Covid
Clearing bank of the year: Citi
Asia Risk Awards 2021
Technology vendor of the year: NICE Actimize
Asia Risk Awards 2021
Collateral management solution of the year: Adenza
Asia Risk Awards 2021
Bank-backed futures utility criticised as too ambitious
Osttra’s Joanna Davies urges industry to look for “quick wins”
House of the year, Australia: ANZ Bank
Asia Risk Awards 2021
House of the year, Hong Kong: Crédit Agricole
Asia Risk Awards 2021
Interest rate ETD volumes up 40% from 2020 nadir
Shorter-dated contracts push total open interest higher
StanChart’s CVA charge up 19% in Q2
Higher capital requirements also at Barclays, Lloyds and NatWest, with HSBC the only outlier among top UK banks
Level 3 assets at global systemic banks down 36% since 2014
Hard-to-value holdings down sharply over the past six years, but pandemic threw spanner in the works at some banks
Fund industry bristles at rush to re-write MMF rules
ICI questions regulators’ assumptions about the role MMFs played in Covid-19 liquidity crunch
Majority of US G-Sibs’ assets attract sub-100% risk-weighting
Risk Quantum analysis shows top US banks retrenched to lower-risk assets through the pandemic
Credit default swap market retrospective: observations from the 2008–9 financial crisis and the onset of the Covid-19 pandemic
In this paper credit market fluctuations, measured by the levels of the main and most heavily traded index instruments, are analyzed and compared with the analogous index realizations during the 2008–9 financial crisis.
OTC derivatives clearing: no turning back
Clearing advocates have plenty of reasons to feel optimistic about the future
Big US managers diverge on CDS sales
Counterparty Radar: Pimco’s sold positions surge 80%, as PGIM and others retreat
Two Sigma building quant tools to hunt real estate bargains
Information-rich market offers “trillions of dollars of opportunity”, says data chief
Even Covid couldn’t stop insurers buying risky CLO tranches
NAIC rules make mezzanine debt more attractive than AAAs or corporate bonds with similar ratings
NLP and transformer models for credit risk
News feeds are factored into models to predict credit events
Stronger together: CLS’s chief risk officer on risk culture
Deborah Hrvatin discusses integrated risk management, mega-hacks and model risk
Safety first: UK set to keep ring-fencing but may ease rules
There is also pressure to make changes to tackle banks’ overexposure to retail debt due to the rules
EU banks forced to up collateral for ETDs in Q4 2020
Over-collateralisation of liabilities jumps to highest since March 2020
Covid-forborne loans default en masse in EBA stress test
13.4% of ex-moratoria exposures in ‘stage three’ default at 2023 test end-point
End of SLR relief weighs on JP Morgan
All eight US systemic banks saw their supplementary leverage ratio drop in Q2
‘It’s the economy’: forecasting an op risk climate change spike
History of op risk suggests economic impacts of climate change could exacerbate losses, writes op risk head
The pitfalls of out-of the-box surveillance
In the Covid-19 era and beyond, surveillance is and will be complex and ever-evolving. For a surveillance programme to be effective, it must be able to process increasing volumes of data, integrate that data across multiple platforms and devices, and…