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Industry expects US FRTB proposals by year-end
Fed likely to co-ordinate progress with EU, which may also accelerate its timetable
Post-Woodford, State Street has an idea on liquidity risk
You’ve heard of the liquidity coverage ratio. Try the ‘redemption coverage ratio’ for funds
Aussie regulator signals tougher misconduct stance
Asic warns it will use new powers to punish misconduct in wake of excoriating Royal Commission review
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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.
Total remuneration for us is a function of initial margin, as we often charge clients basis points on the IM figure. Secondly, it reduces our risk because it cuts down our economic CVA equivalent, and thirdly, it reduces our cost of capital. All this creates an appropriate tension between CCPs and FCMs
A senior risk manager at one large FCM hopes CME’s new margin model won’t lead to a drop in margins
Editor's Choice
A look under the hood of Span 2, CME’s new margin engine
VAR-based framework has new ways of netting contracts and setting volatility floors and more
Big Figure
Looking for harmony
An effort to harmonise op risk capital rules around the world appears instead to be another case of regulation fracturing into national variants right out of the gate. Critics argue an unco-ordinated approach from different regulators could continue the current disparity in op risk capital levels between banks both within and across jurisdictions, evidenced by the very different percentages of total capital for which operational RWAs account at the moment.
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Comment
FRTB internal models in fight for survival
Lessons from a decade of top 10 op risks
Our Take
Span 2: a fine balance
Backtesting expected shortfall: mission accomplished?