Risk
Libor webinar playback: spotlight on loans
Panellists from McKinsey, the LSTA and UBS discuss efforts to switch lending to new benchmarks
Operational uncertainty – An unavoidable challenge
The transition from Libor to a new risk-free rate has revealed a number of challenges for all financial markets participants – the nature and scope of what lies ahead is vast, impacting businesses, operations and support functions. KPMG‘s global Libor…
At Numerai, real-world figures need not apply
AI hedge fund CEO sees the light in black-box technology
India exchange to debut rupee derivatives settled in US dollar
Launch of onshore futures and options unlikely to dent offshore volumes, though
Dealers turn to mid-cap and EM deal-contingent trades
Premiums of more than 25% are attractive to banks battling low vol and increasing competition
Treasurers turn to AI in bid for sharper forecasting
Wider automation could usher in future of ‘hands-free hedging’, but obstacles lurk in data standards and sharing
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…
SOFR discounting – Analysing the market impact
The switch to secured overnight financing rate (SOFR) discounting brings several complex issues and is impacting market practices. Ping Sun, senior vice‑president of financial engineering at Numerix, discusses the key issues, such as the differences…
Understanding the significance of SOFR discounting for derivatives trading and risk
Two years in, the transition toward secured overnight financing rate (SOFR) has seen several milestones crossed, with 2019 in particular seeing a strong acceleration in SOFR usage. With all the SOFR trading activity that has taken place so far, the…
ICAAP/ILAAP – How can banks improve the process?
Regulators consider banks’ internal capital and liquidity adequacy assessment processes (ICAAP/ILAAP) – important tools in managing risk
Neuberger Berman gets its Sherlock on
Asset manager deploys quant-cum-sleuth to sniff out portfolio risk
Near-real-time monitoring in real-time gross settlement systems: a traffic light approach
This paper develops a method to identify quantitative risks in financial market infrastructures (FMIs) that is inspired by the Principles for Financial Market Infrastructures.
Empirical analysis of oil risk-minimizing portfolios: the DCC–GARCH–MODWT approach
This paper strives to analyze hedging strategies between Brent oil and six other het- erogeneous assets – American ten-year bonds, US dollars, gold, natural gas futures, corn futures, and Europe, Australasia and Far East exchange-traded funds (EAFE- ETFs…
Signing the Libor fallback protocol: a cautionary tale
As Orwell’s Room 101 beckons for Libor publication, muRisQ Advisory’s Marc Henrard warns of a potential pitfall in the fallback protocol
On eve of Brexit, PPF’s chief risk officer isn’t too worried
Stephen Wilcox talks about getting pensions paid without the benefit of controlling ‘UK Plc’
Top 10 operational risk losses of 2019
Fraud, embezzlement, tax evasion, subprime (still) and rogue trading – and Citi crops up twice. Data by ORX News
Outsourced model validation: is it viable?
Consortium promises cost savings in outsourcing model validation, but some say pooling doesn’t float
Dark materials: how one academic is delving into data
David Hand shines a light on dark data and the dangers of distortion by absence
How AI can automate model validation testing and continuous monitoring
As the business environment becomes more complex – and as regulatory scrutiny increases – it has never been more crucial for financial institutions to ensure their models are robust and fit for purpose.