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LCH tightens harness on market experts in defaults
CCP sets punctilious rules for loaned traders to be ready for defaults – or to pre-empt them
Resampling ‘slashes’ credit risk VAR underestimates
Academics claim Vasicek model’s underestimation tendency can be slashed to near-zero
Is there safety in numbers for op risk? One regtech thinks so
Acin’s library of op risks allows banks to compare their controls with their peers’
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Quotes
Can you imagine what effort we will have in the risk division when we start to validate – and in part we already do – all these AI and ML algorithms, with all that voodoo introduced in those models, where people calibrate a learning rate based on experience, instead of scientific evidence?
ML models are already spelling new challenges for risk managers, UBS CRO Christian Bluhm told Risk Live attendees
There is a temptation for the regulators to try to regulate conduct – and I think that’s wrong; that’s not the right way to go. When you regulate conduct risk, it becomes a box-ticking exercise
John Lee, chief executive of Maybank Singapore, calls for better regulation of conduct risk from Apac watchdogs, not more regulation
It is amazing how many people have arguments on chat – between sales and trading over who is responsible for a loss, for example, if they have to report it, say, within 24 hours. We can just look at the chat and flag it to operational risk
Andrew Brodie, global head of front office conduct surveillance at BNP Paribas, listing some eavesdropped chats at OpRisk Europe
Editor's Choice
Ice, CME set to launch new VAR models in early 2020
Bourses plan to switch margining of energy futures at different times, prompting speculation of “arbitrage opportunities”
Big Figure
Still going rogue
Despite slipping a place on Risk.net’s 2019 list, theft and fraud is still many operational risk manager’s worst nightmare. The idea of a massive heist by enterprising hackers, mercenary employees or plain old bank robbers, possibly followed by fines and penalties, keeps the category near the top of the op risk survey year after year.
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Comment
Operational resilience means learning from failure
Don’t fear the clearer
Our Take
Fixing the roof while the sun – wait, is that rain?
Getting risk models runway ready