Opinion
Europe’s new default rules: a defined benefit?
EBA’s single definition of default will have multiple effects for credit risk management, say consultants from PwC
Systematic investing, the value factor and Hong Kong swap rates
The week on Risk.net, October 12–18, 2019
UK swaps carrot for stick in Libor switch
BoE committee mulls policy action, which could include capital hikes on Libor exposures
Brexit disruption, fire sales and climate risk
The week on Risk.net, October 5–11, 2019
Futures rise to the occasion as SOFR surges
It's SOFR's time to shine
Swaps data: are the new RFRs on track to replace Libor?
Progress on volumes of SOFR and Sonia swaps and futures
US clearing houses need not take collateral damage from Brexit
There are signs the US and EU will pull back from the brink in dispute over CCPs
Credit data: sustainable companies are better credit risks
When credit conditions deteriorate, companies with high ESG scores outperform
Op risk data: Rogue trading costs Mitsubishi $320m
Also: QR code scam costs ING customers; Australia banks hit with Pillar 2 add-ons. Data by ORX News
Gaming tests, loss provisions and synthetic Libor
The week on Risk.net, September 28–October 4, 2019
In stress-test window-dressing, timing is everything
EBA and Fed stress tests would have to be in perfect sync to stamp out transatlantic arbitrage
A behavioural lens could help manage human risk
Human decision-making needs careful watching. For that, behavioural science can help
Game theory plays well for capital management
Barclays quants use Shapley method to optimise capital allocation
We’ve been here before: LEIs take two
LEIs are catching on in Asia
Recovery plans, CFTC equivalence and stress tests
The week on Risk.net, September 21–27, 2019
Computer says no: combating bias in machine learning models
Proposed US law on algo lending targets in-built discrimination, say modelling experts
Machine learning, Deutsche auction and repo haircuts
The week on Risk.net, September 14–20, 2019
Benchmark reform, LCH-Eurex basis and FX algo fears
The week on Risk.net, September 7–13, 2019
When regulators become nationalists
EU’s new treatment of bank software assets is partly a response to global competitive pressures
Swaps data: analysing the US rates collapse
Prices collapse and expected worst-loss numbers hit new records
How collateral scarcity reshaped the US yield curve
QE and demand for high-quality liquid assets have suppressed short-term rates, argue IMF economists
Time for a (proper) G-Sib speeding ticket
Fed’s systemic risk assessment has become box-ticking exercise, and US banks are getting away with it
Credit data: Italian banks find themselves at a crossroads
Political chaos in Italy could undermine the banking sector’s recent improvement