Latest Risk Management
Climate stress tests are cold comfort for banks
Flaws in regulators’ methodology for gauging financial impact of climate change undermine transition efforts, argues modelling expert
ECB official leaves door open to liquidity aid for non-banks
Risk Live: Deputy director doesn’t rule out copying UK plan to extend repo facility to pension funds and life insurers, but no imminent plans
Banks must loosen up on ChatGPT use – risk chiefs
Risk Live: ’Shadow use’ and inability to attract new hires mean restricting access to GPTs is untenable
Rate risk modellers relieved as EU deposits stay sticky
Banks feared retail deposits would be flightier than during previous periods of rate hikes
Rough patch: CrowdStrike sparks an auto-update debate
Automating software updates helps keep hackers at bay but can introduce op risk; banks balance the two
The post-Archegos risk model rebuild begins… slowly
Following regulatory prodding, banks start to overhaul counterparty risk models. A flurry of new research on the topic may aid the effort
Margin models
Eurex default fund reshuffle leaves members frustrated
Clearing members say concentration margin add-ons would be fairer than buffer on all portfolios
Margin calls jumped threefold as global markets sold off
FCMs claim no client defaults, but episode revives complaints of procyclical margining
Ice postpones migration to VAR in bid to improve offsets
Clearing house will move on freight products before energy, as users fret over margin spikes
VAR migration postponed at LME amid nickel crisis review
Clearing house faces tricky balance between arbitrage trades and corporate metals hedging
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Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
Mizuho Americas has highest non-core funding ratio of any US bank
High-level measure of duration mismatch is three times that of next bank, BNP Paribas USA
Op risk benchmarking
Op Risk Benchmarking 2024: the G-Sibs
Eleven large banks feature in round II, with new data points on first-line risk teams, taxonomies and AI adoption
On geopolitical risk, G-Sibs choose their battles
Conflicts – both existing and threatened – raise concern among banks, but many are still grappling to weave the risk into their frameworks
Cyber insurance costs still rising, say big banks
Op Risk Benchmarking: Cost of covering same exposure as last year now “somewhat” or “significantly” higher
Tired of fat-finger blunders, G-Sibs turn to robots for help
Big banks speed up shift towards control automation and AI adoption to counter costly human errors, Benchmarking survey finds
Bankers hope EBA op risk taxonomy will go global
Proposed update to 20-year-old risk map is welcomed, but international co-ordination urged
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