Opinion/Comment
XVA: back to CVA?
Fundamental questions on CVA remain unanswered, writes mathematical finance head
Cash no longer king in European swaptions
Barclays executives explore weaknesses of current pricing formulas for cash-settled swaptions
Not the top 10 op risks
From gender discrimination to the next PPI, a veteran manager looks at forthcoming potential op risks
Credit data: a tough year for South African financials
Default risk rose steadily for 36 firms during Zuma’s final months of rule, writes Credit Benchmark’s David Carruthers
Swaps data: the monopoly effect in clearing
There are only a handful of products where clearing volumes are evenly split between rivals
Credit data: Brexit gloom lifting for UK companies?
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
Three ways to improve stress testing
Better scenario choice, iterative testing and top-down approaches could improve performance, says Ahraz Sheikh
Dollar cost averaging won't work for energy hedging
Long periods of losses make strategy impractical, says energy consultant
Monthly op risk losses: AML failings cost banks $1.1bn
Also: Japanese crypto exchange loses ¥58 billion in hack; Deutsche, UBS, HSBC settle spoofing claims. Data by ORX News
Time to move on from risk-neutral valuation?
Risk-neutral valuation could be replaced by models with a subjectivity element, writes mathematical finance head
Brexit issues for carbon market must be solved soon
UK departure from EU ETS is causing headaches for energy traders and risk managers, writes energy consultant
Bull run shows up differences in factor strategies
Market exposure, factor construction and risk budgeting have impact, writes Luc Dumontier of LFIS
Forecasting crypto crashes with bubble analysis
Analysis finds bubble signals in bitcoin and ether, write trio of quant risk managers
Basel op risk modelling blow shifts focus to Pillar 2
Demise of AMA leaves industry needing risk-sensitive approach for calculating top-up capital, says consultant
Top 10 op risk losses of 2017: crisis-era fines abate
Total losses fell by half last year with large fines slowing; frauds take top three slots. Data by ORX News
Credit data: the Trump effect on PDs
The war on coal is over, according to the US president – and the effect can be seen in banks' default estimates
Monthly op risk losses: China bond fraud implicates leading banks
Breakdown of top five loss events. Data by ORX News
Trade surveillance shouldn’t deter traders
Monitoring costs are forcing commodity players away from market participation, say consultants
Monthly op risk losses: NYDFS fines Credit Suisse for forex fails
Breakdown of top five loss events, plus conduct risk and robo-advising. Data by ORX News
Credit data: US retail woes are not universal
Default probabilities paint a mixed picture of the decline of American shops
Swaps data: forex options – candidate for a clearing mandate?
Volume stats reveal a large vanilla market and much smaller trade in barriers
How to save op risk modelling
Drop loss categories and correlations and adopt simple loss distribution, advises AMA expert
Russian crypto-currency will threaten AML efforts
Targeting individuals and companies could be impossible with digital currency, write academics
Credit data: reasons to like Europe and G-Sibs
Bank estimates offer alternative view on probability of default risk