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Latest on Risk management
Regulators bristle at slow progress on BCBS 239
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Goldman VAR dips on equities and rates risk
Average daily value-at-risk falls 12% from three-year peak in Q1
CCAR ‘apocalypse’ leads to excess bank capital, says lobbyist
Head of new trade body says Fed should average capital requirements over multiple scenarios
Latest
Quotes
In the aftermath of the global financial crisis, supervisory bodies have become much more concerned about maintaining appropriate liquidity in the local operating vehicle… Liquidity is less fungible than it was before the crisis.
Citi CRO Brad Hu talks liquidity risk
People think that because the results come from complex computer algorithms, they don’t have to do a lot of thinking and also they can trust them more. But in reality, the opposite is true. These are black boxes. Problems can arise if you use them blindly
Vijay Nair, Wells Fargo
[Boards have] gone from turning up once a quarter for a prawn sandwich to being down in the weeds of what you do
Stephen Creese, Citi, on risk committees in banks
Editor's Choice
OK, computer? Hurdles remain for machine learning in credit risk
Concerns over cost, applicability and oversight give pause to banks’ use of ML techniques in credit risk
Big Figure
Big Citi grows bigger
Citigroup was the fastest-growing swaps clearing broker in the 12 months to April 30, increasing the amount of client margin it was required to hold by 36%, while that required across all brokers grew just 14%. The US bank’s futures commission merchant also grew its share of required client margin – which can be used as a proxy for client clearing volume – to 27% of the total, up from 25% at end-2017 and 23% from April 2017.
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Comment
Model risk in the transition to risk-free rates
Simple models won’t cut it for systemic risk
Our Take
Bank boards: goodbye to the prawn sandwich brigade?
A real-life stress test for CCP margin