Opinion
Credit data: the Trump effect on PDs
The war on coal is over, according to the US president – and the effect can be seen in banks' default estimates
Sefs, CVA rules and new US mortgage fears
The week on Risk.net, January 6-12, 2018
Reducing noise is as important as radical change
Quants study ways to reduce noise in XVA Greeks calculations
FHLBs: safe as houses?
Health of huge bank funder rests on home loans and money market funds
Monthly op risk losses: China bond fraud implicates leading banks
Breakdown of top five loss events. Data by ORX News
The DIY approach to China bond investing
Lack of international ratings means foreign investors will need research resources of their own
Money laundering, repo clearing and a look back at 2017
The fortnight on Risk.net, December 23, 2017 – January 5, 2018
‘Catching the outliers’ does not always make sense for Basel
The capital impact of Basel III on Nordic banks is disproportionate to the risks they face
Trade surveillance shouldn’t deter traders
Monitoring costs are forcing commodity players away from market participation, say consultants
FRTB, CCAR and bonus caps for prop traders
The week on Risk.net, December 16-22, 2017
Op risk capital, quant year in review, bad news for Dutch prop traders
The week on Risk.net, December 9–15 2017
Machine learning is not just for the buy side
Sell-side quants develop machine learning technique to optimise margin costs
Making the alternative a reality
Quant firms will have to adapt to prosper in the new datasets environment
Monthly op risk losses: NYDFS fines Credit Suisse for forex fails
Breakdown of top five loss events, plus conduct risk and robo-advising. Data by ORX News
Credit data: US retail woes are not universal
Default probabilities paint a mixed picture of the decline of American shops
Swaps data: forex options – candidate for a clearing mandate?
Volume stats reveal a large vanilla market and much smaller trade in barriers
Basel III, bond market liquidity and the Risk awards
The week on Risk.net, December 2–8, 2017
NSFR problems, LEI delays and how to fix op risk
The week on Risk.net, 25 November - 1 December, 2017
How to save op risk modelling
Drop loss categories and correlations and adopt simple loss distribution, advises AMA expert
Variation margin, ETFs and the costs of European Isins
The week on Risk.net, November 17–24, 2017
Russian crypto-currency will threaten AML efforts
Targeting individuals and companies could be impossible with digital currency, write academics
Credit data: reasons to like Europe and G-Sibs
Bank estimates offer alternative view on probability of default risk
Swaps data: CCP and Sef volumes still growing
First three quarters show strong growth in interest rate swaps, forex NDFs and index CDSs
Quantitative finance still needs mathematicians
Quants develop model that fixes a longstanding problem with pricing American options