News/Risk management
PNC appoints new chief risk officer
Super-regional, soon to be US’s fifth-biggest bank, switches risk chief
Deutsche Börse eyes quantum computing
Pilot application to model enterprise risks cuts computation time from 10 years to 30 minutes
Buy-side physical FX clearing at LCH faces scepticism
Lack of clearing mandate and settlement wrangles mean demand for putative service remains weak
After Texas storm, CFTC’s Behnam renews carbon trading push
Smaller banks imperilled by economic shocks from freak weather, says acting CFTC chair
Futures industry weighs need for new post-trade utility
Three large FCMs say standardising trade allocations could prevent a repeat of breaks seen during Covid volatility
Nasdaq held Aas portfolio for nine months after blow-up
Swedish regulator reveals CCP’s decision to keep defaulted power portfolio – and claims it was not fully hedged
Nasdaq whacked with $36 million fine over Aas default
Swedish regulator’s fine poses serious questions over default management and margining, while providing few answers
FCMs to let clients offset swaps and futures margin at Eurex
Banks target Q2 support for client cross-margining following lengthy lobby effort from hedge funds
Jumbo Goldman 1MDB fine upends 2020 trend to lower losses
Financial fraud and fat fingers loom large, but annual top 10 op risk losses still show fewer fails. Data by ORX News
Deutsche Bank lines up new head of op risk
Appointment follows departure of Bakhshi to CRO role at LSEG
Don’t blame CCPs’ models for Covid margin spikes – WFE
Lobby group counters popular view that tools could ease procyclicality; puts focus on liquidity management
Quant Guide 2021: Princeton still top, but runners-up close gap
Baruch takes second spot; Zurich, top-ranked European programme, rises to fourth
FCMs fret over S&P 500 options settlement changes
Dealers say CME, Cboe settlement time shift for S&P 500-linked options causes risk management headache
US regulator casts doubt on key SA-CCR netting benefit
OCC rejects suggestion banks can net certain cleared client exposures; Fed stays silent
SA-CCR tweak could slash equity risk charge – research
Better calibration would cut equity options exposures in half, research finds
HSBC exec: measure culture through smarter surveillance
Machine learning could help gauge positive sentiment from surveillance logs, says Elhedery
Podcast: Matthias Arnsdorf on a new – and cheaper – KVA
Quant proposes approach anchored by a dealer’s default rate rather than its return on equity
SA-CCR switch clouded by confusion over netting sets
An effort by US regulators to incentivise the switch to SA-CCR may be having the opposite effect
Regulators’ margin model rules too lax – BlackRock exec
Risk USA: EU anti-procyclicality rules like “putting a curtain over a draughty window”
Covid-19 overwhelmed stress-testing models – banks
Risk USA: lenders forced to apply management overlays to models skewed by macro inputs
UBS gears up for another tilt at clearing
Swiss bank makes senior hires and upgrades tech platform ahead of Brexit and leverage offset
Regulators voice concerns over cloud risk
Risk USA: failure of big cloud service provider could cause “a very large shock”, says NY Fed exec
Regions deploys early-warning tool for credit risk
Risk USA: system alerted US superregional to impending defaults during Covid crisis
NY Fed’s Stiroh: ‘cultural capital’ at risk in pandemic
Risk USA: remote working could “erode” the culture of financial firms, says senior regulator