Covid
Have CCPs got better at absorbing shocks?
Data suggests most CCPs weathered the Iran-war disruption, but shock frequency is starting to bite
Everything is connected: Santander’s US CRO shuns siloed thinking
Rise of AI intensifies links between fraud, cyber, third-party and other operational risk categories
ECC risk chief says Iran crisis will not delay VAR transition
Incorporating 2022 Ukraine shock ensured new margin model is robust in face of energy volatility
Op risk data: Cyber hacks shake crypto protocols
Also: JP Morgan fined over investor losses; Symetra’s Methodist pensions mess. Data by ORX News
Italy’s spread problem is not (always) a credit story
Occasional doubts over Italy’s role in the monetary union adds political risk premium, argues economist
Op risk data: Kaiser will helm half-billion-dollar payout for faking illness
Also: Loan collusion clobbers South Korean banks; AML fails at Saxo Bank and Santander. Data by ORX News
BoE’s Ramsden defends UK’s ring-fencing regime
Deputy governor also says regulatory reform is coming to the UK gilt repo market
CVA capital charges – the gorilla in the mist
The behaviour of CVA risk weights at US banks in 2020 hints at the impact of the Basel III endgame
During a health crisis should you invest in gold or oil?
Employing advanced econometric models, this paper analyzes the volatility behavior of gold and oil prices during the Covid-19 pandemic.
Elizabeth McCaul on supervision, new macrodynamics and investing in suptech
Former ECB Supervisory Board member speaks about the Covid-19 and Credit Suisse shocks, regulation debates, the rise of non-banks and what makes tech projects succeed
BoE analysis sparks debate over reuse of repo collateral
Central bank policy analyst contends reuse of collateral may amplify volatility in repo rates
Should the Fed mandate collateral pre-positioning at the discount window?
Supervisor wants banks to be ready to access central bank facilities, but formalising pre-positioning has some drawbacks
The Covid-19 pandemic and the portfolio diversification effect of catastrophe bonds
The authors delve into catastrophe bonds within an international multiasset portfolio for periods before and during the Covid-19 pandemic, showing how at different times they act as a diversifier and a safe haven.
Leverage ratio reform: the good, the bad and the Treasury
A simple cut would be less likely to stoke interest rate risk than exempting US government bonds
Did fintech loans default more during the Covid-19 pandemic? Were fintech firms “cream-skimming” the best borrowers?
The authors propose a model which can be used to identify the "invisible prime" consumers from the nonprime pool for fintech loans.
Wait in the Q: US banks hold back on tariff-related provisions
Lack of data on supply chain vulnerabilities creates challenges for early CECL adjustments
Examining intersector risk synchronization in the Indian stock market: evidence from a time-varying connectedness approach
The authors investigate volatility spillover across the Covid-19 pandemic, Russia-Ukraine conflict and the collapse of Silicon Valley Bank and demonstrate how different sectors act as shock absorbers and transmitters.
Treasury selloff challenges back-office systems, data feeds
FIS and Trading Technologies suffered downtime during peak activity
Bowman won’t commit to stress-testing the tariff shock
Nominated Fed vice-chair stonewalls calls to run ad hoc scenario similar to 2020 Covid test
FX liquidity ‘worse than Covid’ amid tariff volatility, dealers say
Available liquidity for single clips dropped to as low as $20 million ahead of tariff pause
Tariff turbulence piles pressure on banks’ VAR models
Backtesting breaches start to mount, but too early to tell if regulatory intervention needed