United States (US)
Quant Finance Master’s Guide 2020
Risk.net’s guide to the world’s leading quant master’s programmes, with the top 25 schools ranked
Princeton tops Risk.net Quant Guide for second year running
UK’s Imperial ranks sixth; first university from mainland China features
Frustrated authorities resort to BCBS 239 ‘fire drills’
ECB and Finma lob impromptu data requests at banks, as BCBS 239 quietly permeates everyday supervision
Custody battle: competing tensions put IM prep in jeopardy
Conflicting custody interests and delayed docs call IM phase five readiness into question
At US banks, CECL effects differ wildly
Truist bank sees reserves leap +150%; average increase is +50%
Regulators urge buy-side action on Libor shift
ARRC set to release ‘checklist’ for buy-side firms, while FCA assesses exposures
OCC updates default auction rules to encourage buy-side bids
Clearer’s proposed changes follow client fears of being locked out
At Apple, derivatives notionals top $178bn
Credit loss amounts rocket on rate and currency fluctuations
LCH targets hardwired pre-cessation triggers
Proposal aims to align transfer pricing for cleared and bilateral markets in the event of split on ‘zombie Libor’ triggers
New pre-cessation poll likely as FCA quells zombie Libor fears
Minimal non-representative lifespan opens door for rerun of Isda trigger consultation
UK firms lead in cross-border loans to shadow banks
Entities based in the UK had 20% of outstanding global loans to non-banks
CECL drains $2.9bn from Capital One’s CET1
Core capital ratio to fall 16 basis points following switch to new accounting standard
CFTC urged to cement relief from a non-cleared margin rule
Industry seeks permanent right to specify two minimum transfer amounts: for initial and variation margin
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
On share buybacks, BofA leads US banks with $28bn splurge
In total, US G-Sibs spend 28% more on own shares in 2019 than previous year
Morgan Stanley unruffled by VAR model update
Quiet last quarter of 2019 saw average VAR down to $38 million
US Bancorp trimmed toxic assets in Q4
Non-performing asset rate falls to 0.28%
At Goldman Sachs, loan-loss provisions top $1bn
Loans up 11% in 2019, but provisions for credit losses surge 59%
Stress buffer will not upend Citi’s capital plans
CET1 capital at lowest level since Q3 2013
Legal woes dent Wells Fargo’s earnings
Of total operational losses in Q4, legal costs accounted for 79%
JP Morgan takes $2.7bn capital hit from CECL
Credit card portfolios see allowances for loan losses spike the most
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
Fed’s rush to complete stress buffer likely to unnerve banks
Quarles wants to include it in 2020 CCAR cycle, making bank capital planning difficult