Modelling
Trading costs versus arrival price – An intuitive and comprehensive methodology
Craig Niven, managing director, cash equity execution at Societe Generale Prime Services explores how a five‑month study allowed the organisation to develop a market impact model using historical data, and why it is key for clients in the long term to…
Python – Is the buzz justified?
Python is rapidly becoming the world’s most popular programming language and its versatility and ease of use has enabled it to achieve widespread adoption in finance, becoming the multipurpose tool of choice for quantitative analysts and other financial…
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
Quant drought hits banks and funds in Asia
Limited pool of talent hindering expansion of sophisticated strategies across buy and sell side
Banks scan chat and web for trading intel
Market-makers seek new signals on volatility and direction via natural language processing
Embracing the sea change to come with FRTB
Firms have until 2021 to implement FRTB, and those yet to begin compliance efforts risk putting themselves at a disadvantage. EY‘s financial services risk partners Shaun Abueita and Sonja Koerner explore the current level of readiness within the industry…
Risk.net podcast: DTCC’s Lind on FRTB, data pooling and NMRFs
As many as 70 banks globally could adopt internal model approach for market risk capital
Ibor transition valuation and risk management considerations
The impending move from interbank offered rates to alternate reference rates will require important changes to many valuation and risk management processes and infrastructure. EY Financial Services’ Shankar Mukherjee, Michael Sheptin and John Boyle…
RFR valuation challenges
A new system of interest rate benchmarks for all major currencies is emerging. These new benchmarks will replace interbank funding rates with risk-free rates (RFR). This article by LPA focuses on valuation challenges during the transitional period to new…
Improved credit loss estimates proposed for IFRS 9
New smoothing technique claims to overcome flaws in risk rating scales
Buy side could be biggest voice in key margin decisions
Asset managers encouraged to join Simm’s daily polling mechanism – despite some dealers’ concerns
Stress tests expose climate risks in loan books
Efforts to quantify the risk of global warming are changing the way banks manage credit portfolios
Quants tout improved expected shortfall backtest
Measure aims to provide better gauge of VAR violations
Delving into the FASB's current expected credit loss model
The Financial Accounting Standards Board's current expected credit loss rule could mean loss provisions for loans are three times higher than with International Financial Reporting Standard 9
Top European banks shed $32 billion in op risk
5% average drop across 16 European banks reported quarter to quarter
Fed stress tests: foreign banks lag US on capital estimates
On average, IHCs missed the Fed’s estimates of the amount their CET1 ratios would fall in the 2018 test cycle by 213bp, compared with 109bp by US lenders
ABN Amro sustains assault on market risk
The bank's market RWAs dropped 24% quarter to quarter, to €1.7 billion, following a 41% reduction in the first quarter
OCC stands by margin model as regulators investigate
As watchdogs probe Q1 breaches, CCP executives insist margin models worked as intended
BBVA gets forex model update from ECB
Foreign exchange risk added €366 million in capital requirements in 2017
Barclays, Credit Suisse stress test estimates stray from Fed’s
The two banks miss the mark on stressed capital ratio by 290bp and 460bp, respectively
Tired of overshooting, BNY Mellon revamps stress test model
Capital distributions crimped by conservative CCAR estimates