Opinion/Risk management
Remembering the range accrual bloodbath
Flatter US yield curve spurs demand for a product with a painful history
Op risk data: Europe’s AML drive follows Danske and ING slips
Also: top five losses include mortgage penalty for Citi and reporting fines for Goldman, UBS. Data by ORX News
Will the Nasdaq default spur CVA for CCPs?
Quant proposes model to calculate bank credit risk exposure to CCP
Credit data: UK banks hold firm as Brexit looms
The credit status of UK banks remains unchanged, but other industries have seen significant deterioration
Op risk capital: looking back in anger
Top 10 op risks survey shows industry has sights set on the horizon, even when regulators are looking backwards
Op risk data: losses focus attention on bank resilience
Also: StanChart’s control fail fines, plus three losses in Russia. Data by ORX News
Nasdaq auction failure ignites anti-clearing backlash
CCP members wary of illiquid risks
Credit data: a new PD story for Brazil and Mexico?
One has been sliding, the other stable, but the stage appears to be set for a break from those trends
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