Banks
Time for BoE to rethink the leverage ratio
The disparity of treatment keeps UK banks on an unlevel playing field
Canada’s top banks cut loan-loss provisions by $1.2bn
The decrease in set-asides represents a 92% fall quarter on quarter
UK derivatives market accelerates decline
The bulk of the quarterly reduction came from swaps held by UK banks with cross-border counterparties
US unit of BBVA on the brink of a VAR breach in Q1
Largest loss-to-VAR ratio at the firm was highest among the 12 intermediate holding companies
New UK op risk rules elevate management over measurement
Under op resilience rules, firms must plan for all severe stresses, whatever their probability
For EU banks, there can be no ‘back to normal’
The ECB’s recent review of risk models shows lenders got it all wrong pre-pandemic
Credit Suisse held just 10% margin against Archegos book
Swiss bank gave family office 10 times leverage, compared with four or five times at Goldman
Modifying market risk management – A year into the Covid‑19 pandemic
This webinar explores how capital markets participants revised their market risk management practices during the height of Covid-19 pandemic-induced market volatility and what this means for the future
Would margin rules have checked Archegos? Perhaps not
Regulator-prescribed margin methodology permits six-times leverage on equity swaps
Could private match-making sink public market?
Rise in internal hedging sparks debate over its threat to FX price discovery
The impact of culture upon operational risk management guidelines in the banking sector of selected Asian countries
The central banks of different countries regulate ORM according to the specificities of their national banking industry. This paper tests the hypothesis that such regulatory openness results in legal texts that are highly influenced by the culture of the…
Dealers warn of trouble ahead as Treasury issuance swells
Repeat of February’s ‘Black Thursday’ likely if Fed ends leverage ratio exemptions, banks say
Too much of a good thing? Banks mull over excess deposits
Surge in non-operating deposits leaves banks with a severe hangover
Top 10 op risks 2021: resilience risk
Industry survives biggest real-world stress test, but challenges remain for firms and regulators
Bank supervision: lessons from the post-2008 banking crisis
This paper considers the learning points from official third-party reports produced in the wake of supervisory failures that can be applied to the management of front-line bank supervisors.
Optimization of systemic risk: reallocation of assets based on bank networks
In this paper, the authors investigate the optimization of systemic risk based on DebtRank by considering two contagion channels: interbank lending and common asset holdings.
A European watchdog with more bark than bite
The European Central Bank’s soft approach could be storing up trouble for the future
My kingdom for the right copula
Copulas can still deliver if chosen with due attention to intuition and data, says quant fund chair
Ending leverage ratio relief could force US banks to downsize
Biggest lenders may have to limit repo activity to manage leverage capital, observers say
Risk Awards 2021: the winners
Final winners announced: Citi wins derivatives house, lifetime award for Ken Griffin
The outlook for 2021 – FRTB
Eugene Stern, head of market risk products at Bloomberg, reveals how banks are adapting their strategies in the current environment, and why FRTB affords banks a unique opportunity to develop a unified view on market risk and enhance their overall risk…
How can banks drive value from risktech investment?
Jeroen van Doorsselaere and Steve Hostettler, Wolters Kluwer Finance Risk and Regulatory Reporting, discuss the key findings from a recent Risk.net survey exploring the challenges, priorities and trends influencing risk teams’ investment decisions and…
Sharpening risktech’s cutting edge – Maximising value from risktech investment
This Risk.net survey report, commissioned by Wolters Kluwer, explores the current challenges, priorities and trends influencing banks’ investment in risk technology, and assesses how they can drive better value in the future
Fighting financial fraud with AI
Risk and compliance professionals convened for a Risk.net webinar, How to successfully mitigate fraud – AI in action, in association with NICE Actimize to debate the use of artificial intelligence in the fight against fraud