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Latest on Risk management
ABS set for revival under US Treasury’s liquidity buffer plans
Allowing securitisations to count towards LCR and NSFR buffers could boost ABS market
Quants stymied by lack of alternative risk premia flows data
Data shortage is hampering efforts to model futures market liquidity
Capital buffers needed to combat price bubbles, says Jarrow
Banks should carry extra capital to combat distortive effects of price bubbles, says academic
Latest
Quotes
The biggest challenge we face is: how do we manage our NSFR rule [compliance] in the US? Thanks to Trump, we don’t know when it’s going to be launched
Krishna Srinivasan, Barclays
We don’t want the entire industry to just use our models. We want them to use their own models and to innovate to create better models
Timothy Clark, retiring Fed deputy director
On the 20% add-on, I haven’t met a single regulator who actually stands behind it and says, ‘yes this is the right measure for the risk and should be in there’
Senior treasury executive at a UK bank
Editor's Choice
Fed’s outgoing CCAR chief defends stress tests
Timothy Clark rebuffs US Treasury recommendations; supports more transparency
Big Figure
A reduction in RWA
Credit Suisse is aiming to sell off or restructure business lines in its Strategic Resolution Unit in an effort to reduce its overall regulatory capital. To this end, it is in discussions with the Swiss regulator over a plan to slash op risk RWA. How? Click the link below to find out
Read the full article7 days in 60 seconds
Ring-fencing, Brexit and Chinese commodity markets
The week on Risk.net, October 6-12, 2017
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