Risk.net
Latest on Risk management
EU banks seek FRTB delay, citing ‘strain’ of virus
Firms want leeway to fight market mayhem, minus burden of new reporting rules
Covid-19 frazzles AI fraud systems
Seismic changes in customer behaviour see machine learning solutions throw out false positives
LCH suffered longest operational outages of top CCPs in 2019
London-based LCH LTD said core systems were down for almost seven hours in 2019
Latest
Quotes
We had been expecting an increase in default rates, but Covid-19 is an accelerator. We are facing the next phase in the credit cycle, when default rates will rise between 50 and 100 basis points in 2020
Maurizio Pierigè, partner at risk consulting and software firm Prometeia
This is an argument for three day MPOR. Three days would provide better coverage, and [although] there are other ways to address it, you can’t just look at a one-day move
A senior manager at a large US FCM hopes an "unprecedented" number of margin breaches on futures contracts during the March market rout will lead to a change in margin policy at US CCPs.
The client had a specific strategy, trading US options and futures, and failed to meet the minimum risk and margin requirements following extreme stress and dislocations in US markets. To prevent further losses, ABN Amro Clearing decided to close out the positions of this client
ABN Amro, the state-backed Dutch bank, explains why it took the decision to swallow a $200 million loss when volatility hedge fund Parplus defaulted
Editor's Choice
Hedge fund Parplus said to be source of ABN’s $200m loss
New York-based volatility fund had close ties to defaulted prop shop Ronin Capital
Big Figure
Weathering the storm(s)
The difficulty of modelling natural catastrophes is getting more extreme with the march of climate change. Across the five largest loss events from 2018, average losses estimated by the market’s two largest providers of cat models – AIR ($15.75 billion) and RMS ($12.75 billion) – were roughly 65% below the true average loss figure of $40.3 billion.
Read the full article7 days in 60 seconds
RBS, dividend curves and system failures
The week on Risk.net, March 28-April 3, 2020
Receive this by email
Comment
Regulatory lenience over Covid-19 must be carefully judged
‘Ostrich approach’ to financial stability is a mistake
Our Take
A peek inside op risk managers’ coronavirus response
Apac CCPs: we’ve come a long, long way together