Opinion/Risk management
FRTB’s risk factor framework is more punitive than it seems
Regime’s constraints may mean risk factors drop in and out of modellability far more frequently than dealers think
Why liquidity risk is the silent clearing killer
A quant paper shows feedback effects can amplify CCP margin requirements in stressed markets
Why the leverage ratio distorts market-making
Darrell Duffie argues the rule hurts market efficiency for very safe assets
Risk managers: beware conventional 'wisdom'
Why the consensus view so often fails to predict seismic shocks
Relative values: JPM’s $260m China interns fine tops November losses
Megan van Ooyen from SAS rounds up the top five op risk losses for November
How will banks suffer large op risk losses in the future?
Eight interlocking trends mean more multi-billion-dollar losses to come
RBS mortgage mis-selling returns to haunt lender
Megan van Ooyen from SAS rounds up the top five op risk losses for October
See the error of your VARs
Commonly-used VAR estimation method shown to underestimate risk
A referendum on clearing
Brexit margin calls show swaps CCPs are relying on funding strength of a handful of banks
The decline of the cash empire
Alex Lipton: the last line of defence between us and punitive negative rates is paper currency
Why did the crisis cause such large op risk losses?
Huge losses from the 2008 crisis can be seen as a short option position
Can the AMA be reborn?
Regulators could rescue op risk modelling through Pillar 2, writes former supervisor
From Russian roulette to overcautious decision-making
Risk-taking ought to be judged by its necessity, not likely outcomes, says Ariane Chapelle
Hidden risks for corporates in renewable energy PPAs
Buyers face load, covariance and basis risks in typical agreements
Wells Fargo pays the price for ‘ghost account’ fraud
Megan van Ooyen from SAS rounds up the top five op risk losses for September
Position vacant: unpicking energy’s hidden contract risks
Complex, long-term supply deals present job opportunity for risk managers
Taking the FRTB plunge
Banks entering chilly FRTB waters for first time facing fresh challenges
A conflict resolution strategy for capital allocation?
A recently proposed method for capital allocation has the potential to resolve internal disputes
Blockchain: a solution looking for a problem
While new financial technologies show considerable promise, many proposed applications are either naive or miss the mark outright
Dependence on collateral raises vital research questions
Areas of focus should include collateral supply, reuse and circulation
The missing piece in operational risk appetite
Setting an op risk appetite is illogical without reference to reward, argues Ariane Chapelle
AIG hit by $230 million settlement over MedPartners
Megan van Ooyen from SAS rounds up the top five op risk losses for August
Risk managers take note: Brexit was not a black swan
Protecting yourself against true black swans is the art of the possible, not the probable
When time is of the essence, shortcuts are still handy
‘New age’ quants might not like it, but speed can be traded for accuracy in spotting investment opportunities