Opinion
XVA traders have no time to rest on laurels
Markets have calmed, but they may not be out of the woods yet
The unintended impact of swap stays on financial stability
As swaps leverage shrinks, bankruptcy stay rules are not guaranteed to reduce systemic risk, says economist
Valuing scenarios with real option pricing
Risk managers could use Black-Scholes to help drive strategy, writes René Doff
To make sense of complex systems, send in the agents
Standard quant models cannot comprehend a radically complex reality, writes Jean-Phillippe Bouchaud
Stablecoins, term Sonia and skin in the game
The week on Risk.net, August 15-21, 2020
Stress testing, home working and the move to €STR
The week on Risk.net, August 8–14, 2020
Op risk data: Goldman 1MDB settlement swells 2020 loss tally
Also: Deutsche fined over Epstein KYC failings; collateral fraud in focus. Data by ORX News
Rising Level 3 assets threaten bank profits
Dealers are relying on in-house models to value large amounts of complex structured products
Covid liquidity, block trades and Fed op risk
The week on Risk.net, August 1-7, 2020
Spotting co-movement breakdowns with neural networks
Autoencoders can detect changes in relationship between assets in real time
Mifid swaps, VAR and buy-side Covid lessons
The week on Risk.net, July 25–31, 2020
The unintended impact of collateral on financial stability
Initial margin requirements for OTC derivatives can increase risk of contagion, writes economist
Why Asia needs to talk about SOFR
Focus on local benchmark reform is “distracting” Asia’s preparations for the end of USD Libor
FX swaps clearing redux
SA-CCR could unleash the potential of clearing, and may ignite some big changes
Climate risk, ethics, and mega-bankruptcies
The week on Risk.net, July 18-24, 2020
Collar financing, low op risk losses and ESG data
The week on Risk.net, July 11-17, 2020
Op risk data: Losses plummet during lockdown
Also: Wirecard dominates legacy losses; SEB hit with massive AML fine. Data by ORX News
Covid capital, SA-CCR and problems with post-Libor protocol
The week on Risk.net, July 4-10, 2020
Clearing banks show they’ve learned lessons of the past
CCP members were able to meet massive margin calls in March. But could they do it again?
Applying the scientific method to investing
The new field of experimental finance goes beyond backtesting
Swaps data: initial margin soars in Q1 2020
Model procyclicality drives wide variation in CCP IM hikes through Covid-19 volatility, writes Amir Khwaja of ClarusFT
Mind the tax when hedging TRS
New model gauges whether deals are still profitable, after taxes
Why a European bad bank may not be the right answer
Types of loans most likely to become distressed due to coronavirus don’t suit EU-wide solution