Risk Quantum
Latest Risk Quantum
Ice CDS volumes surge as investors hedge Iran shock
Single-name volumes outpace indexes as investors target specific risks
Oil clearing volumes surge at Ice, CME
Ice Europe nears Brent clearing record midway through March
Oil producers hedge rally with Brent shorts
Energy firms hedge oil spike as funds position for further gains
Methodology change drives Eurex liquidity obligation to record
Limiting offsets to private-sector securities pushes estimated hypothetical obligation up 79%
FCMs held record customer funds on eve of Iran war
F&O funds climbed 6% in February as seven brokers set new records
Risk Quantum database
Risk Quantum readers have access to some of the datasets behind our articles – not just the segment of data that is the focus for the story, but the full time series for all covered firms.
The available data covers hundreds of metrics from 144 banks, 17 central counterparties and 24 FCMs.
Middle East crisis
Oil clearing volumes surge at Ice, CME
Ice Europe nears Brent clearing record midway through March
Oil producers hedge rally with Brent shorts
Energy firms hedge oil spike as funds position for further gains
FCMs held record customer funds on eve of Iran war
F&O funds climbed 6% in February as seven brokers set new records
Iran strikes a stress test for CCP margin models
CME’s Span2 and Ice’s IRM2 are performing as advertised. The next few days could test their mettle
Risk Quantum in-depth
How window-dressing distorts US repo markets
Banks crush their repo balances periodically to massage systemic indicators, with far-reaching consequences for borrowing rates
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
The IMA map: charting market risk capital under Basel 2.5
The current market risk framework refuses to be superseded. Risk.net dissects banks’ disclosures to explore how trading book capital requirements have evolved
A peek under the hood of Canadian banks’ new CVA machine
Disclosures from the country’s top dealers offer first glimpse of how FRTB reforms can reshape capital gauge for potential losses on derivatives
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