Risk Management
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Most banks stick to tried-and-trusted XVA models
Black Scholes- and Heath-Jarrow-Morton-based approaches dominate, with some exploring Copulas for wrong-way risk, post-Archegos
FICC to launch new default fund before UST repo clearing mandate
Clearing members expected to welcome FICC’s plans to separate loss mutualisation from margin
Destabilising: is stablecoin deposit drain a bank funding risk?
While some fear a trillion-dollar flight to stablecoin, others doubt crypto is an existential threat for banks
Op risk data: Ghost of Madoff still haunts HSBC
Also: Giant loan frauds hit three global banks, and AWS outage casts a cloud. Data by ORX News
XVA Benchmarking: explore the data
Take a deep dive into the findings of our 30-bank study, with interactive charts covering XVA optimisation, regulation and tech stacks
DFAST fashion: emerging trends from 12 years of US stress tests
The banks that breach buffers, the assets that perform best under stress, and other insights from Dodd-Frank Act stress-testing exercises
Clearing
Accounting fix brings FICC agent clearing a step closer
SEC accepts Sifma interpretation, but firms still need their own opinion and capital clarity
Swaps or futures? Clearers grapple with CME’s event contracts
New prediction contracts straddle the line between futures and swaps, Risk.net understands
Ice’s VAR migration reignites debate on margin levels
CCP says IRM 2 is more sensitive to portfolio risk, but banks fear increased risk to clearing members
Tariff volatility triggers record margin calls at global CCPs
Aggregate average VM call in Q2 eclipsed pandemic highs
Risk Quantum
Data insights, delivered daily
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.
Market RWAs climb to new highs at top Chinese banks
Bank of China, China Construction Bank and Shanghai Pudong Development Bank set records for second successive quarter
Operational resilience
Dora delay leaves EU banks fighting for their audit rights
Regulation requires firms to expand scrutiny of critical vendors that haven’t yet been identified
Ice Credit below availability target after six-hour op failure
May 5 outage longest since public disclosure began in 2015
ECB may force banks to rethink cloud just months after Dora
EU regulator pushes multi-cloud strategy for banks, but guidance will not be binding
Regulators zero in on third-party risk, resilience
In latest survey, 35% of banks say watchdogs have “significantly increased” focus on third-party risk, with reports of arduous inspections and growing resource strain
Future proof: can FMX-LCH platform prevail?
A year into FMX Futures Exchange, Treasury futures volumes are low, and firms aren’t cross-margining
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