Risk magazine/News
Enria takes aim at eurozone banks’ sovereign exposures
New ECB supervision chair floats Pillar 2 concentration charge, criticises use of IFRS 9
Planned US capital buffer endangers shareholder payouts
CCAR-based stress capital buffer would hit healthiest banks harder than weaker rivals
Brexit to deliver further blow to Mifid transparency data
Market participants say duplicate reports in UK and EU will result in misleading public data
Fed may delay counterparty limits for foreign banks
Other countries need time to catch up on Basel large exposures rule, Fed official says
‘No way’ to avoid no-trade lists in no-deal Brexit
EU clients are likely to sever some cross-border ties with UK banks
Firms fear Mifid-style reporting crunch for Brexit day one
Operational clarity still needed to fully implement system changes in time for April 1
Drop margin on swaps leaving Libor, Basel says
Joined by Iosco, Basel says moves to Libor successors should not be saddled with margin requirements
CFTC official: CCPs should war-game default auctions
Risk appetite should be factor in selecting auction participants – Wasserman
Time running out for Brexit data compliance, Bailey warns
FCA head also highlights shortfall on Mifid trading venue equivalence
CFTC seeks trading venue equivalence in Asia
As it strives for a seamless Brexit, the CFTC also nears deals with Asian jurisdictions
UK quant academics fear Brexit brain drain
Brexit hitting graduate jobs, funding and “driving European academics away from the UK”, say universities
Foreign banks expect Fed proposal imminently
New framework for tiering FBO requirements could come as early as this week
Mifid data publishers drag feet on Esma guidelines
Four publishers yet to align post-trade data format with Q&A issued eight months ago
A rush on Libor fallbacks to head off holdouts
Concerns that valuation changes will scare some off adoption may be accelerating Isda timeline
Modelling interrelated shocks will improve stress tests – research
Call for regulators to ditch standard scenarios for more sensitive approach
Banks rocked by U-turn on FRTB equity risk weights
Risk managers warn of higher capital charge after Basel reverts to original 2016 treatment
Legislative fix sought for Libor fallbacks
Federal law makes it “almost impossible” to change benchmark rates for FRNs
Metro Bank loan blunder perplexes industry
Bankers surprised risk-weight errors went unnoticed, warn they could harm bank’s IRB aspirations
Fed to persist with insurance capital proposals
Quarles indicates Fed will follow through on building block approach designed by previous board
EU parliament OKs no-action powers but leaked doc signals delay
Council note means regulators may not get no-action powers until at least November
Final FRTB internal model rules get mixed reviews
Bankers divided on whether changes to two key tests will ease ‘penal’ capital charges
Princeton tops inaugural Risk.net quant master’s ranking
Course sees off competition from Berkeley’s Haas and three New York schools
FICC takes firm grip of US repo market
Central counterparty wrangled more money market repo cash than banks did by end-2018
Fed economists float new way to project op risk losses
Researchers suggest combining firm’s size with loss history to best predict losses under CCAR