Risk magazine
Princeton tops inaugural Risk.net quant master’s ranking
Course sees off competition from Berkeley’s Haas and three New York schools
Fed’s MBS exit surprises some with muted rates vol
Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared
People moves: SocGen adds in prime services, Deutsche fills new rates hole, HSBC makes model move, and more
Latest job changes across the industry
Regulators rethink Volcker overhaul to solve accounting glitch
Bankers urge cancellation of new definition of prop trades that could capture liquidity buffers
FICC takes firm grip of US repo market
Central counterparty wrangled more money market repo cash than banks did by end-2018
Fed economists float new way to project op risk losses
Researchers suggest combining firm’s size with loss history to best predict losses under CCAR
For US banks, billions in regulatory manna
The unwind should help mid-tier banks, but the G-Sib impact is a complex balancing act
IFRS 17 Special report 2019
The insurance industry has long been vocal about the need for a two-year extension to the International Accounting Standards Board’s (IASB’s) proposed 2021 implementation date for International Financial Reporting Standard (IFRS) 17 – the accounting…
Fed’s CECL relief falls short – regional banks
Banks won’t need to factor loan-loss estimates into DFAST through 2021; no word yet on CCAR
No bank would benefit from planned eurozone G-Sib waiver
Neither Deutsche nor BNP Paribas would move to a lower capital buffer, based on end-2017 data
VAR restrictions ‘will hit returns’ for sophisticated traders
VAR cap can be even more constraining than a short-selling ban, researchers find
Pooled resources offer way to keep credit models afloat
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
Taking the lead on financial crime regulatory compliance
Increased scrutiny of anti-money laundering and customer due-diligence procedures means banks must create more efficient and effective systems. A recent webinar conducted by Risk.net and IBM discussed how leading banks are utilising artificial…
Competing against Sifis ‘leads to higher risks’
But research finds weaker implied sovereign support reduces impact on non-Sifi competitors
LCH launches CDS exercise platform
CCP touts method for speeding up manual settlement process as rival Ice gears up for options launch
Citizens: tearing up the rule book
Super-regional’s CRO streamlines RBS-era lending rules to speed up credit approvals
Industry lukewarm on proposed ‘quick fixes’ to Priips rules
Many fear performance scenarios will remain misleading and expose providers to mis-selling claims
FX swaps to avoid year-end basis blowout, banks say
Earlier rollovers likely to ensure no repeat of previous cross-currency volatility
Degree of influence: are machines starting to learn finance?
This year's analysis recognises a turning point in machine learning applications
People moves: Asia hires at Credit Suisse, new UBS data role, NatWest takes UBS’s Duclos, and more
Latest job changes across the industry
Profit emergence under IFRS 17
Major changes are expected under the new IFRS 17 regime – insurance companies must make efforts to comprehend and communicate the full impact of changes to profit emergence under different scenarios, and its sensitivity to different methodology choices,…
The Garch linear SDE: explicit formulas and the pricing of a quanto CDS
A new closed-form approximation is applied to quanto CDS pricing