investment returns
XVA, daily settled swaps and OpRisk North America
The week on Risk.net, March 11 – 17, 2016
Discarding the AMA could become a source of op risk
Basel Committee’s “tantrum-like reaction” is not supported by evidence, say practitioners
Libor, capital requirements and regulatory priorities
The week on Risk.net, March 4 - 10, 2016
CCPs must be able to haircut initial margin in a crisis
Initial margin is the best source of liquidity for CCPs in a crisis, argues Irish central banker
The shale revolution devours its children
After a few years of irrational exuberance, US oil drillers are feeling the pain
Regulation, risk-taking and responsibility
Supervisors “need firms to be profitable”, writes BoE’s Fisher
Libor reform: the sound of silence
Moves to push swaps off Libor have generated surprisingly little noise
The limits of the leverage ratio
Data from 30 European banks shows even 6% ratio would miss regulators’ stability target
Operational risk, LCR and XVA
The week on Risk.net, February 26 – March 3, 2016
KVA pushes accounting standards to the limit
Radical changes needed if banks are to account for cost of capital
Giving the Omega ratio a new lease of life
Johnson-Omega could change the way financial firms measure portfolio performance
Quant Ideas: How VAR can add value to energy market analysis
Alessandro Mauro shows how using value-at-risk can improve market risk analysis in the energy sector
Managing XVAs: from whack-a-mole to Mortal Kombat
Joined-up effort to tackle XVAs reflects growing impact of derivatives valuation adjustments
DVA, energy trading and auto-quoting
The week on Risk.net, February 19–25, 2016