Risk management
Uncleared margin – The changing needs of buy-side firms
Raf Pritchard, head of triResolve, discusses the initial margin calculation and collateralisation challenges for firms coming into scope under phases five and six of the uncleared margin rules
ABN winds down Ronin books after Vix losses
$200m loss suffered by bank’s clearing business is thought to be mystery second default
Measuring economic cycles in data
This paper determines if enough data is available for forecasting or stress testing, a better measure of data length is required.
At Numerai, real-world figures need not apply
AI hedge fund CEO sees the light in black-box technology
Funds try to predict behaviour of mystery investors
New EU rules on liquidity stress-testing force fund managers to hunt out clues on investors
Leverage is underestimated
Off-balance sheet funding is large, rising and not fully accounted for in leverage metrics
Oil price shock triggers big margin calls
Banks and exchanges worked through weekend in anticipation of oil collapse
A peek inside op risk managers’ coronavirus response
Op risk managers steel their firms for looming pandemic amid an expected rise in cyber attacks
Apac CCPs: we’ve come a long, long way together
Members still gripe about arcane policies, but risk management fundamentals are strong
Top 10 op risks 2020: IT disruption
Risk of downed systems, from hack or outage, continues to make op risk managers fret
Top 10 op risks 2020: talent risk
Firms struggle to reduce headcount and fill gaps without cutting corners
Top 10 op risks 2020: conduct risk
Root-and-branch reform of bank culture remains a work in progress
IT disruption chief concern in Top 10 Op Risks survey 2020
Risk managers cite data compromise, theft & fraud and third-party risk among other top worries
The pricing of firm-specific risk in emerging markets
This paper finds that a zero-investment strategy that goes long (short) in the highest (lowest) quintiles of firm-specific risk earns overall positive excess returns across twenty-one emerging markets.
Adapting to technological change in op risk management
Baker McKenzie‘s Jonathan Peddie explains how the role of operational risk manager has evolved in recent years, how financial firms are managing increasing demand for data privacy and transparency, and how technological advancements over the coming…
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…
An internal default risk model: simulation of default times and recovery rates within the new Fundamental Review of the Trading Book framework
This paper presents a new default risk model for market risk that is consistent with these requirements. The recovery rates follow a waterfall model that is based on a minimum entropy principle.
Hedging incentives for financial institutions
Using a simple model, this paper derives two results that provide guiding principles for hedging by, and capital regulation of, financial institutions.
Grand designs? Time to rein in the Pillar 2 project
Pillar 2 capital add-ons are becoming increasingly elaborate
OCC updates default auction rules to encourage buy-side bids
Clearer’s proposed changes follow client fears of being locked out