Banks
Alt risk premia study finds ‘zero alpha’, clear beta to bonds
Vanilla exposures explain as much as two-thirds of returns, authors say
Small banks in China carry outsized risk – research
Study shows systemic risk of smaller banks snowballs during stress periods
Active ETFs – The next step in Asia’s ETF innovation
The exchange-traded fund space has long been dominated by passively managed funds, but active ETFs are gaining popularity among investors and issuers. Although active ETFs are not yet a mainstream investment instrument, their growing investor interest is…
Operational risk measurement: a loss distribution approach with segmented dependence
This paper proposes an approach, called the loss distribution approach with segmented dependence (LDA-SD), which can model the different dependencies of HFLI and LFHI losses in the framework of LDA.
Unmoved, Fed stands by G-Sib surcharge
Facing down frenetic lobbying and even US Treasury, central bank doesn’t blink on surcharge
Blazing new analytical paths: Tackling data aggregation for new risk insights
As the risk function’s influence continues to grow within financial services firms, demand for quality integrated risk data to support a wider range of business-critical decisions is stretching the capabilities of existing technology to breaking point. A…
Data mining, machine learning and problems with autocalls
The week on Risk.net, January 19–25, 2019
EU parliament OKs no-action powers but leaked doc signals delay
Council note means regulators may not get no-action powers until at least November
Capital changes, Ion and post-Libor vagueness
The week on Risk.net, January 5–11, 2019
AIIB risk chief on steering China’s World Bank rival
Martin Kimmig on the Asian Infrastructure Investment Bank’s challenge of overcoming patchy credit data
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…
Italian banks lead EU on cutting soured loans
Intesa Sanpaolo, Banco BPM, UniCredit shed most NPLs in H1
Industry lukewarm on proposed ‘quick fixes’ to Priips rules
Many fear performance scenarios will remain misleading and expose providers to mis-selling claims
How banks can keep pace with XVA
The complexity of derivatives pricing has grown significantly in the past decade, with banks having to factor in a series of valuation adjustments to calculate the impact on their balance sheets. With budgets and resources under pressure, and traditional…
Bank risk, bank bailouts and sovereign capacity during a financial crisis: a cross-country analysis
This paper analyzes the competitive effects of government bailout expectations on bank risk using a sample of banks in OECD countries from 2005 to 2015.
Global investors go local for Indian distressed assets
Number of domestic companies set up to invest in bad loans doubles in two years
Obstacles and opportunities in adopting cloud computing
Sponsored Q&A
Europe inches closer to own version of no-action relief
Five options on the table, lawmakers want case-by-case veto, firms push for power over primary laws
Morgan Stanley RWAs drop as loans fall and VAR dips
Standardised RWAs fall 4% to $370 billion
