Risk management
At US banks, less than 50% of liquid assets classified as AFS
Goldman Sachs reported smallest proportion relative to HQLAs across US banks subject to LCR
Like SVB, five other US lenders saw negative NII growth in 2022
Ally, Customers, First Foundation, Morgan Stanley and PacWest were pressured by rising rates
Dynamic class-imbalanced financial distress prediction based on case-based reasoning integrated with time weighting and resampling
The authors put forward a dynamic class-imbalanced CBR FDP model which is shown, using data from Chinese listed companies, to outperform static and dynamic CBR FDP models without resampling or time weighting.
Top 10 operational risks for 2023
The biggest op risks for the year ahead, as chosen by senior industry practitioners
Reading between the fines: a deep dive into financial institution penalties in 2022
Fenergo’s latest research report on financial institution penalties in 2022 is available now. Key analysis shows that fine values in Apac were just 0.77% of what they were in 2021
Incorporating climate risk into ALM frameworks for banks
Banks are coming under increasing regulatory pressure to incorporate climate risk into their risk management frameworks. An emerging focus is incorporating climate risk into the asset-liability management (ALM) function. This webinar explores this new…
Operational risk: a global examination based on bibliometric analysis
The authors quantitively assess the quality of research on operational risk and find that research in this area has grown in popularity in recent years.
EU snub to clearing carve-out hurts optimisation efforts
Forcing firms to clear risk-reducing trades would squeeze collateral and potentially hike liquidity risk, dealers warn
Ion: after the hack, the clean-up
Some clients now using Ion systems again, but synchronising data with CCPs could take days
Navigating the volatility and complexity of commodity markets
Commodity markets have experienced significant challenges since the Covid-19 pandemic, the conflict in Ukraine and the subsequent sanctions imposed on Russia. These unprecedented events have caused fluctuations in supply and demand, disrupted global…
Risk solutions house of the year: BNP Paribas
Risk Awards 2023: Liquidity swaps provided safety net for European utilities at height of energy crisis
Structured products house of the year: JP Morgan
Risk Awards 2023: Tech investment propels fixed income expansion and back-to-back autocall hedges
Transforming risk controls for next-level decision-making
In an exclusive Risk.net panel session, convened in collaboration with ServiceNow, experts discussed the unique challenges facing risk and resilience practitioners, and the utilisation of frameworks and risk quantification for optimal decision-making…
ESG: the new risk factor in your portfolio
Risk officers, managers and quants at leading buy-side firms are experimenting with ESG as an ‘alpha enhancement’ to day-to-day risk management, to stay ahead of the pack and boost profit-and-loss margins
ESG: the new risk factor in your portfolio
This white paper charts the progress made in this endeavour and reveals how risk officers, managers and quants at leading buy-side firms are experimenting with ESG as an ‘alpha enhancement’ to day-to-day risk management, to stay ahead of the pack and…
Leveraging data science for next-generation risk and P&L
Alexei Tchernitser, director of analytic solutions at Quantifi, discusses the impact data science has had on next-generation risk, and profit and loss (P&L)
Digital banks: harnessing technology to deliver growth
In their relatively short lives, digital banks have needed to navigate some choppy waters, but the stormy economic outlook for 2023 could mean the roughest seas are yet to come. Weathering the storm will require digital banks to make astute technology…
Optimising balance sheet management in today’s market conditions
Financial institutions are going to continue struggling with challenges and volatility in 2023
Machine learning for categorization of operational risk events using textual description
The authors summarise ways that machine learning can help categorize textual descriptions of operational loss events into Basel II event types.
Complying with climate risk framework standards for streamlined processes
Conscious that climate change affects all sectors of the economy, financial institutions are realising the significant impact this will have on their customers and, ultimately, their own profit margins.
Complying with climate risk framework standards for streamlined processes
Financial institutions worldwide are actively studying ways they can integrate climate risk management into their more traditional risk frameworks
Analyzing the global usage of XVAs
This white paper presents the most interesting survey findings. The survey aimed to understand current XVA usage and practices within a still diverse implementation global landscape of XVA
Connecting digital islands: CBDCs
Around the world, momentum for exploring central bank digital currencies (CBDCs) is growing. Nine in 10 central banks are already pursuing their own forms of digital value, accounting for 90% of global GDP
The quant investor harnessing the power of ants
Swarm Technology designs network of trading algorithms that mimics hive mind of insects