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Axoni readies blockchain platform for equity swaps
Service aims to smooth swaps reconciliation – ‘the Holy Grail’ – for Goldman, Citi and other backers
VAR lookbacks should shift dynamically, research suggests
Change-point analysis method helps identify regime shifts in equities markets, quants claim
At US G-Sibs, swap payments make up $178bn of LCR outflows
All bar one G-Sib see net derivatives cash outflows increase year-on-year
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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
What – CME’s moving away from Span? The Span we use? The Span everyone uses?
A senior risk manager at one CCP learns of CME Group’s plans to stop using its Span margin framework via Risk.
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
The great migration: CCPs ponder life after Span
As CME moves to a value-at-risk methodology, CCPs that license its model look on nervously
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
FRTB internal models in fight for survival
Lessons from a decade of top 10 op risks
Our Take
The machines are coming for your pricing models
Fixing the roof while the sun – wait, is that rain?