Covid
Concerns roil prop clearing waters in wake of ABN losses
State-backed lender insists few clients have defected – but sharks circle, post-Parplus
Asia collar financing surges on back of Covid-19 volatility
Options-based structures gain ground on margin loans – and dealers say it may be a structural shift
Covid capital, SA-CCR and problems with post-Libor protocol
The week on Risk.net, July 4-10, 2020
Driving anti-money laundering efficiency gains using artificial intelligence
Anti-money laundering (AML) is expensive and labour-intensive, and artificial intelligence (AI) can offer improved efficiency gains. Could they be a match made in heaven? This Risk.net webinar, in association with NICE Actimize, took place amid the…
How adaptive models got AlphaSimplex through the Covid crisis
System sped up moves out of stocks into commodities and bonds
‘Improving’ Mifid post-trade transparency splits markets
Mooted changes to Europe’s transparency regime are dividing markets – largely along functional lines
US banks want urgent guidance on capital plan updates
Call for Fed to provide Covid scenarios by start of September, not in fourth quarter
Synthetics sweetener teases European banks
As structural woes resolve, regulators remain split on preferential capital treatment for STS deals
Behavioural finance, alt data and risk-free rate problems
The week on Risk.net, June 27–July 3, 2020
Risk Live playback: BlackRock’s Fishwick on buy-side risk
BlackRock’s co-head of risk discusses challenges facing firms today, including compliance and op risks
Volatility scaling flops in credit alt risk premia
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
Banks eye post-pandemic shake-up of op risk scenarios
Firms seek better handle on impact of global shocks, and hope to avert regulatory attention
Margin breaches exceed €500m at Eurex in Q1
Eurex disclosed 3,180 margin shortfalls over twelve months to end-March
Discover, Capital One loans ravaged by Fed stress test
Credit card losses especially pronounced among regional US lenders
Funds warm to Esma liquidity rules after Covid crisis
Funds are embracing stress-testing, and swing pricing, after “a real liquidity crisis” in March
Libor switch, US capital problems and operating in lockdown
The week on Risk.net, June 20-26, 2020
Fed’s Covid scenarios far harsher than latest stress tests
Under worst-case, 25% of banks would have post-stress CET1 ratios of less than 4.8%
Goldman faces high stress capital buffer after Fed tests
Bank projects 640bp peak-to-trough capital hit in DFAST
FCMs feared systemic incident during March back-office meltdown
Trade breaks following Covid-19 spike in futures volumes required massive clean-up job, says BofA exec
Bruised, not broken: execs say Libor switch on track despite Covid
Compressed timeline for transition may leave smaller firms struggling to meet end-2021 deadline
Giant US banks outgrew smaller rivals in Q1
Banks over $10 billion in size also saw Tier 1 leverage ratios fall furthest
Higher margins would aid clearing stability – Ice Clear chief
Using volatility floors to aid “higher margins in peacetime” would have to be globally applied policy, warns Serafini
US banks face capital hit from resurgent advanced approaches
Banks pushed onto internal models wrestle with procyclical capital charges
Studies test investors’ risk aversion after crash
Researchers use March tumult to investigate psychology of risk-taking