Risk management
FRTB 2.0: lower capital but high running costs
Revisions to market risk rules fail to ease complexities of internal models approach
The utility of Basel III rules on excessive violations of internal risk models
In this paper, the author looks at the efficacy of risk measures on energy markets and across several different stock market indexes, and calculates both the value-at-risk (VaR) and the expected shortfall (ES) on each of these data sets as well as on…
Wall Street vets vie to be BlackRock of crypto
Fund launch uses fundamental analysis to identify value propositions in high-risk industry
Apac bank boards: light on risk experience
Survey of 24 large Apac bank board risk committees shows dearth of risk managers
Calling out autocallable pricing
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
Podcast: Kenyon and Berrahoui on the pitfalls of PFE
Quants propose replacement to existing credit risk measure
Eurex Clearing names new CRO
CCP’s risk analytics head will replace Laux in July
Extending the ETF frontiers: Institutions are finding new ways to use ETFs
Growing institutional adoption of exchange-traded funds (ETFs) has been an undeniable trend over the past few years. In this article, Hong Kong Exchanges and Clearing (HKEX) explains why institutions are increasingly using ETFs to gain targeted exposure,…
Bank risk manager of the year: UBS
Risk Awards 2019: Bank heeds lessons of past structured products routs to navigate February volatility
A review of the state of the art in quantifying operational risk
In this paper, the authors provide a comprehensive review of the different approaches developed to model operational risk, specifically focusing on the actuarial approach.
Global perspectives on operational risk management and practice: a survey by the Institute of Operational Risk (IOR) and the Center for Financial Professionals (CeFPro)
This paper presents survey results which represent comprehensive perspectives on operational risk practice, obtained from practitioners in a wide range of countries and sectors.
Brexit set to jack up banks’ capital costs
Split into UK and EU arms will reduce netting benefits and capital flexibility
Basel turns its attention to operational resilience
New working group will focus on business continuity in the age of cyber threats
Greece slashes rates exposure with €35 billion swap programme
Sovereign debt agency entices 18 banks into hedging programme, locking in historic low rates on bailout loans
Sovereign risk manager of the year: Greece’s Public Debt Management Agency
Risk Awards 2019: PDMA’s innovative €35bn swap programme helps slash sovereign’s interest rate payments
Buy-side risk manager of the year: Citadel
Risk Awards 2019: hedge fund CRO is intent on steering clear of the “history trap”
Anticipating change – How GRC teams can empower the first line of defence
Financial firms are increasingly adopting the three lines of defence framework to manage risk. But how has the model evolved to date and what does the future look like for this key risk management tool?
Corporate risk manager of the year, Asia: Engie Global Energy Management
Energy Risk Asia awards, 2018: Engie maintains global LNG presence and enhances risk management after sale of upstream assets
The disputed terrain of model risk scoring
There is no concord on how banks should police their model risk. But two Fed economists have an idea
Fed’s Brainard wary of black box AI models in consumer credit
Speech raises explainability issue; says existing model risk guidelines are “a good place to start” in regulating AI
Choosing the right model for non-cleared OTC margining
When the final phase of the swaps market’s new margining regime takes effect in 2020, hundreds – possibly thousands – of buy-side firms will be hit by complex margin requirements.
Global investors go local for Indian distressed assets
Number of domestic companies set up to invest in bad loans doubles in two years
AI data could be tainted even as it’s being cleaned
Risk USA: Expert says even touching raw data could lead to loss of context