Opinion/Risk management
Op risk data: Deep woe as deep voice clone cons UAE bank
Also: ING mirrors ABN client loan loss; CS lands huge fine for tuna bonds. Data by ORX News
Estimating loan loss provisions may have just got easier
Commerzbank quant proposes shortcut to calculate lifetime loan loss reserves
Stable mates: the interoperability of cryptocurrencies
Why central bank reserves could be a better option for backing stablecoins than Treasuries
Op risk data: Crypto exchange BitConnect hit with $2bn lawsuit
Also: Legacy €1bn tax liability levied on WestLB ‘bad bank’; ABN and Wells Fargo compensate clients. Data by ORX News
An ‘optimal’ way to calculate future P&L distributions?
Quants use neural networks to upgrade classic options pricing model
Citi reorg the final note in failed swaps clearing model
Strategic shift from OTC clearing powerhouse to client support function marks the end of an era
Op risk data: DeFi-ant crypto hacker steals $610m
Also: Amundi fined for index manipulation; Wells pays out over client fraud. Data by ORX News
Machines can read, but do they understand?
A novel NLP application built on a Google transformer model can help predict ratings transitions
A new metric for liquidity add-ons: easy as ADV, but better
Proposed measure allows brokers to calculate stable, stock-specific liquidity add-ons
Op risk data: Westpac and Sumitomo among four banks hit by $359m fraud
Also: Misinformation in Lloyds Bank insurance renewals; AML fail at Amex France. Data by ORX News
Building forward-looking scenarios: why you’re doing it wrong
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
‘It’s the economy’: forecasting an op risk climate change spike
History of op risk suggests economic impacts of climate change could exacerbate losses, writes op risk head
Op risk data: Robinhood to pay $70m for meme stock failings
Also: Deutsche Bank’s wine corked after €10m FX swaps settlement. Data by ORX News
Hedge funds and the rebound in collateral velocity
Reuse rate of collateral points to growing fragility and interconnectedness in financial markets
Op risk data: UBS, Nomura, UniCredit hit with $450m cartel fine
Also: State Street collared for expense overcharging; S&P’s Vix mix-up. Data by ORX News
If dogecoin goes to the moon, a risk manager should go too
There seems little logic to the price of meme assets – but bold investors can protect themselves, says tech expert
How Credit Suisse fell victim to its own success
Roots of Archegos loss can be traced to business strategy the bank embraced back in 2006
The Giancarlo spirit: wobbling but not falling
The burden of US extraterritoriality rules may be easing
Op risk data: Money laundering gaffes cost ABN €480m in penalties
Also: Turkish crypto exchange’s missing $2bn; online payment scams rise during Covid. Data by ORX News
Net losers? Benefits of clearing US Treasuries are cloudy
Practical obstacles and questionable netting benefits muddy the path to a clearing mandate, argues economist
Risk management is not a job for compliance
Credit Suisse losses show why boards require real risk management expertise, says ex-BoE supervisor
Op risk data: Sberbank suffers $108m supermarket clean-out
Also: Copper trader buys $36m of worthless bricks; big lenders hurt in $400m mortgage fraud. Data by ORX News
Games of hazard: NSCC’s margin waiver sets bad precedent
By waiving a $2.2 billion cash call for Robinhood, members worry the NSCC may have dug itself a trap
Clear, concise, consistent, doable – rules for a risk policy
Effective risk policies may be elusive, but they’re a must, say two veterans of the art