Latest on Risk management
Low pricing of inflation swaps takes buy side by surprise
Dealers expect inflation to peak sooner, but investors remain sceptical
Banks struggle to assess climate impact on op risk
Supervisors have provided less stress-testing guidance for op risk than for credit risk
Interest rate scenarios: skinny-dipping with the Fed
As US rates march upwards, Risk.net readers offer deeply diverging forecasts on the impact for markets through to 2024
Latest
Quotes
If there was a migration of derivatives clearing from the UK to another third country, it may actually even worsen the status quo
Klaus Löber, European Securities and Markets Authority
There will be one figure that will be published that the markets can use in their assessments of the EBA stress-test outcome and that supervisors can use for setting the pillar 2 guidance
Capital expert, European bank
We are testing portfolio losses under extreme and sometimes implausible scenarios. We are shocking a few of our contracts at 1,000%
Head of risk, large US clearing member
Editor's Choice
Banks temper credit loss models by editing Covid narrative
Faced with geopolitical chaos and signs of recession, expected credit loss models need to adapt fast
Big Figure
Funny money
A senior risk manager at a large US bank describes the rates offered by crypto lenders as “ridiculous”. “Where’s this money coming from?” he asks. “What’s generating that interest?” The yields were theoretically backed by loans to firms trading digital assets. But the supply of deposits outstripped demand for loans among well-capitalised borrowers, forcing lenders to relax standards to generate income.
Read the full articleInvesting
Pension funds brace for end of BoE intervention
Funds boost collateral buffers by as much as 300bp, as October 14 deadline looms
Receive this by email
Comment
Rost Bank rumbled – execs conspired in 107bn ruble ruse
Is stochastic cross-currency basis a better way to model IM?
Our Take
Net-zero pledges bring big unknown for credit risk
Nickel debacle weakens UK’s case on clearing supervision