Covid
Emergency Covid loans carry high mis-selling risk, banks fear
Rapid roll-out of government schemes raises legal fears over inequitable client treatment
For ESG raters, clearer skies still signal stasis
As Covid-19 tamps down environmental risk, rating agencies are unmoving on ESG scoring
Foreign banks await guidance on Fed’s SME lending facility
Term sheet for $600 billion scheme silent on whether foreign banks in US can participate
To model the real world, quants turn to synthetic data
Future financial models will be built using artificially generated data
Buy side eyes outsourced trading amid Covid disruption
Pressure on trading continuity drives in-house desks to look outwards
Credit Suisse takes $51m derivatives hedging loss
Net trading revenues down 47% on year-ago quarter
Faith in the machine
The coronavirus crisis could be a defining moment for machine learning in finance
Statisticians grapple with inflation impact of Covid-19
Collecting reliable inflation figures during lockdown is not straightforward
Capital One oil swaps waiver could haunt CFTC
Oil price collapse raises fresh questions about regulator’s justification for offering relief
Banks reject SOFR in Fed’s Covid lending schemes
Emergency loans to businesses get caught up in Libor transition
US banks’ leverage soared in Q1 before Fed’s reprieve
JP Morgan alone saw leverage exposure climb $112 billion
How regional banks could shape US Libor replacement
Regulators convene working group to address credit sensitivity concerns
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
EU banks diversified sovereign holdings in 2019
Yet banks in peripheral eurozone countries still heavily exposed to home government risk
BoE and ECB weigh calls to follow US lead on capital relief
European regulators face pressure to exempt sovereign exposures from leverage ratio
Amid Covid crisis, top US banks give $32bn away to shareholders
Buybacks exceeded Q1 2019 total, despite voluntary suspension on March 15
CCPs postpone euro discounting switch to July
Five-week extension agreed after working group proposal for September delay fails to find consensus
Managing a derivatives portfolio through turbulent markets
Steering a portfolio of non-linear derivatives, such as options and more exotic products, is challenging at the best of times. Market risks change as markets move and time passes, risks offset in complex ways and proxy hedging is common. In this feature,…
Fed dominated MMF repo trades in March
FICC and BNP Paribas among other top repo counterparties
Quants pitch in to improve pandemic models
The finance industry’s quants are trying their hand at modelling the virus and its economic impact
Goldman Sachs’ VAR hits five-year high
Higher market risk accompanied bumper trading revenues in Q1
El-Erian on Covid-19 policy risks and central bank capture
Former Pimco chief says Fed has gone too far, market function rules needed and chance opens for shared policy load
Eurozone banks fear market risk capital hike due to Covid-19
Hopes that ECB will fix double-counting as VAR breaches rise on market volatility
Virus weakens banks’ defences against internal fraud
Stressed markets and remote working leave firms vulnerable to op risks and cyber attacks