Covid
Broken backtests leave quant researchers at a loss
As historical data loses relevance, quants must find new ways to validate their theories
EU banks’ capital gauges show mixed recovery from Covid hit
Tier 1 leverage ratios fall for second quarter in a row
FICC default exposure exceeded size of clearing fund in Q2
Mortgage-backed securities division had $887 million of uncovered exposure to collapse of two members
Sovereign bond IM increases at LCH Ltd
Margin held in own sovereign debt up 50% year-on-year
European banks’ liquidity ratios improved over H1
Average ratio across 23 lenders climbed to 151%
Which EU banks hold the most loans subject to Covid relief?
UK lender Lloyds had 13% of its loan book under payment moratoria as of June 30
Fund managers seek to plug holes in ESG data
Social intel proves elusive as virus reawakens sense of corporate virtue
VAR spasms heap market risk charges on EU G-Sibs
VAR-based charges increase 94% on end-2019
Bonds go back to the future as electronic volumes grow
Surge in bond ETFs and portfolio trades accompanies investor return to platforms
Autocalamity: can hit product be reinvented?
Spreads on ‘worst-of’ bonds leap 50% as some dealers retreat and others pile on hedges
US bank systemic risk indicators stay elevated through Q2
Increase in exposures, short-term wholesale funding bump systemic risk scores higher at some firms
Eurozone funds favoured US equities in Q2
Investment funds also bought up eurozone bank stocks
Fed’s second round of stress tests to push banks’ limits
Worst-case scenario sees unemployment peak at 12.5%
Bank resolvability in the time of Covid
We will balance flexibility and resilience, says director of EU’s Single Resolution Board
EU insurers’ fund holdings battered by Covid in Q1
Total asset portfolios declined 6% through Covid shock
Covid scenarios, pt II: apocalypse how?
Second crowdsourced scenario exercise reveals polarised views in equities and FX
Banks’ cross-border exposures to shadow banks surged in Q1
Liabilities to NBFIs increased three times more than usual over Q1 2020
Change to risk-weight floor amps EU banks’ securitisation RWAs
BNP Paribas’ banking book securitisation RWAs increased 32% on end-2019
Crisis response of the year: Deutsche Bank
Asia Risk Awards 2020
US regulator may bend on margin rule for segregated accounts
CFTC open to extending September 15 deadline
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
NYU’s Epstein on fear and complacency in the age of Covid
Pioneer of agent-based models warns of virus resurgence akin to 1918 Spanish flu
Vol decay and correlation flips: CFM’s take on the Covid crisis
Market bounce-back blindsided quant investment firm – and others
Valuing scenarios with real option pricing
Risk managers could use Black-Scholes to help drive strategy, writes René Doff