Opinion
Swaptions vol modelling tweak opens up pricing possibilities
Nomura quant proposes local volatility model that can directly calibrate to swaption smiles
Op risk data: SocGen suffers twin blow with Libor, Libya losses
French bank takes top two slots in monthly loss data roundup. Plus review of H1 losses. Data by ORX News
Bank boards: goodbye to the prawn sandwich brigade?
Focus on personal liability makes risk committees a more effective challenge, say banks
Implementing Basel III – the view from Europe
EU approach to new credit risk framework must recognise local market structures, say banking experts
If regulations don’t bend, they’ll break
Financial regulation should be adaptive, not reactive, argues Andrew Lo
Risk committees, basis risk and Emir
The week on Risk.net, June 23-29, 2018
No escape from climate change tail risks
Harsh decisions need to be made on the future of energy financing now, before we run out of time
Machine learning, stress tests and Sonia
The week on Risk.net, June 16–22, 2018
Compliance must keep pace in AI arms race
Bank compliance departments’ computational firepower must be a match for trading desks, says expert
Eonia, Libor and other benchmark problems
The week on Risk.net, June 9-15, 2018
Citi’s CRO, BNP’s regulatory windfall and a new market correlation
The week on Risk.net, June 2-8, 2018
Op risk data: Mexico bank hack fuels global payment network fears
Also: roundup of monthly loss data sees Wells Fargo in top slot for second month running. Data by ORX News
Asian NDF fixings threat signals yet another deadline drama
Extraterritorial reach is not new to region, but EU Benchmarks Regulation poses real risks
Credit data: ‘dirty diesel’ woes weigh on autoparts firms
Auto supplier default risks have jumped, as environmental concerns hit prospects for diesel vehicles, says David Carruthers of Credit Benchmark
How machine learning could aid interest rate modelling
Standard Chartered quant proposes machine-learning technique to better capture rate dynamics
Energy transition: adapting to the unknown
Uncertainty surrounds the oil industry at every step in the transition to a more diversified energy market, energy experts write
Swaps data: anatomy of a wild week in dollar swaps
Chaotic Italian politics jolted rates markets – including US dollar interest rate swaps, writes Amir Khwaja of Clarus FT
Modelling correlation: from zig-zag to zig-zig
Research is starting to show the stock-bond link in a new light
Replacing too big to fail with too small to survive
Subordinated debt requirement will hit smaller banks hardest
Model risk in the transition to risk-free rates
Transition is an opportunity to reduce multi-rate complexities, say Bakkar and Brigo
Trade data, quantum computing and Libor replacements
The week on Risk.net, May 26-June 1, 2018
Op risk standard will hike capital by 11% – latest data
Rises in capital under SMA will vary depending on regulator treatment, writes op risk expert
AI, funding US subsidiaries and a recipe for bank runs
The week on Risk.net, 19-25 May, 2018
Keeping the lights on
Power companies need to focus on resilient networks