Market participants welcome smarter margin requirements, but not the computational workload
Risk managers say selection of stress window becomes more sensitive if fewer desks are on IMA
At a panel session convened at Risk.net’s ETF & Indexing Forum in Hong Kong, experts from FTSE Russell, Citi, BlackRock and CSOP Asset Management discussed the latest investment trends and challenges, and the opportunities afforded by China A-shares…
Dynamic connectedness between energy markets and cryptocurrencies: evidence from the Covid-19 pandemic
Following the Covid-19 pandemic, the authors use the time-varying parameter vector autoregression approach to to explore the connectedness between cryptocurrencies and international energy markets from 2018 to 2021.
Support for multiple scenarios, but only if fixed assumptions and variables are scaled back
Estimated issuance needs of $510 billion are heavy, but thought to be manageable
Ukraine war and tech glitches prompt German exchange to set out methods for handling market closures
FSB and Iosco are consulting on drive to make open-ended funds adopt anti-dilution tools
European CCPs and supervisors join call for changes to mitigate any repeat of last year’s crisis
With smarter large language models, quant grads risk turning into AI-assisted slackers, writes Gordon Lee
Also: Goldman boys’ club gets the boot; HSBC double whammy; Havilland’s economic sabotage plan. Data by ORX News
It may slow US banking down, but customer safety is the difference between success and failure
The authors return to the topic of their 2011 paper and investigate the maturation of target-date funds and their performance during the Covid-19 pandemic, finding that the funds have largely achieved their designation.
Economic shocks increase op risks for banks, but institutions can take steps to limit the danger
Also: Helaba’s crank capital relief; TSE stock price sanction; 1MDB mauls Mudabala. Data by ORX News
The biggest op risks for the year ahead, as chosen by senior industry practitioners
Geopolitical frictions, sticky inflation and a hard landing are among the hazards cited by investors
Securities firms see falling revenues in the index-linked trades, but struggle to replace their profitability
Commodity markets have experienced significant challenges since the Covid-19 pandemic, the conflict in Ukraine and the subsequent sanctions imposed on Russia. These unprecedented events have caused fluctuations in supply and demand, disrupted global…
Hedge funds echo Mervyn King’s calls for a new approach to inflation modelling post-2022 crisis
Risk Awards 2023: Revised risk management framework and front-office collaboration help bank withstand 2022 volatility surge
The impacts of financial and macroeconomic factors on financial stability in emerging countries: evidence from Turkey’s nonperforming loans
The authors assess the impacts of financial and macroeconomic factors on financial stability in emerging economies, using Turkey's banking sector in the period 2005 Q1 to 2020 Q3 as their example.
Share of non-performing ex-moratoria and guaranteed exposures at EU banks balloons amid energy crisis, EBA data shows
The author presents an empirical approach to scenario design for selecting a stress scenario for international macrofinancial variables and compares this approach with a historical scenario approach.