Risk management
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
The impact of climate change on banks
Over the past few years, concern and public discussion around environmental damage and climate change – and their social impacts – have increased dramatically. Peter Plochan, principal risk management advisor at SAS, discusses some key ideas to allow…
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
Climate risk management – A self-assessment of progress
Due to a combination of increasing social pressure, demands for better disclosure from investors and emerging regulation, companies are increasingly questioning the extent to which they are incorporating climate change into their global risk management…
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…
Energy25 winners in review
Energy25 aims to capture, define and analyse an important period in the development of energy markets, providing an invaluable yardstick for all participants. More broadly, it represents the latest stage in the strategy of defining, researching and…
Credit risk – The bank data challenge in frontier markets
As the regulatory net tightens, banks working in and across frontier regions are under pressure to source and maintain more accurate data in the assessment of counterparty credit risk, but some are investing in tools to tackle the problem
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
ECB risk ratings find banks wanting
Fewer banks scored highly in SREP assessment than in 2017 and 2018
EU council dials back on margin haircuts for CCP resolution
Lawmakers close avenues for regulators to dip into non-defaulting members’ initial margin