Risk
The evolution of trading risk and the return to volatility
Risk managers are grappling with the complexities of today’s financial markets, tackling what seems to be a never-ending stream of crises, exacerbated by surging interest rates and widening credit spreads. In a recent Risk Live North America panel…
Most G-Sib indicators hit all-time highs in tumultuous 2022
Trading volumes and payment activity among fastest-surging indicators
UBS, three Chinese banks face higher capital surcharges
Credit Suisse and UniCredit dropped from G-Sib list in latest systemic risk assessment
Indian CCPs derecognition costs BNPP, Deutsche €6bn in RWAs
Esma’s decision forces re-weighting of local exposures by EU dealers
Achieving net zero with carbon offsets: best practices and what to avoid
A survey by Risk.net and ION Commodities found that firms are wary of using carbon offsets in their net-zero strategies. While this is understandable, given the reputational risk of many offset projects, it is likely to be extremely difficult and more…
Be careful what you’re paid for
Pinning down the illiquidity premium in private credit is no easy task
T+1: complacency before the storm?
This paper, created by WatersTechnology in association with Gresham Technologies, outlines what the move to T+1 (next-day settlement) of broker/dealer-executed trades in the US and Canadian markets means for buy-side and sell-side firms
JP Morgan, BofA say Basel III plan could wipe out capital cushion
Banks forecast $82 billion cumulative hike in capital requirements from Fed proposals
Wells Fargo has thinnest TLAC headroom globally
Bail-in funds sat 8% above required amount at end-June, smallest gap among the 25 banks subject to the standard
Share of op risk modelling falls at European banks
Less than half of analysed dealers rely on the AMA, as introduction of new standardised approach looms large
US banks’ RWA density dwarfs that of European peers
Truist, Capital One and PNC Bank lead with risk density above 65%
BNP Paribas’s default contributions hit record high in H1
Requirements from CCPs up 19% across 13 EU and UK banks
RBI’s modelled market charges surge 31% as SVAR spike
Widespread volatility in first half of year inflated stressed gauge despite 2022 wind-down of rouble positions
Morgan Stanley’s default fund contributions jump $1.9bn in Q2
Aggregate increase across US clearing banks pushes requirements to highest point since 2021
BTFP becomes top source of Fed funding
Emergency lending program accounts for over 54% of loans extended to US dealers by the central bank
CME, DTCC lead CCPs on operational failures
Analysis of 15 clearing houses shows outages lasting 34 hours in the past year – highest figure since 2019
Deutsche’s IRC peaks at record high during H1
€905m charge for trading book default and migration is largest among global dealers
Extremes of extremes: risk assessment for very small samples with an exemplary application for cryptocurrency returns
The authors propose a means to carry out worst-case risk assessments from small sample sizes and demonstrate it using cryptocurrency returns as an example.
Citi, JP Morgan slash $3tn of OTC notionals in Q2
Trimming of cleared portfolios bucks trend across top US banks
Energy credit risk benefits from next-generation technology
Advances in energy credit risk technology are improving the accuracy and efficiency of the credit risk function, says credit risk technology expert
UBS leapfrogs global peers following Credit Suisse takeover
Swiss lender reports big increases in RWAs, leverage exposures and other key metrics
US systemic risk scores hit records at JPM, Citi and 5 others
Riskiness of top dealers inflated by fair-value securities and higher reliance on short-term funding
Northern Trust’s market risk surges ninefold in Q2
Market risk exposure jumps to $673 million, the highest level on record
Rate of cleared OTC derivatives rises at European banks
Swedbank leads dealers in secular trend towards clearing space