Economics
BoE’s planned procyclical capital hike bewilders banks
Some doubt regulator will go through with buffer hike while forecasting recession
AI models point to recession, but quants won’t trade on them
Predicting the odds of a recession, and how markets will respond, is still a step too far for machines
Turbulent markets put focus on evaluated pricing
Jayme Fagas, global head of valuations and transparency services at Refinitiv, explores why, in such an environment, firms need to have the right evaluated pricing to ensure they are pricing their portfolios at fair value levels and complying with…
The wild world of credit models
The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…
Decomposing supply shocks in the US electricity industry: evidence from a time-varying Bayesian panel vector autoregression model
This paper investigates spillovers between electricity supply shocks and US growth, using monthly data from forty-eight US states from January 2001 to September 2016, and employs a novel strategy for electricity supply shocks based on a time-varying…
Covid scenarios, pt II: apocalypse how?
Second crowd-sourced scenario exercise reveals polarised views in equities and FX
NYU’s Epstein on fear and complacency in the age of Covid
Pioneer of agent-based models warns of virus resurgence akin to 1918 Spanish flu
The unintended impact of swap stays on financial stability
As swaps leverage shrinks, bankruptcy stay rules are not guaranteed to reduce systemic risk, says economist
Doyne Farmer’s next big adventure: capturing the universe
Quant fund pioneer plans to build an economic super-simulator on a global scale
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
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
Will uncleared margin rules change the FX landscape?
As the next phases of uncleared margin rules come into force, there will be an economic driver for more clearing of FX. By Phil Hermon, Executive Director of FX Products at CME Group
Navigating the impact of climate risk on financial stability
As uncertainty abounds on the impact climate change may have on the industry, financial services firms must best equip themselves for potential regulatory and socioeconomic changes to ensure they maximise the opportunities of embracing new best practices…
Libor transition and implementation – Covering all bases
Sponsored Q&A
Risk FX Briefing: Event insights
What lies ahead for investment managers
MVA: Forecasting initial margin for client trades and dynamic hedges
In its latest margin survey, the International Swaps and Derivatives Association reported that initial margin (IM) collected by the top 20 firms increased by 22% to $130.6 billion at the end of 2017. As new transactions become subject to IM requirements,…
Cloud risk management requires a shift to the continuous compliance mindset
A comprehensive review of a firm’s GRC framework can deliver enhanced reporting and transparency, increasing the pace of innovation and adoption
Compliance preparations amid uncertain rules
A forum of industry leaders discusses how banks will define individual trading desks under FRTB, whether BCBS 239 compliance projects can help banks meet FRTB risk data challenges, which model validation obstacles banks still face and other key topics
Is Libor going away?
Amid widespread expectation that Libor will soon be discontinued, questions are being asked around whether the transitioning towards risk-free rates will prove too onerous to achieve. Christopher Dias, principal, advisory, at KPMG, explores whether the…
Computational analysis of structural properties of economic and financial networks
This paper surveys the use of networks and network-based methods to study economy- related questions.
The Fed’s heavy hand on economic equality
Monetary policy and bank regulations contribute to widening US wealth gap
Macroeconomic theories: not even wrong
Flawed and inconsistent mainstream macroeconomic theories such as efficient market hypothesis are dangerous to society, says Alexander Lipton
Challenging economic pessimism: an optimistic note
A contrarian, upbeat view of the long-term economic outlook
Japan trade captivates macro hedge funds
Top hedge fund managers at the Salt conference in Las Vegas are brimming with enthusiasm for Japanese equities as Abeconomics helps weaken the yen and boost economic growth