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In downturns, vol travels down the supply chain – study
Customer VAR breaches strike at stressed suppliers, research shows
Margin scuffle at Eurex blurs lines between risk and returns
Disagreement over liquidity risk add-ons may owe more to self-interest than risk management
Count them in? Big US banks mull PCAF carbon standard
BofA, Citi and Wells Fargo looking to adopt emissions standard popular with EU lenders
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.
Why were they not better prepared for it? It’s not like it’s only in the last 48 hours that people realised oil prices could go negative.
A source at one of CME’s largest clients asks why the bourse faced operational delays on the day it replaced its oil options model.
Editor's Choice
Bachelier – a strange new world for oil options
Model tuned to negative prices has implications for pricing, margining and delta hedging
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
Climate charges, CCP contagion and the post-Libor world
The week on Risk.net, May 23-29, 2020
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Comment
Regulatory lenience over Covid-19 must be carefully judged
‘Ostrich approach’ to financial stability is a mistake
Our Take
Margin scuffle at Eurex blurs lines between risk and returns
Blurred lines in bank capital standards