Covid
Modeling systemic operational risk in the Covid-19 pandemic
This paper introduces existing and novel epidemiology models and investigates how government responses to the Covid-19 pandemic impacted these models.
StanChart tackles US-China rates divergence
Post-pandemic policy changes have upended historic correlations in emerging markets, says rates head Lettich
EU banks add overlays as crises evade modelling
Lenders buttress provisions against unpredictable fallout from Russia's invasion of Ukraine
Top Fed watchdog supports non-bank Sifi designation
Vice-chair Barr complains regulators lack “even basic data” on some areas of shadow banking
Quarles calls for SLR ‘recalibration’ to support Treasuries
Former vice-chair says leverage ratio gold plate was based on flawed projections of Fed reserves
Changes in operational risk and its determinants under Covid-19
The authors investigate the operational risk impact of the Covid-19 pandemic on Chinese commercial banks and the moderating effect of bank size, business diversification and regulatory records.
BoE’s planned procyclical capital hike bewilders banks
Some doubt regulator will go through with buffer hike while forecasting recession
‘Very little support’ for a US Treasury clearing mandate – Isda
Dealers and clients prefer carrot to stick in efforts to improve Treasury market liquidity
Using correlation to model op risk losses may be unsafe – study
Techniques for linking economic factors and bank losses produce varying – and sometimes contradictory – results
The ghost of Archegos returns to haunt Simm
UK regulator’s attack on Simm may have more to do with the failed family office than meets the eye
Banks temper credit loss models by editing Covid narrative
Faced with geopolitical chaos and signs of recession, expected credit loss models need to adapt fast
Hedge funds warn SEC dealer rule is ‘unenforceable’
Private funds say they are collateral damage of poorly drafted push to regulate PTFs
Covid chaos spurs on search for model risk aggregation
Many models failed in pandemic, but analysing them in clusters easier than whole-bank view
Why FRTB model test loves volatility, but hates hedges
Crucial P&L test for internal models easier to pass if price swings are large, or desks poorly hedged
Share of required margin increases at top EU CCP members
Number of clearing members with total requirements of €10bn and above has been increasing since 2017
Thriving in the new resilience normal
While the Covid-19 pandemic may be largely behind us, new challenges emerge as firms renavigate and optimise operations in the ‘new normal’. Today the focus has shifted to making operational resilience scalable and sustainable. In a Risk.net panel…
Federated’s CIO on the fight to save prime MMFs
SEC reform proposal could be final nail in coffin for institutional prime funds
BoE: regulators could push CCPs to publish margin shocks
Russia-Ukraine war has forced a tenfold margin funding burden, says BNP; Ice says smaller hedgers face disenfranchisement
‘Trend’ triumphs in uncertainty, but not as it wanes – study
Quant investing approach thrives in extremes of market uncertainty; calm hinders it
Is DLT post-trade a solution without a problem?
Sources question landmark projects' ability to use technology at scale as further delay besets ASX deployment
Danske, Deutsche and PNC pin SVAR to Covid-19
Most global banks continue to use the global financial crisis to stress-test their portfolios
BlackRock calls for blockchain to fix futures processing snags
Asset manager wants industry to move faster in adopting “single source of truth” model