Opinion
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
FRTB capital levels, model risk and Korean linkers
The week on Risk.net, August 31–September 6, 2019
Op risk data: Sanctions-busting fines cost banks $20bn
Also: ABN pays out for risk profiling fail; Deutsche settles nepotism charges. Data by ORX News
Span 2: a fine balance
Switching margin model means walking a tightrope of competing interests amid regulatory scrutiny
Backtesting expected shortfall: mission accomplished?
A rigorous backtest for ES cannot exist, but a good approximation might do the job
Why Asia is so desperate for a term SOFR
With US dollar Libor embedded in local benchmarks, users need a similar replacement
Default auctions, Libor replacement and op risk capital
The week on Risk.net, August 10–16, 2019
Deep hedging, robot quants and last look
The week on Risk.net, August 3–9, 2019
Swaps data: Fed’s change of tack on rates fuels volume rise
Cleared dollar rates jump by half year-on-year, as LCH market share tightens
Trading venues could help enforce the forex code
ECNs have the power to boost last look disclosures, but aren’t keen to be the code police
Op risk data: Mifid fines hit $140m
Top five: Deutsche pays €175m to settle derivatives bribery claims. Data by ORX News
Credit data: no-deal Brexit threatens UK retail sector
Italian credits are improving, but banking sector is not out of the woods yet
The machines are coming for your pricing models
Deep learning is opening up new frontiers in financial engineering and risk management
Internal models, last look and SOFR
The week on Risk.net, July 27–August 2, 2019
Fishing for collateral with neural nets
SocGen quant uses deep learning technique to optimise collateral substitution
FRTB internal models in fight for survival
Basel III capital floor leaves banks struggling to justify own-models approach, say risk experts
IM split, Sonia choices and non-bank oversight gaps
The week on Risk.net, July 20–26, 2019
Sovereign spreads and Target2 anomalies
Widening risk imbalances between eurozone member states threaten monetary union, says Italian regulator
IM delays, swaption problems and synthetic doubts
The week on Risk.net, July 13–19, 2019
How the New York Fed produces SOFR in a contingency
No mystery about use of contingency methodology to calculate SOFR for May 31, says Fed exec
CCAR, conduct in Asia, and Coen’s departing thoughts
The week on Risk.net, July 6–12, 2019