Modelling
IM phase five – Smaller on bang, bigger on complexity
The initial margin ‘big bang’ may have been reined in by last-minute relief, but dealers aiming to get hundreds of buy-side firms over the documentation finish line by September 1, 2020 fear a compliance bottleneck
Climate risk-weighting: the devil and the deep blue sea
Should capital charges be calibrated to climate risk? European banks test the waters
Rising star in quant finance: Blanka Horvath, Aitor Muguruza and Mehdi Tomas
Risk Awards 2020: New machine learning techniques bring ‘rough volatility’ models to life
The Fundamentals of market risk rules
With the 2022 Fundamental Review of the Trading Book (FRTB) deadline looming, banks are fast coming to grips with the amount of work still to be done to achieve a successful implementation
When the data’s not there, expert-led models could help
Missing data is a problem. Expert elicitation taps the knowledge of many, say consultants
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
Sandbar's focus on idiosyncratic factors sets it apart from its peers in equity market‑neutral
With investors sometimes struggling to find hedge funds that deliver uncorrelated, consistent returns, Sandbar Asset Management stands out from its peers. Its success in running an equity market-neutral strategy is a reflection of its founder and chief…
The theoretical foundations of XVAs
Bloomberg analyses the theoretical basis of XVAs, focusing on the works and findings of its head of quantitative XVA analytics, Mats Kjaer, who emphasises the role of the capital valuation adjustment as a major driver of derivatives trading profitability…
The digitisation of legal negotiations and data
In partnership with Risk.net, specialists from AcadiaSoft, Linklaters, and the International Swaps and Derivatives Association weighed in on the digitisation of derivatives documentation for a virtual roundtable discussion. Recent innovations, aimed at…
Mid-cycle stress tests tougher on banks than DFAST
Median CET1 ratio drops 200bp more under mid-cycle than Fed-run tests
Climate change spells death of certainty
Global warming threatens to upend everything risk models take for granted
BNY, Goldman, HSBC lag in mid-cycle stress tests
Periodic health checks show banks would hurdle regulatory minimums under severe market crisis
Seamless integration – Drivers of and barriers to cloud adoption
Siarhei Niaborski, executive vice-president of risk at CompatibL, discusses the rate of cloud adoption in the capital markets industry and its possible drivers and barriers, how firms can derive maximum value from cloud usage and the criteria on which…
Cat risk: why forecasting climate change is a disaster
Forecasters are poles apart on climate-driven catastrophes; insurers fear worse ahead
Engle: rise in geopolitical risks may be overestimated
Risk USA: Nobel laureate’s new ‘Geovol’ model suggests geopolitical risk no higher than during past 20 years
FRTB costs force banks to weigh IMA desk by desk
Risk USA: Some desks “may not be able to pass these more rigorous standards”, says Morgan Stanley FRTB lead
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…
Banks join forces on model development utility
Crisil is working with HSBC and three other banks on platform to share model-building tools
Stress-testing: still worth the stress?
There may be more efficient ways to assess if banks are misjudging their risks
Stress-testing to improve strategic decision‑making
Banking regulators remain focused on expanding and developing the range of stress-testing regimes across the globe to maintain stability, monitor emerging risks and avoid another financial crisis. Here, a forum of industry leaders discusses the evolution…
Lease finance accounting – A new standard
International Financial Reporting Standard 16 came into effect on January 1. The impact of the new standard can be felt across all industries, particularly those that rely heavily on rentals and leasing as part of their core business. A global leader in…