News/Risk management
Eurex upgrade timeline too tough, say banks
As exchanges prepare roll-out of major upgrades, banks are struggling to cope
Top 10 op risk losses for 2021 hog $15bn total
Despite more fraud and crypto crime, firms’ op risk losses fall in number and in volume. Data by ORX News
New model simplifies loan-loss forecasts. Some say it’s too simple
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
Buy side turns to extreme value theory to spot tail risks
Asset managers reappraise decades-old technique to gauge downside risks amid fears of volatile 2022
CCPs unlikely to be wiped out by op losses, research suggests
Former LCH risk chief says sharing loss data would help CCPs avoid risk of holding too little capital, or too much
EU’s IM model validation rules may put Simm in jeopardy
Draft RTS creates validation hurdles and cross-border conflicts, industry warns
SEC’s Peirce sees legal risk for dealers in new swap rules
Anti-fraud provision in proposal could expose margin calls to “potential liability”
McLaughlin departs London Stock Exchange Group
Former CRO and head of financial risk left the group in October
CME delays Span 2 rollout till at least mid-2022
FCMs ask bourse to postpone long-planned switch to new VAR model to allow more time for testing
You’ve got a Frandt: banks set to port EU clearing rules to UK
FCMs set to adhere to higher standard on commercial terms for swaps clients
US banks harbour concerns over agencies’ cyber risk rule
Lack of reporting template means “people can give the least amount of data possible”, warns CISO
Litigation threats seen delaying SEC climate disclosure rules
Efforts to demonstrate materiality of exposures to investment decision-making is taking longer than expected, say lawyers
EBA warns banks over loan-loss model tinkering
Senior executive says methods of adjusting IFRS 9 models to “smooth” outputs should be investigated
BofA clearing vet leaves to launch start-up
Brooks Stevens plans new venture after 27 years with Bank of America and Merrill Lynch
US megabanks lead push for agency clearing in Europe
Clearing through agency model would cut US lenders’ G-Sib capital surcharges
Eurex turns to Asia in euro swaps grab
Asia Risk Congress: German clearing house urges Asian firms to shift euro swaps clearing to EU
BoE hints at retaliation if EU derecognises UK clearing houses
Warning follows release of new BoE proposals for assessing foreign clearing houses
RBC applies ‘deep hedging’ to stress scenarios
Risk USA: machine learning model generates more realistic estimates of trading losses
Quants see promise in Bayesian machine learning
Risk USA: probability theory may hold key to creating ‘self-aware’ AI
Don’t follow the models: they’re lost, too – risk managers
Risk USA: managers cite Covid, repo crisis and geopolitical risks as examples of model failures
Scalability could trump complexity in machine learning debate
Risk USA: banks “on the precipice” of adopting more complex models, says Goldman exec
Prudential CRO: markets haven’t priced in tail risks
Risk USA: distribution of extreme outcomes “has gotten broader and wider”, says Nick Silitch
Climate scenarios: carbon price shock sees asset prices slump
Crowd-sourced scenario analysis suggests very few sectors safe from a post-COP carbon price pop
Funds brace for higher costs, worse terms after CS prime exit
Largest banks set to win business; others fear regulatory scrutiny of highly concentrated market