Articles by Dan DeFrancesco
CLO scare: could rated tranches see losses?
Structures are more solid, but loans are dicier, and recovery rates may be disintegrating
Q&A: CFTC’s Quintenz talks bitcoin, Nasdaq breach, algo trading
On cryptocurrencies, commissioner worries about spot market, but has confidence in big futures exchanges
Fed’s Brainard wary of black box AI models in consumer credit
Speech raises explainability issue; says existing model risk guidelines are “a good place to start” in regulating AI
AI data could be tainted even as it’s being cleaned
Risk USA: Expert says even touching raw data could lead to loss of context
Banks split on human oversight of AI models
Risk USA: Most firms supervise their models, but one expert says they can be trusted to make decisions
Wells Fargo opts for FRTB’s standardised approach
Risk USA: Complexity of internal models drives big bank to an approach designed for smaller ones
Machine learning hits explainability barrier
Banks hire AI industry experts in face of growing regulatory scrutiny
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
CME plans sweeping overhaul of ageing Span model
New margin calculator will bring futures, options and swaps under single framework
Let exchanges set position limits – CFTC commissioners
Agency lacks the resources to monitor limits, say Berkovitz and Quintenz
Nasdaq default: rivals question direct clearing
“Was this individual margined correctly?” asks Ice’s Sprecher
Exchange chiefs back Giancarlo in tussle over CCP oversight
The CFTC may block US CCPs from acceding to EU supervision
Do two sizes fit all? Banks aim to standardise vendor risk
Banks created TruSight and KY3P to vet supplier risk with standard questionnaires. Is it enough?
FIA transfer protocol sets Brexit plans in motion
Some banks set to begin transferring clients to EU affiliates next month
Big firms deflect banks’ questions on third-party risks
From exchanges to software sellers, big players hang back on due diligence questions, banks say
OCC won’t offer further guidance on ‘fourth-party’ risk
Onus is on banks to vet subcontractors during contract negotiations, regulator says
OCC’s move to ‘Cover 2’ won’t cost members more, CRO says
New clearing fund methodology will shift cost burden to firms that take more tail risk
OCC stands by margin model as regulators investigate
As watchdogs probe Q1 breaches, CCP executives insist margin models worked as intended
GDPR uncertainty could spell trouble for machine learning
Advisers warn of discrepancy in advice to regulators over automated decision-making
OK, computer? Hurdles remain for machine learning in credit risk
Concerns over cost, applicability and oversight give pause to banks’ use of ML techniques in credit risk
Quant manager spurns vendors’ machine learning software
Ex-head of algo trading at JP Morgan says machine learning processes should be built internally
Regulators need to adopt AI for monitoring, experts say
Growing bank usage of artificial intelligence means authorities must hasten adoption themselves
Stricter vendor regulation not ‘magic pill’, banks say
Third parties would still require oversight from banks, even if formally regulated
BoE to set tolerance levels for operational disruptions
Regulator cites recent TSB and RBS outages as it plans incident response framework