Covid
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
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
Market knee-jerks keep VAR models on their toes
With a return to volatility, increased backtesting exceptions show banks’ algos are stretched
The power of neural networks in stochastic volatility modeling
The authors apply stochastic volatility models to real-world data and demonstrate how effectively the models calibrate a range of options.
Buffer stop: Eurex clearing members shunt default fund
Clearing house’s CRO says both members and clients opt to pay more margin instead
On resilience risk, banks prepare to let the bad times roll
Lenders bolster first-line teams and upskill boards as compliance with new rules bites
Herding behavior in energy commodity futures markets amid turmoil and turmoil-free periods
This paper extends typical research on herding behavior to commodity futures markets, investigating five markets and finding herding behavior during the global financial crisis and at the beginning of the Russia - Ukraine conflict.
Baruch maintains top spot in 2025 Quant Master’s Guide
Sorbonne reclaims top spot among European schools, even as US salaries decouple
Op risk data: Santander in car crash of motor-finance fail
Also: Macquarie fined for fake metals trade flaws, Metro makes AML misses, and Invesco red-faced over greenwashing. Data by ORX News
More cleared repo sponsors join Eurex ahead of cross-margining
End of TLTROs for banks and pension fund search for liquidity management tools drives uptake
Forecasting India’s foreign trade dynamics: evaluation of alternative forecasting models in the post-pandemic period
The authors aim to determine how India's foreign trade will change following Covid-19 and the Russia-Ukraine conflict, comparing several forecasting models and identifying that which performs best.
Risk management overhauls juggle speed and independence
Some banks say the 1.5 line of defence responds faster to risk, but supervisors are still divided