News
German power firm faces elevated op risks in Russia
OpRisk North America: clusters of risks cause problems for Uniper
EU risks backlash on CCP supervision – UK MEP
Swinburne says US could retaliate over fears of “damaging blanket Brexit policy”
Power traders slam Spain’s mooted plant closure rules
Tougher closure criteria would distort power prices and harm functioning of the market, say traders
Keith Bailey leaves Barclays
Former Isda chair departed UK bank at end of January, Risk.net understands
Cyber security expert issues call to modernise Patriot Act
OpRisk North America: current policies make it difficult to share information on cyber attacks
Cyber regulations prompt banks to elevate Ciso role
OpRisk North America: Information security increasingly seen as risk management function
US swap trading overhaul may reinforce market split, users warn
New rules on trade execution likely to halt any unifying shift of liquidity to order books
CCAR gives op risk modelling a new lease of life
OpRisk North America: Fed’s annual stress tests are rehabilitating ‘black box’ op risk modelling
UBS hoping for capital relief for past op risk losses
OpRisk North America: Swiss bank has taken action to prevent a repeat of costly missteps
JSCC margin changes ease Japan interest rate pain
Negative rates prompted switch in the CCP’s margin calculation model for interest rate swaps
Precise cyber modelling ‘a pipe dream’, expert says
OpRisk North America: Cyber risk models should aim for accuracy, not precision
OCC forms working group to tackle fraud
OpRisk North America: Rise in cyber fraud prompts US regulator to reassess guidance to examiners
European FRTB capital charges hang by a thread
EU Council mulls introducing only reporting requirements in CRR II, or a very low scalar
Market mean reversion takes longer than expected – CFM quants
Research on how long trends last could help avoid fallout from drawdowns like February’s
New BoE stress test puts focus on banks critical to UK
Annual test will attempt to gauge impact of IFRS 9
CECL vs CCAR: banks fear loan-loss reserves mismatch
Lifetime loan loss estimates will look much worse under CCAR stress scenarios than accounting measure
CFTC set to partner with SEC on CDS supervision
Move could open the door to single-name clearing mandate, say experts
SEC liquidity rule delay a double-edged sword for asset managers
Some mutual funds say a staggered approach to implementation will add to their workload
Libor concerns prompt switch to Sonia swaps
Move by some UK LDI managers has steepened Sonia-Libor basis
Regulators lean towards contractual bail-in for China TLAC
New legislation would not be required, but weak bankruptcy law could unnerve investors
FCMs warn CCPs not to compete on margin
Equity moves in February exceeded margin posted against some cleared products
CFTC commissioners lash out at EC clearing proposal
Push to expand oversight of US CCPs is “clear breach” of 2016 equivalence deal, Quintenz says
Esma investigating Mifid trade data publishers
European regulator warns approved publication arrangements could be breaking the rules
Quants warn over flaws in machine learning predictions
Six quants debate whether the tool can adjust to paradigm shifts in financial markets