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
$200m loss suffered by bank’s clearing business is thought to be mystery second default
This paper determines if enough data is available for forecasting or stress testing, a better measure of data length is required.
AI hedge fund CEO sees the light in black-box technology
New EU rules on liquidity stress-testing force fund managers to hunt out clues on investors
Off-balance sheet funding is large, rising and not fully accounted for in leverage metrics
Banks and exchanges worked through weekend in anticipation of oil collapse
Op risk managers steel their firms for looming pandemic amid an expected rise in cyber attacks
Members still gripe about arcane policies, but risk management fundamentals are strong
Risk of downed systems, from hack or outage, continues to make op risk managers fret
Firms struggle to reduce headcount and fill gaps without cutting corners
Root-and-branch reform of bank culture remains a work in progress
Risk managers cite data compromise, theft & fraud and third-party risk among other top worries
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.
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…
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.
Using a simple model, this paper derives two results that provide guiding principles for hedging by, and capital regulation of, financial institutions.
Pillar 2 capital add-ons are becoming increasingly elaborate
Clearer’s proposed changes follow client fears of being locked out