Interest expense from LTD rises to $569 million in Q4
Regnology has been awarded Bank regulatory reporting system of the year at the Risk Technology Awards 2023, showcasing the company’s expertise in the world of market regulation
The rapid collapse of four US banks in March raised serious questions over risk management failures and regulatory blind spots. Christopher Wolfe and Olivia Perney of Fitch Ratings discuss the root causes of the problems in the US – and concerns…
Banks on track for stricter capital and liquidity rules, while tiered US standards come under scrutiny
With assets more than doubling to $219bn, acquisitive bank flirts with category III designation
Former Fed adviser welcomes long-advocated Treasuries clearing mandate
This paper examines how people risk is managed in banks using interview data obtained from operational risk management experts working in the UK banking sector.
Weeks after the quarter’s end, the ECB was still awaiting explanation on vast majority of data points flagged
Credit rating and collateral value's changes have a measurable impact on creditworthiness
The authors introduce a simple numerical algorithm to study banking systems subject to credit risk. The algorithm is based on a model that is completely defined by only two parameters.
The results of this paper show that robust forward-looking statistical models are superior to backward-looking assessments of supervisory compliance, which could lead to less regulatory burden when integrated into the examination process, particularly at…
Australia’s markets regulator will publish guidance on firms' conduct obligations in move to RFRs
PRA capital relief for market risk eased the CVA burden at some lenders
An internal default risk model: simulation of default times and recovery rates within the new Fundamental Review of the Trading Book framework
This paper presents a new default risk model for market risk that is consistent with these requirements. The recovery rates follow a waterfall model that is based on a minimum entropy principle.
In just four years, market-maker has become the largest provider of liquidity in energy derivatives
Most rules now adopted by more than half of member jurisdictions
This paper evaluates the operational risk capital requirements of large US banks to determine whether they are forward looking, sensitive to banks’ current exposures and designed to allow for risk mitigation.
FBOs attract hundreds more matters requiring attention than domestic banks
Banks and regulators grapple with ‘XAI’ challenge
Market share in long-dated trades has halved since metric was imposed at start of year