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Risk modellers navigate fearful new world of depositor behaviour
Silicon Valley Bank suffered fastest bank run in history, but how should others respond?
Eurex scrambles to avert Treasury collateral ban on US default
Current policy prevents CCP from selectively excluding eligible collateral
Op risk data: Frank fiasco costs JP Morgan $175m
Also: Internal fraud burns fewer fingers, but flame is far from out. Data by ORX News
Baruch topples Princeton in Risk.net’s quant master’s rankings
US schools cement top five dominance as graduate salaries soar
UBS found no advantage in quantum computing – ex data chief
Swiss bank tested various use cases in the trading business before giving up on the technology
Basel climate guidance leaves op risk managers in the dark
Banks still unclear on how to fit climate events into existing capital framework
Liquidity risk
Why tougher liquidity rules may not reduce the risk of bank runs
EU regulator and industry experts say LCR reform is the wrong response to Credit Suisse and SVB
Liquidity modellers clash on assuming central bank support
Experts disagree on whether internal stress tests should include emergency facilities
Doubts mount over BoE proposal to dilute bank liquidity rules
Before SVB collapse, UK suggested loosening NSFR reporting for smaller banks
Fed’s discount window comes in from the cold
BTFP offers zero haircuts on collateral, but long-term usage is not recommended
Risk Quantum
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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.
First Citizens leads regional bank rush for riskless assets
Share of 0% risk-weighted assets increases at small banks for first time in seven quarters
Top 10 op risks
Top 10 operational risks for 2023
The biggest op risks for the year ahead, as chosen by senior industry practitioners
Top 10 operational risks: Focus on cyber risk
All firms fear data breach; smaller banks also concerned over IT disruption
Top 10 operational risks: Focus on third-party risk
Ion hack deals industry painful reminder on drawbacks of outsourcing
Top 10 operational risks: Focus on regulatory risk
Tougher regulatory enforcement, new consumer rules and rise of ESG are ringing alarm bells
Banks find new uses for discarded FRTB models
Much-maligned IMA models are being upcycled and repurposed for internal risk management
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Counting down to dollar Libor transition
Managing inflation risk with hedging strategies
Managing a high-inflation environment with clearing
Action time on FRTB: is your bank ready for the data challenge?
Determining approaches to FRTB: weighing up the capital efficiencies
