Covid
Op risk data: US piqued by Pictet tax breach
Also: US Bank’s Covid failings; South Korea’s short-selling clampdown. Data by ORX News
Can CRE credit risk models cope with hybrid working?
As US office use changes, modellers deploy judgement overlays and alternative data to keep up
EBA seeks to tighten up uneven prudent value adjustments
Regulator to consult ‘soon’ on changes to improve consistency of capital deductions
CME’s Span 2 margin model generates systems headaches
Market participants welcome smarter margin requirements, but not the computational workload
As banks limit FRTB model use, outputs get more volatile
Risk managers say selection of stress window becomes more sensitive if fewer desks are on IMA
China equity for global investors: reopen, recover, re-enter
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.
Bankers call for overhaul of EBA stress tests
Support for multiple scenarios, but only if fixed assumptions and variables are scaled back
Chinese banks expected to launch TLAC market onshore
Estimated issuance needs of $510 billion are heavy, but thought to be manageable
Eurex wargames pricing derivatives during disruption events
Ukraine war and tech glitches prompt German exchange to set out methods for handling market closures
Run risk on funds not a systemic issue, say market participants
FSB and Iosco are consulting on drive to make open-ended funds adopt anti-dilution tools
The battle to stop energy markets boiling over
European CCPs and supervisors join call for changes to mitigate any repeat of last year’s crisis
The chatbot and the quant: GPT shakes finance education
With smarter large language models, quant grads risk turning into AI-assisted slackers, writes Gordon Lee
Op risk data: Credit Suisse hit for $900m in offshore trust bust
Also: Goldman boys’ club gets the boot; HSBC double whammy; Havilland’s economic sabotage plan. Data by ORX News
Compliance can help fintechs grow from adolescence to adulthood
It may slow US banking down, but customer safety is the difference between success and failure
Target-date funds: lessons learned?
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.
In a downturn, mitigation beats litigation every time
Economic shocks increase op risks for banks, but institutions can take steps to limit the danger
Op risk data: Stanford fraud haunts banks for billions
Also: Helaba’s crank capital relief; TSE stock price sanction; 1MDB mauls Mudabala. Data by ORX News
Top 10 operational risks for 2023
The biggest op risks for the year ahead, as chosen by senior industry practitioners
Risk.net’s top 10 investment risks for 2023
Geopolitical frictions, sticky inflation and a hard landing are among the hazards cited by investors
Chinese snowball revenues melt away
Securities firms see falling revenues in the index-linked trades, but struggle to replace their profitability
Navigating the volatility and complexity of commodity markets
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…
Wanted: radical ideas for inflation modelling
Hedge funds echo Mervyn King’s calls for a new approach to inflation modelling post-2022 crisis
Bank risk manager of the year: Natixis
Risk Awards 2023: Revised risk management framework and front-office collaboration help bank withstand 2022 volatility surge