Latest on Risk management
ECL model forecasts are off-target, researchers find
Anticipated slowdown will be first major test for new generation of expected credit loss models
Rost Bank rumbled – execs conspired in 107bn ruble ruse
Also: Citi stumbles on market abuse; Jefferies faces latest fine over phone misuse. Data by ORX News
EU banks add overlays as crises evade modelling
Lenders buttress provisions against unpredictable fallout from Russia's invasion of Ukraine
Latest
Quotes
If there was a migration of derivatives clearing from the UK to another third country, it may actually even worsen the status quo
Klaus Löber, European Securities and Markets Authority
There will be one figure that will be published that the markets can use in their assessments of the EBA stress-test outcome and that supervisors can use for setting the pillar 2 guidance
Capital expert, European bank
We are testing portfolio losses under extreme and sometimes implausible scenarios. We are shocking a few of our contracts at 1,000%
Head of risk, large US clearing member
Editor's Choice
Banks temper credit loss models by editing Covid narrative
Faced with geopolitical chaos and signs of recession, expected credit loss models need to adapt fast
Big Figure
Inflation clouds gathering
Investors responding to our 2022 annual survey are more pessimistic about the ability of central banks to manage inflation successfully without either excessive price hikes or a dramatic slowdown. Those contradictory fears have also led to a much wider range of expectations about where inflation is heading.
Read the full articleInvesting
Shifting rates throw bond investors off balance
Dearth of bond liquidity forces some traders to offload positions – but, as ever, others are waiting to pounce
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Comment
Rost Bank rumbled – execs conspired in 107bn ruble ruse
Is stochastic cross-currency basis a better way to model IM?
Our Take
Net-zero pledges bring big unknown for credit risk
Nickel debacle weakens UK’s case on clearing supervision