Risk
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
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
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