Risk
All 14 G-Sib indicators hit records in 2024
Aggregate measures of systemic importance for top banks jumped to new highs, driven by sharp rises in underwriting activity and securities trading volumes
DFAST fashion: emerging trends from 12 years of US stress tests
The banks that breach buffers, the assets that perform best under stress, and other insights from Dodd-Frank Act stress-testing exercises
RBC US inches towards category III status on assets build-up
Canadian lender’s US subsidiary on course for stricter liquidity and leverage requirements in Q3
Risk measures associated with insurance losses in Ghana
The authors investigate VaR and TVaR comprehensive motor insurance claims paid by an insurance company in Ghana and compare the estimates obtained by these risk measures.
The fate of zombie firms: prediction, determinants and exit paths
This paper examines how machine learning and statistical methods may be used to predict whether or not zombie firms will escape their fate as zombies.
BofA, JPM face 50bp increase in G-Sib surcharge
Surge in systemic indicators puts banks on track for 3.5% and 5% add-ons in 2027
Why JP Morgan’s Santos wants to make bad news travel fast
Asset management CRO says sharing information early holds the key to avoiding surprises
Crédit Agricole headed for 1.5% G-Sib surcharge in 2026
French bank’s surging G-Sib score puts it past Deutsche in latest systemic risk assessment
An AI-first approach to model risk management
Firms must define their AI risk appetite before trying to manage or model it, says Christophe Rougeaux
Unveiling multiscale dynamics: exploring financial risk spillover and influencing factors among Chinese financial institutions
The authors investigate financial risk spillover in Chinese financial institutions, identifying the important role played by such institutions in the transmission of network risk as well as the conditions which increase and decrease risk spillover.
A hard exit threshold strategy for market-makers
A closed-form solution to derive optimal stop-loss and profit-taking levels is presented
Chartis RiskTech AI 50 2024
A Chartis report exploring the landscape of artificial intelligence and its adoption in the financial services
Six CCPs fail to cover concentration risk in Esma stress test
Largest shortfalls modelled in commodity derivatives segment, led by Ice Clear Europe ECC
Bank of America’s Kris Fador elected FS-ISAC board chair
Industry consortium for cyber security also adds new board directors from Swift, PNC, Truist and CME
Beware war exclusions in cyber insurance, risk managers told
Risk Live: Experts say policy wording is tightening up following rise in ransomware attacks
The important role of information technology and internal auditing in risk management: evidence from Greece
The authors investigate the value of using information technologies in internal audit, finding that its effective use can help mitigate risks in business operations.
Finding the investment management ‘one analytics view’
This paper outlines the benefits accruing to buy-side practitioners on the back of generating a single analytics view of their risk and performance metrics across funds, regions and asset classes
Asia moves: Senior hires at Societe Generale, Linklaters and more
Latest job news from across the industry
Extremiles, quantiles and expectiles in the tails
The author investigates quantiles, expectiles and extremiles in tail estimators for linear regression.
G-Sibs’ risk score heatmap shows signs of shakeup
Most systemic lenders’ scores remain driven by cross-jurisdictional activity, but other categories increase in heft
NSCC had top margin breach of $1.2bn in Q3
Margin shortfall is largest on record for the CCP and bucks wider trend across global clearing houses