Capital management
Citi poaches BofA capital veteran for treasury CRO role
Cenk Kamis leaves for rival US bank after 20-year stint at Bank of America
Looming slowdown casts doubt on countercyclical capital
Confusion over use of buffers makes bankers wonder if concept will ever be successful
BoE’s planned procyclical capital hike bewilders banks
Some doubt regulator will go through with buffer hike while forecasting recession
Quiet man: is Michael Barr the Clark Kent of regulation?
A decade after crafting Dodd-Frank, Fed’s new vice-chair must tame DC's warring regulatory factions
Westpac’s IRRBB charges rose faster than peers’ in Q2
Over 9% of bank’s total RWAs linked to interest rate risk, up from 6% three months earlier
Hedge fund stake exit helps Credit Suisse cut VAR
Market risk-weighted assets at the AM unit drop almost 95% following the move
Clear out: inside the equities takeover of Citi’s FCM
Clearing unit is being reshaped to support equities growth push
A numerical approach to the risk capital allocation problem
The aim of this paper is to use a model-free, nonparametric approach based on the method of maximum entropy in the mean to solve the capital risk allocation problem.
The new rules of market risk management
Amid 2020’s Covid-19-related market turmoil – with volatility and value-at-risk (VAR) measures soaring – some of the world’s largest investment banks took advantage of the extraordinary conditions to notch up record trading revenues. In a recent Risk.net…
Optimisation firms prep for SA-CCR boom
Flush with new cash, vendors ready rebalancing services ahead of risk-sensitive leverage framework
Bank leverage and capital bias adjustment through the macroeconomic cycle
The author assesses the quantitative effects of the recent proposal for more robust bank capital adequacy.
European banks want clarity on post-Covid capital rebuild
Supervisors urged to explain what will happen when pandemic relief on capital buffers expires
EU’s dividend ban overshadows reform effort
Banks may be reluctant to run down buffers even if regulators soften the MDA threshold for payouts
The long-term effect of Covid-19 on market risk capital
Covid-19 has replaced the global financial crisis in some banks’ stressed VAR calculations
US banks want urgent guidance on capital plan updates
Call for Fed to provide Covid scenarios by start of September, not in fourth quarter
How the Fed’s Covid stress test got stuck in the middle
Experts fear CCAR add-on has neither informed investors nor guided capital management
Capital relief trades make slow comeback from Covid slump
European synthetic credit risk transfer market now more expensive for banks
Banks braced for mystery coronavirus add-on to CCAR
Uncertainty surrounds scenario design and impact on stress capital buffer, dividends
Quant firm deploys new metric for Covid sensitivity
Los Angeles Capital debuts new factor for measuring stocks’ sensitivity to the pandemic
Covid-19 tumult is testing AI fund returns
Some ML strategies have coped well, but others began to struggle as panic mounted
Implementing Basel IV in Asia-Pacific – Mapping out the next steps
This webinar explores the current pain points and provides insights on Basel IV implementation in Apac, addressing the most common challenges and what it takes to transform to a Basel IV-compliant financial institution
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
Fed’s rush to complete stress buffer likely to unnerve banks
Quarles wants to include it in 2020 CCAR cycle, making bank capital planning difficult
The Fundamentals of market risk rules
With the 2022 Fundamental Review of the Trading Book (FRTB) deadline looming, banks are fast coming to grips with the amount of work still to be done to achieve a successful implementation