Opinion/Risk management
Monthly credit data review: UK corporates’ post-Brexit slide
UK financials show steady post-Brexit decline in credit quality
Monthly op risk losses: Equifax breach sparks regulatory review
Breakdown of top five loss events, plus spotlight on Sweden’s largest ever phishing attack. Data by ORX News
Unskewed incentives: making governance work
EIB model head explains a four-step process for putting risk at the centre of governance efforts
Monthly op risk losses: Aequitas faces $192m loan settlement
Breakdown of top five loss events, plus ECB’s Ireland fine and mortgage losses in Spain. Data by ORX News
The bald truth about collateral haircut modelling
HSBC’s Wujiang Lou says parametric modelling of haircuts has many advantages over historical VAR
Why no one can handle technology risk
IT missteps can destroy banks – boards need to take them seriously, argues author Patrick McConnell
Monthly credit data review: energy sector firing on all cylinders
Bank-sourced credit data shows rising confidence about oil and gas firms
CCP stress testing gets real
Quants propose technique to generate effective, plausible CCP stress-testing scenarios
Modelling cyber risk: FAIR’s fair?
Proponents say factor analysis can be applied to cyber risk; detractors retort results are still guesswork
Monthly credit data review: the Amazon effect and a rising Russian state
David Carruthers of Credit Benchmark looks at bank, sovereign and corporate credit risk data
Adjusting to the P&L attribution test in FRTB
Consultants offer tips on eligibility framework for new internal models approach
Op risk capital fight a limp political thriller
Battle to replace AMA with non-models approach was beset by nationalistic squabbles
What the ambitions of China’s banks mean for Hong Kong
Political war of words over former colony means little; it’s the appetite of mainland banks for local dominance rivals should watch
Monthly credit data review: PDs imply Brexit stress
Default risk for group of UK corporates has risen 11% over the past year
Analyse this: the future for quants
Quant headcount is up on pre-crisis levels, but jobs in front-office functions have been decimated
The quant factory: not muppets, but not perfect
Universities offering quant master’s programmes must adapt to stay relevant, writes UBS’s Gordon Lee
The untapped potential of stress tests
Quants propose technique to include stress testing in portfolio allocation
Don’t let the SMA kill op risk modelling
The SMA is not a good response to the AMA’s failings – but don’t throw the baby out with the bathwater
Monthly credit data review: new-tech scepticism
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
Memo to bank CEOs: treat op risk with more respect
High-profile critics of op risk capital rules are misguided, say Ariane Chapelle and Evan Sekeris
How Europe can fix the Basel IRRBB standards
Building an outlier test for interest income would be better than the standardised EVE approach