Latest Risk Management
Could Trump presidency herald $27bn margin call on World Bank?
A group of 50 conservative organisations has released a policy road map that urges the next US president to cancel the country’s membership of the World Bank. If the next president is Donald Trump – and if he heeds the group’s calls – the World Bank could face a credit rating downgrade and a whopping margin payment on its half-trillion-dollar derivatives portfolio.
Supervisors use generative AI to tame ‘chaotic’ data
Officials merge credit databases with unstructured reports to sharpen bank oversight, explains Banco de España ex-deputy
Estimated stress losses at CME, Eurex and LCH surge to record high
Latest projections likely behind increases in contributions to CCPs’ default funds in Q2
Op risk data: Shady loans robbing Reliance of $1.1bn
Also: H20’s less-than-liquid holdings, Ripple ripped for $125m, and more WhatsApp slaps expected. Data by ORX News
Backtesting correlated quantities
A technique to decorrelate samples and reach higher discriminatory power is presented
The post-Archegos risk model rebuild begins… slowly
Following regulatory prodding, banks start to overhaul counterparty risk models. A flurry of new research on the topic may aid the effort
Margin models
Eurex default fund reshuffle leaves members frustrated
Clearing members say concentration margin add-ons would be fairer than buffer on all portfolios
Margin calls jumped threefold as global markets sold off
FCMs claim no client defaults, but episode revives complaints of procyclical margining
Ice postpones migration to VAR in bid to improve offsets
Clearing house will move on freight products before energy, as users fret over margin spikes
VAR migration postponed at LME amid nickel crisis review
Clearing house faces tricky balance between arbitrage trades and corporate metals hedging
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.
UniCredit-Commerz merger could spawn sixth-largest EU G-Sib
Analysis of banks’ risk indicators suggest combined entity could have larger systemic footprint than ING and BPCE
Op risk benchmarking
Op Risk Benchmarking 2024: the G-Sibs
Eleven large banks feature in round II, with new data points on first-line risk teams, taxonomies and AI adoption
On geopolitical risk, G-Sibs choose their battles
Conflicts – both existing and threatened – raise concern among banks, but many are still grappling to weave the risk into their frameworks
Cyber insurance costs still rising, say big banks
Op Risk Benchmarking: Cost of covering same exposure as last year now “somewhat” or “significantly” higher
Tired of fat-finger blunders, G-Sibs turn to robots for help
Big banks speed up shift towards control automation and AI adoption to counter costly human errors, Benchmarking survey finds
Bankers hope EBA op risk taxonomy will go global
Proposed update to 20-year-old risk map is welcomed, but international co-ordination urged
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