Higher values for 10 of 14 systemic risk indicators could see capital surcharges increase later this year
Fed vice-chair proposal to reduce ‘cliff effects’ could add between 40bp and 10bp to capital requirements
Plans to prevent G-Sib score window dressing would penalise all US systemic banks bar Citi
US banks are using held-to-maturity bonds to underpin liquidity adequacy, grating against accounting guidance. What happens if they’re forced to sell?
With assets more than doubling to $219bn, acquisitive bank flirts with Category III designation
Every indicator up on previous year, only the second time in G-Sib assessment history
Second-largest US lender assigned to 2% capital add-on bucket in latest systemic risk assessment
Revision in substitutability category inflates mid-sized banks’ score, lowers G-Sibs’
Bank lowered bid-offer fair value discount to reflect current levels of market liquidity
Lack of data granularity on Russian exposures should prompt a rethink by regulators and banks alike
Rate hike expectations led to the highest level on record of contributions to the CCP’s default fund
RWA density edged higher at two dealers in the third quarter
Banks slapped with extra 50 basis points of capital add-on
Market RWAs expected to rise $3 billion–4 billion next quarter as a result
Digitalisation – already a key agenda item for energy firms – has become an even bigger priority as firms transition to low-carbon businesses. However, the benefits of digitalisation are accompanied by a huge rise in cyber risk.
Standardising stress drivers could help smooth differences between bank loss estimates
State backing for domestic companies is hard to gauge, as new investors are discovering
In this paper, the authors show how to exploit the available data to build portfolios that better fit the risk profiles of investors. This is made possible, on the one hand, by constructing groups of homogeneous risk profiles based on user responses to…
Machine learning shows promise in grouping assets better, predicting regime shifts
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
This paper proposes a method to extract deposit lifetime data from individual account transactions.
Guillaume Arnaud, global head of quantitative investment strategies (QIS), and Sandrine Ungari, head of cross-asset quantitative research at Societe Generale, explore the benefits of QIS for investors, why flexibility is crucial for investors to meet…