Opinion/Risk management
Could machine learning improve CVA and IM calculations?
Banks have built ways to calculate CVA more quickly, but neural networks could offer more accurate method
Aussie banks: a right Royal mess
Misconduct probe sparks board changes and bout of introspection at Big 4
Credit data: falling default risk for China’s banks
Economic data may be relatively gloomy, but default probabilities for lenders fell sharply last year
Op risk data: $1.5bn subprime hit for GE Capital
ED&F Man’s commodities loss; cyber events spiral in 2018. Data by ORX News
Op risk data: JP fined $135m over depository receipts
Top five losses, plus review of Barclays whistleblower fine. Data by ORX News
Does credit risk need an expected shortfall-style revamp?
Quants propose tail risk-sensitive measure for counterparty credit risk
Teach history to avoid mistakes of yesterday’s quants
Quant grads should be taught follies of LTCM, Gaussian copula and London Whale, writes UBS’s Gordon Lee
Credit data: how US industries have fared under Trump
At the halfway point in the administration, time for a credit check, writes David Carruthers
What’s Finnish for ‘too big to fail’?
Strange case of Nordea highlights flaw in G-Sib assessments
If CLO investors flee, defaults could snowball
High yield borrowers relying on a steady stream of leveraged loan issuance that could quickly run dry
We need a different approach to supervisory stress-testing
Confusing processes turn tests into template-filling exercise, says Garp’s Jo Paisley
Op risk data: SocGen hit with $95m money laundering fine
Citi, JP Morgan settle Sibor rigging claims; Europe matches US on AML fines. Data by ORX News
Credit data: rate hikes put borrowers on the rack
Default risk climbing for heavily indebted companies as US rate hikes continue, says David Carruthers
In EU stress tests, everyone’s a loser
European Union-wide stress tests deserve a 'Could do better'
Op risk data: conduct risk losses top $600 billion since 2010
Swift hack targets State Bank of Mauritius; Capital One, Mashreq, hit by AML fines. Data by ORX News
Humans struggle to keep pace with machine learning
Banks and regulators grapple with ‘XAI’ challenge
All the news that’s fit to print
While the benefits of the information revolution are clear, the risks it brings should not be underestimated, says Andrew Lo
Risk.net podcast: OCC’s Fennell on Nasdaq breach, crypto and ‘skin in the game’
Clearing house is “seriously considering” contributing to own default waterfall
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
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