Risk magazine - Mar 2026
Cover detail:
Georgie Mason, Being
www.anne-mariebainbridge.co.uk
am.b@btopenworld.com
Articles in this issue
US blows the floors off Basel III
Barr criticises “downward deviations” in US rule; Bowman rejects “blind adherence” to global standards
FRTB models find salvation in US Basel III proposal
Changes to P&L attribution test and NMRFs make IMA viable for US banks, risk managers say
Leaked EU plans offer extra temporary relief for FRTB models
Risk factors would need only two observations to be modellable. Do changes foreshadow US Basel III?
Hedge funds stopped out on euro steepener amid Iran conflict
Gas price rises flattened 10s30s euro swap spread, forcing investors to cut positions
Hopes rise for cross-product netting under SA-CCR
Banks want rule change in Basel III endgame to lower capital costs of clearing UST repos
Rising reliance on internal auditors spooks regulators and industry
Risk managers warn US is substituting supervisors with auditors; could compromise independence
LSEG’s TradeAgent to challenge swap confirmation monopoly
Post-trade platform aims to extend clearing efficiencies to bilateral markets beyond SwapAgent
People: Citadel and Brevan snag banks’ top traders, and more
Latest job changes across the industry
Financing Connect: real-time optimisation in private credit financing
J.P. Morgan’s Financing Connect, part of its Vida platform, reflects a shift towards structured data and scenario-driven analytics
Top 10 operational risks for 2026
Industry shares intel on biggest collective threats, as well as remedies and loss gauges
US regulators bid to save FRTB IMA, but it’s no small task
Even if industry wish-list is granted, a 2028 start date might be too soon for model adoption
Iran selloff wipes out dispersion profits
Popular indexes down 5% in March, despite low realised correlation; some short bets see gains
Deutsche Bank CRO’s year of living dangerously
Marcus Chromik explains his approach to geopolitical risk, operational resilience and AI adoption
New LLMs are proving to be surprisingly good quants
Strides in AI’s ability to do maths mean models can plausibly help with research
EU can handle energy price pressure – it’s been here before
Reforms made after Russia’s invasion of Ukraine have made region more resilient to energy shocks, officials say
Interest rate crosswinds buffet IRRBB teams
Political intervention and rapid-fire law changes are skewering bank models for forecasting cashflows
Industrialising the challenge process: AI in operational risk scenario analysis
How structured modelling and AI could help industrialise the challenge process
Could prediction markets go wholesale? Exchanges think so
Some venues are exploring demand for institution-focused product; others say wholesale users can play in retail space
Offshore bonds to give China lifers a yield lifeline
Expansion of Bond Connect scheme will provide higher yielding assets for life insurers, and may ease concerns over asset-liability management
Long way round: EU banks lament credit spread saga
EBA ditches some of banks’ preferred qualitative reasonings – and shortcuts – for CSRBB exclusion
Mob rule: populism’s rise pits banks against the people
Trump and fellow mavericks are reshaping politics, leaving banks scrambling to adjust to new and unpredictable risks
After market whipsaws, banks put new twist on QIS options
Variable strike options aim to catch recoveries after volatility spikes
What futures and options say about the cost of war
Spot prices reveal major disruption, futures indicate this will pass, options imply ongoing instability
FRTB internal models: quo vadis?
Two risk experts explore how to adjust the FRTB framework to promote internal model usage
Beyond epicycles: models must describe markets, not just fit them
Modelling needs to embrace complexity in volatility patterns, says Jean-Philippe Bouchaud
For collateral, can TINA become TIA?
US Treasuries’ dominance as collateral in repo and derivatives is no longer set in stone, argues economist
YCC, carry trades and the changing role of the yen
Marcello Minenna argues that as the BoJ adjusts its policy regime, changes in carry positioning are increasing the instability of the correlation between exchange rates and yield differentials
US Treasuries clearing: a new era
What will the SEC’s clearing mandate mean for your firm? Explore the latest updates and analysis around clearing models, collateral requirements, risk tools and market structure
A smooth fit for complex volatility surfaces
Quant shows a new way to capture implied vol with optimisers
