Opinion
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
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