Risk
Six CCPs fail to cover concentration risk in Esma stress test
Largest shortfalls modelled in commodity derivatives segment, led by Ice Clear Europe ECC
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
Citi propels G-Sibs’ OTC derivatives notionals to nine-year high
Bank leapfrogged Goldman as fourth-largest derivatives dealer after 20% jump over 2022
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