Opinion/Risk management
Compression lessons from Japan
Chinese banks remain reluctant to compress, but Japan’s example offers succour
Credit data: doom loop depends on sovereign strength
Analysis of 59 countries shows bank and sovereign credit are most likely to be correlated in lower-rated countries
Op risk data: SEC issues first fine under cyber risk rule
SocGen provisions for sanctions violations; has the SMR prompted more bank CEO resignations? Data by ORX News
Podcast: Montoro on FRTB thresholds and non-modellable risks
Senior risk manager also argues Kolmogorov-Smirnov test is better than Chi-squared
Cryptocurrencies: king’s ransom or fool’s gold?
Extreme volatility makes products an unreliable store of value – for now
Risk.net podcast: DTCC’s Lind on FRTB, data pooling and NMRFs
As many as 70 banks globally could adopt internal model approach for market risk capital
Op risk data: Swiss banks suffer tax-dodging fines
ZKB settlement takes top spot in August loss list. Data by ORX News
Counterparty credit exposure won't spark the next Lehman
Curbing of riskiest exposures and shedding of assets means banks in far better shape 10 years on
Credit data: zeroing in on supply chain risk
Data highlights the risks posed by economic protectionism, writes David Carruthers of Credit Benchmark
Financial risks don’t go on holiday
Better mapping of financial system would help avoid seasonal surprises, argues Andrew Lo
Risktech start-ups: survival of the fittest?
A new breed of vendors could change the face of risk management, if they can hang around long enough
Op risk data: South Africa’s VBS Bank in $100m fraud loss
Top five events also include John Hancock, Deutsche Bank settlements. Plus PPI roundup. Data by ORX News
Credit data: Trump tax cuts have not hurt US states
Tax package is double-edged sword for US states, but credit has strengthened over past year
Credit data: default risk still growing for Italy’s banks
Despite a drop in the bad loan ratio, default estimates continue to rise, writes David Carruthers of Credit Benchmark
Podcast: Lo on adaptive regulation, machine learning, bitcoin
MIT quant says next project will be to combine behavioural science with tech such as machine learning
Op risk data: SocGen suffers twin blow with Libor, Libya losses
French bank takes top two slots in monthly loss data roundup. Plus review of H1 losses. Data by ORX News
Bank boards: goodbye to the prawn sandwich brigade?
Focus on personal liability makes risk committees a more effective challenge, say banks
If regulations don’t bend, they’ll break
Financial regulation should be adaptive, not reactive, argues Andrew Lo
Op risk data: Mexico bank hack fuels global payment network fears
Also: roundup of monthly loss data sees Wells Fargo in top slot for second month running. Data by ORX News
Credit data: ‘dirty diesel’ woes weigh on autoparts firms
Auto supplier default risks have jumped, as environmental concerns hit prospects for diesel vehicles, says David Carruthers of Credit Benchmark
Model risk in the transition to risk-free rates
Transition is an opportunity to reduce multi-rate complexities, say Bakkar and Brigo
Op risk standard will hike capital by 11% – latest data
Rises in capital under SMA will vary depending on regulator treatment, writes op risk expert
Rolet is right – for now
CME/Nex deal could change the established logic on how to deliver rates market savings
Simple models won’t cut it for systemic risk
Understanding interconnectedness and capturing it within models is a key challenge, say quants