Feature/Risk management
Alt data aims to shake up credit scoring business
Young firms, using machine learning methods to scrape consumer info, challenge established agency model
Hammer time? Clearers mull co-operation on default auctions
Some CCPs are mooting joint auctions to resolve large defaults – but critics deem them unworkable
Covid-19 tumult prompts rethink of buy-side risk management
Buy-side risk survey: investment firms making changes to their risk reports, stress tests and concentration limits
Quant finance courses tested by Covid’s echoing classrooms
Universities fret over drop in international students and demands of online learning
How UBS AM dealt with Covid-19 crunch
Buy-side risk survey: Swiss giant had planned for liquidity squeeze, says CRO – but not one like March
Funds turn to stress-testing in fast-forward and reverse
Buy-side risk survey: Covid-19 is changing the way investors think about stress tests
IFRS 9 and the loan loss lottery
As reserves for bad loans balloon, banks grapple with measuring Covid-era credit risk
Why investors are stuck with flawed VAR models
Buy-side risk survey: VAR wasn’t much use in March, but it is ingrained in the industry
Before and after the Covid-19 storm: buy-side risk survey
Wide-ranging survey reveals what worked and what didn’t in March – and what will change as a result
Investors rethink ops resilience for a pandemic-proof future
Shift to remote working sees asset managers focus on comms, tech and cyber risks
Concerns roil prop clearing waters in wake of ABN losses
State-backed lender insists few clients have defected – but sharks circle, post-Parplus
Risk Technology Awards 2020 – Coping with Covid uncertainty
Scenarios scrapped, rules revised and holes plugged – how the winners of the Risk Technology Awards 2020 are adjusting to the Covid‑19 pandemic
Conduct risks stalk banks in Libor transition
As replacement rate concerns become more pressing, firms fear Libor lawsuits and regulatory wrath
Credit problem: SOFR faces uphill struggle in loan market
Furnishing Libor’s replacement with a credit-sensitive spread is proving to be a Sisyphean task
Clearing banks feel pinch as rates turn negative
Negative returns on dollar deposits at Eurex, Ice and LCH spur talk of business model change
Covid scenarios: finding the worst worst-case
As pandemic trashes historical data, a Risk.net tie-up with Ron Dembo’s new outfit tests promise of polling
Count them in? Big US banks mull PCAF carbon standard
BofA, Citi and Wells Fargo looking to adopt emissions standard popular with EU lenders
Bachelier – a strange new world for oil options
Model tuned to negative prices has implications for pricing, margining and delta hedging
The mysterious disappearance of a Chicago trading giant
Puzzling losses, a closely guarded auction and possible redemption – sources unpick Ronin’s collapse
To model the real world, quants turn to synthetic data
Future financial models will be built using artificially generated data
As Covid snaps credit models, lenders turn to stress-testing
Banks enlist scenario analysis to bolster creaking default models
The Fed’s stress capital buffer: relaxed but not relaxing
Bankers welcome key methodology improvement, but final rule could still curb dividends
‘Huge role’ for quants in Covid-19 response – MIT’s Lo
Policy-maker actions or missteps will drive markets, academic says
Splits emerge over EBA’s stress test 2.0
Experts question utility of separate bank leg that won’t feed into capital requirements