Opinion
Don’t let a good crisis go to waste
As supervisory stress tests take a backseat, banks look for new ways to gauge extreme risks
CECL problems, Libor and capital relief
The week on Risk.net, June 6-12, 2020
Op risk data: Morgan Stanley falls foul of Dutch tax office
Also: JP Morgan settles crypto fees class action; banks debate Covid-19 scenarios. Data by ORX News
A positive response to negative oil prices
Overhauling pricing models could reap rewards even if prices don’t cross zero again
Market risk capital, FRTB and mental health risk
The week on Risk.net, May 30-June 5, 2020
A tale of two (or three, or four) models
Performance measure based on quality of replicating portfolios outperforms ‘P&L explain’, new paper claims
Collateral must be part of monetary policy equation
Incorporating collateral efficiency into IS-LM model reveals side-effects of QE
Climate charges, CCP contagion and the post-Libor world
The week on Risk.net, May 23-29, 2020
Margin scuffle at Eurex blurs lines between risk and returns
Disagreement over liquidity risk add-ons may owe more to self-interest than risk management
Oil price models, IM changes and VAR caps
The week on Risk.net, May 16-22, 2020
Credit data: coronavirus takes toll on corporates
Financials weathered the first phase of the lockdowns, but most other sectors were hit hard
Now is not the time to change the rules on CCP resolution
FSB overstepping brief by putting CCP operators’ equity on the hook in resolution, writes former CFTC chair
Capital buffers, settlement fails and crowd modelling
The week on Risk.net, May 9–15, 2020
Swaps data: record trading volumes in March
CDS activity doubles through Covid-19 turbulence, while US interest rate swap trading marks new high
Blurred lines in bank capital standards
Boundaries between capital buffers and capital requirements are looking worryingly unclear
Virus modelling, money laundering and tail beta
The week on Risk.net, May 2-8, 2020
Op risk data: IBK snagged in money-laundering ops to Iran
Also: foul play called on Hapoalim’s football bribery scheme. Data by ORX News
Solving the enigma of the volatility smiles
Has the problem of jointly calibrating the volatility smiles of the Vix and S&P 500 been solved?
China commodities regulation: time to end the turf war
Mishmash of regulations still govern China’s financial industry
Ronin, the survival of Libor and synthetic data
The week on Risk.net, April 25-May 1, 2020
Negative oil prices put spotlight on investors
What part did Bank of China and other investors play in last month’s oil rout, asks derivatives veteran
When are index delays justified? Industry standards are vital
Relying on discretion is not sustainable, argues index executive in wake of rebalance delays
Does rates reform for structured notes lack structure?
Philipp Orgler and Vladimir Piterbarg say it’s time to focus on Ibor transition for structured notes
Capital relief, FRTB and negative oil
The week on Risk.net, April 18-24, 2020