Risk magazine - Oct 2024
Risk’s October collection includes articles on signalling concerns, a new dawn for liquidity management, Fed stress test trouble, and much more.
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Articles in this issue
Banks must loosen up on ChatGPT use – risk chiefs
Risk Live: ’Shadow use’ and inability to attract new hires mean restricting access to GPTs is untenable
Clearing members rattled as CME approved to launch its own FCM
National Futures Association registration sharpens concerns about conflict of interest with CCP
CME files application for US Treasury and repo clearing
New entrant believes direct user access model will avoid accounting problem that hampers rival FICC
BNY to launch ‘done away’ UST and repo clearing service
Service aims to offer collateral efficiencies for tri-party repo, and create much needed clearing capacity
Simm casts off Covid pain for $40 billion IM reprieve
Recalibration cuts risk weights in equity and commodities, but some credit exposures double on ABX halt
Clearing houses fear being classified as Dora third parties
As 2025 deadline looms, CCP and exchange members seek risk information that’s usually deemed confidential
JPM eyes tokenised FX swaps on digital assets platform
New intraday currency swaps would cut settlement risk and bring capital benefits, architects say
People: All fall in at Citi, TD turbulence, and more
Latest job changes across the industry
Revolutionising credit surveillance: part one
Early warning indicators for credit risk changes are key, especially during high market volatility. Some of these indicators rely on security prices as the primary driver; however, the volatility of market prices may cause the early warnings to be active…
The curious case of the revealing orders
Oxford academics have found evidence pointing to collusion on a European exchange, but market-makers aren’t wholly convinced
Netting hurdles could decide the US Treasuries clearing race
Competing CCPs must resolve accounting and cross-margining obstacles to benefit from SEC mandate
Intraday FX swaps could signal new dawn for liquidity management
Seedling market could help banks pre-fund payments in near-real time and reduce HQLA requirements
How the rate hike cycle emboldened banks’ deposit modelling
But just because depositors didn’t react quickly doesn’t mean it will never happen
To liquidity and beyond: new funding strategies for UK pensions and insurance
Prompted by policy shifts and macro events, pension funds and insurance firms are seeking alternative solutions around funding and liquidity
August’s volatility thunderbolt rattles risk managers
Investment firms mull changes to value-at-risk models after never-before-seen spike in volatility index
What Goldman’s appeal victory means for Fed stress tests
Decision could embolden more banks to appeal, analysts say. But others believe result is one-off
Rough patch: CrowdStrike sparks an auto-update debate
Automating software updates helps keep hackers at bay but can introduce op risk; banks balance the two
Forward thinking: banks adapt P&L markout tools for FX forwards
Dealers modify market impact measurement to get better handle on profitability – and client value
Climate stress tests are cold comfort for banks
Flaws in regulators’ methodology for gauging financial impact of climate change undermine transition efforts, argues modelling expert
UST repo clearing: considerations for ‘done-away’ implementation
Citi’s Mariam Rafi sets out the drivers for sponsored and agent clearing of Treasury repo and reverse repo
Elevating financial crime compliance and data management through AI
Today, artificial intelligence (AI), process automation and strategic data management can effectively combat financial crime. However, the power can be in the hands of both good and bad actors
Nine jurisdictions yet to finalise Basel III rules
Turkey and South Africa worst laggards, with no final drafts published
G-Sib pair has largest TLAC shortfall since 2018
Basel monitoring report estimates €30bn below their fully loaded requirements
As Fed eyes rule change, over 50% of US banks’ securities held as HTM
PNC, BofA and Schwab report highest share among banks subject to LCR amid move to limit their role in liquidity buffers
Physical climate risk threatens 15% of EU banks’ property loans
Erste, Helaba, BPCE most exposed to chronic and acute risks linked to climate change
US primary dealers mark largest settlement failures to date under T+1
Hung-trade volumes hit highest in two years at the end of September
Pre- and post-trade TCA: why does it matter?
How CP+ powers TCA to deliver real-time insights and improve trade performance in complex markets
Quants dive into FX fixing windows debate
Longer fixing windows may benefit clients, but predicting how dealers will respond is tough
A comparison of FX fixing methodologies
FX fixing outcomes are mostly driven by length of calculation window
Quantum cognition machine learning: financial forecasting
A new paradigm for training machine learning algorithms based on quantum cognition is presented
