The eight US global systemically important banks (G-Sibs) increased their over-the-counter derivatives notional in the second quarter to levels last seen at the beginning of 2016. But they also cut their positions with other financial firms and overseas institutions after increasing them in the first quarter, reducing their overall systemic risk profile.

Total OTC derivatives notional among the eight banks stood at $222 trillion – a 2% increase, or$4.3 trillion, on the quarter. In the six

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#### Risk Management

###### Efficient simulation of affine forward variance models

Andersen's quadratic-exponential scheme is used for simulations of rough volatility models