Loss
Op risk data: Japanese restaurant payments firm swallows $700m loss
Also: Bank of Baroda fraud filing, Wells’ Ponzi woes, and Swedbank’s Panama Papers payout. Data by ORX News
Credit risk meets insurance risk: a unified framework
Extending the influential CreditRisk+ model for portfolio credit risk modeling, the authors propose adding a continuous-time extension to the model.
Improving data for managing cyber risk and building resilience
The authors investigate current and proposed cyber risk reporting requirement and describe the data gaps that remain before discussing how a better and harmonized cyber incident data collection rule could improve cybersecurity.
HSBC North America posted most loss-making days in Q3
The foreign IHC traded in the red 43 out of 64 days, the highest among 32 banks analysed
Asymptotic behavior of systemic risk based on the higher-moment capital allocation
The authors derive asymptotic formulas for systemic expected shortfall and marginal expected shortfall based on higher-moment capital allocation rules and show that systemic risk is asymptotically proportional to value-at-risk.
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
Santander loan portfolio hardest hit in EBA stress test
Simulated credit losses among 64 lenders top €394bn, up 14% from previous exercise
Ice US incurs $644m hypothetical stress loss shortfall
Double-member default in worst-case scenario would have overwhelmed CCP’s default fund
JPM boosts credit loss provisions to highest levels since 2020
Allowances up to $28bn driven by worsening economic outlook
US banks record spike in trading loss-making days in Q4
UBS Americas and Stifel lead banks in worst trading quarter of 2024
US banks’ unrealised losses surge by $33bn in Q4
Led by JPM, Wells Fargo and Capital One, every major bank reported higher losses in AOCI, in reversal of previous quarter’s recovery
US regionals predict prolonged AOCI burndown
Six banks adjust capital projections amid rising unrealised losses in Q4
BMO sets aside record C$1.5bn for loan losses
Net write-offs reach highest level in over two decades, exceeding early pandemic levels
Estimated stressed losses rise at OCC, LCH and JSCC
New stress scenario boosts worst-case loss at Options Clearing Corporation by half
Thin-skinned: are CCPs skimping on capital cover?
Growth of default funds calls into question clearers’ skin in the game
TD Bank’s op risk charges spike amid anti-money laundering probe
Record-high RWAs push bank’s core ratio to its lowest in four years
JSCC, ASX see hypothetical stress loss breaches in Q1
Single-member default in worst-case scenario would have exceeded available resources
Norinchukin’s paper losses double to record high
Latest AOCI fluctuation knocks 29% off CET1 capital
Beware war exclusions in cyber insurance, risk managers told
Risk Live: Experts say policy wording is tightening up following rise in ransomware attacks
BTFP shutters with loans at near-record high
Program saw last-minute $3bn dash for loans in final three days of operation
Nordea writes off €130m of intangibles after accounting change
Fourth quarter impairment charges fourteen times larger than year prior