Covid
Studies test investors’ risk aversion after crash
Researchers use March tumult to investigate psychology of risk-taking
Equity derivatives aided BlackRock funds in March
Flagship Strategic Income Opportunities fund posted $253 million in net derivatives gains at height of Covid crunch
How UBS kept workers plugged in during the pandemic
Swiss bank’s A3 virtual desktop system offers a blueprint for remote working
Capital relief trades make slow comeback from Covid slump
European synthetic credit risk transfer market now more expensive for banks
Covid shock could topple US insurers’ exotic CLOs
Losses on “atypical” tranches could hit $899 million
Banks braced for mystery coronavirus add-on to CCAR
Uncertainty surrounds scenario design and impact on stress capital buffer, dividends
Podcast: Lipton and de Prado on Covid and trading strategies
Top quants discuss collaboration and their worries about the economic recovery
Eurex’s risk chief on the need for boring models
Banks need stability and predictability of VAR-based margin when volatility spikes, says clearing house CRO
BlackRock's muni funds slow to rebound from Covid crunch
Cumulative returns have barely edged up for these funds since end-March
Eurex CRO: market meltdown will mean margins stay higher
Record breaches at global exchanges fuelling pressure to keep rates permanently higher, says risk chief
Sold CDS notionals climbed 16% at top US banks in Q1
Net fair value of credit protection positions vaults to $5.3 billion
Short funds’ moment in the sun is over
DSB funds are in the red year-to-date after a spectacular performance through March
Quant firm deploys new metric for Covid sensitivity
Los Angeles Capital debuts new factor for measuring stocks’ sensitivity to the pandemic
Banks push for capital changes as CECL provisions soar
Spike in set-asides exposes fault lines between new accounting standards and Basel rules
CVA capital charges jumped 50% at systemic US banks in Q1
Goldman Sachs’ charge climbs 76% quarter-on-quarter
EU urged to pass permanent market risk capital relief
Council agrees temporary changes, but ECB’s Enria wants legislators to trust supervisors
Clearing banks feel pinch as rates turn negative
Negative returns on dollar deposits at Eurex, Ice and LCH spur talk of business model change
Corporate loan default risk spiked at US G-Sibs in Q1
Median probability of default increases 17bp to 1.39% on the quarter
Covid scenarios: finding the worst worst-case
As pandemic trashes historical data, a Risk.net tie-up with Ron Dembo’s new outfit tests promise of polling
Mental health: the new frontline for risk management
Rise in stress and anxiety among locked-down staff could open up banks to range of risks
Risk density of top US banks edged down in Q1
Banks piled up assets with low risk-weightings in the first quarter
In downturns, vol travels down the supply chain – study
Customer VAR breaches strike at stressed suppliers, research shows
EU Parliament ‘likely’ to allow market risk capital relief
MEPs propose allowing supervisors to temporarily exclude Covid-related backtesting exceptions
Climate charges, CCP contagion and the post-Libor world
The week on Risk.net, May 23-29, 2020