Risk management
The information value of past losses in operational risk
The authors argue that past operational losses inform future losses at banks and that the information provided by past losses results from their capturing factors that are hard to quantify in other tests.
The case for modularity and interoperability
This report, produced by WatersTechnology and Broadridge, investigates the extent to which firms have optimized their entire trade lifecycles, the structure, challenges and interoperability of their front-office systems, and what they most value when…
Does board diversity mitigate firm risk-taking? Empirical evidence from China
The authors explore the relationship between firm risk and both demographic and cognitive-oriented board diversity.
Integrating ECL onto a stress-testing platform: portfolio composition
How to grow a portfolio that is internally consistent with a stress scenario
Leveraging compliance: the looming challenges of the post-FRTB paradigm
FRTB guidelines will soon be implemented across a wide section of the global financial industry and will introduce a mountain of complexity to risk management standards and practices. Roger Coroas, head of business development, North America at…
US banks seize chance to transfer securities from HTM to AFS
Wells Fargo, JP Morgan and Citi reclassify $34bn following new hedge accounting treatment
Decrypting crypto: understanding the requirements for successful institutional participation
Part 2 of this new white paper series continues to explore the adoption of cryptocurrencies within institutional markets.
Leaders’ panel: risk culture 2.0: redefining attitudes and behaviours in an era of change
Amid an increasingly complex risk landscape, regulators’ expectations around culture and conduct have become more stringent.
ESG strategies special report
This Risk.net special report sponsored by SAS features a series of articles that reflect on the latest initiatives for consistent standardised global frameworks for measuring ESG, consider the methodologies investors are using to make measurable progress…
JSCC and the future of clearing and settling yen-denominated trades
The Japanese Securities Clearing Corporation (JSCC) explores how market participants can benefit from a wide array of yen products while accessing robust risk and margin management frameworks with a high level of transparency
Integrating ECL onto a stress-testing platform: credit risk characteristics
How credit loss in the ECL process can leverage changes in the credit risk profile of a portfolio during a stress scenario
Integrating ECL onto a stress-testing platform: scenarios
Strategies for producing stress-testing ECL values that comply with IFRS 9, as well as CECL standards
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