Risk
Credit risk & modelling – Special report 2021
This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.
Rate of centrally cleared CDSs hits record high
Multi-name products drove increase in first half of 2021
People moves: Quarles quits Fed, CS credit team exodus continues, and more
Latest job changes across the industry
Libor basis swaps jump amid rates uncertainty
Trading in the one-month, three-month basis highlights the market’s preference for Libor
ABN Amro’s market risk drops as VAR falls 53%
Total market RWAs down 4% quarter on quarter
Prudential CRO: markets haven’t priced in tail risks
Risk USA: distribution of extreme outcomes “has gotten broader and wider”, says Nick Silitch
Data-driven execution: looking back to see forward
Reviewing favourable outcomes and attempting to replicate them is by no means a new concept across the capital markets. Portfolio managers, execution professionals and risk managers use this principle to drive their decisions, although it is really only…
PRA sets StanChart’s structural FX risk under Pillar 1 requirement
Market RWAs expected to rise $3 billion–4 billion next quarter as a result
Credit Suisse set for op RWA hike as litigation charges pile on
Sfr1bn increase expected to accrue over the next six months
Barclays’ F&O clearing unit boosts client margin by $2.1bn
JP Morgan remains the FCM with the largest share of required segregated customer funds for futures and options trades
State Street shrinks gap in the custody assets race
Boston-based bank reports largest quarterly increase among top US custodians
Capitalising on commercial mortgage-backed securities
Maximising value from better risk management and deal efficiency
Banks and Fed still stuck on cyber loss data sharing
OpRisk North America: Fed “trying to understand the best way to leverage cyber data”, says Curti
Credit Suisse’s US clearing unit cuts client margin by 37%
Required segregated customer funds down more than a third since Archegos blowup
JP Morgan’s VAR falls to lowest since 2018
Gauge of trading risk drops 20% quarter on quarter, driven by commodities and equity desks
NSCC caught $5 billion short in June
Worst-case losses would have wiped out the CCP’s available liquid resources on two separate days in Q2
Establishing an effective conduct risk framework
The stakes have never been higher when it comes to conduct risk. Regulators now look to hold senior managers personally liable for the misconduct of their employee populations and, with teams more globally dispersed, managing conduct and culture is more…
Systemic US banks’ bail-in buffers rose in Q2
Morgan Stanley posts largest amount of headroom, while Citi, State Street and Wells Fargo trail behind
Energy Risk Asia Awards 2021
Recognising excellence in energy risk management
Risk Technology Awards 2021
Recognising vendor excellence in credit, operational and enterprise-wide risk management
A new metric for liquidity add-ons: easy as ADV, but better
Proposed measure allows brokers to calculate stable, stock-specific liquidity add-ons
Rethinking the model lifecycle: from quick fixes to long-term gain
Covid-19 has caused widespread disruption to banks’ risk models. Some failed in the crisis while others have required significant overlays or frequent recalibration as extreme volatility has given way to ongoing uncertainty. As banks seek more agile…
Systemic indicators surged at European banks in 2020
Values used for 10 of 12 systemic risk indicators climb year-on-year
Wells Fargo, Citi amass losing days in Q2
On average, the eight top US banks reported 32 loss-making days