Opinion
CCP stress testing gets real
Quants propose technique to generate effective, plausible CCP stress-testing scenarios
Cyber risk, Libor replacement and dangers of low rates
The week on Risk.net, July 28-August 3, 2017
Modelling cyber risk: FAIR’s fair?
Proponents say factor analysis can be applied to cyber risk; detractors retort results are still guesswork
Monthly credit data review: the Amazon effect and a rising Russian state
David Carruthers of Credit Benchmark looks at bank, sovereign and corporate credit risk data
Adjusting to the P&L attribution test in FRTB
Consultants offer tips on eligibility framework for new internal models approach
Monthly swaps data review: analysing CCP and Sef volumes
Data shows strong growth at LCH and JSCC, while OIS products surge
Addressing the eurozone’s ‘lemons’ problem for NPLs
State-aided securitisation of riskiest tranches could prompt purchases of loans, write ECB staffers
CCP bailouts, liquidity risk and machine learning
The week on Risk.net, July 21-27 2017
Repeal CEM; reform SA-CCR
Capital framework hurts clearing resilience, Citi execs argue
Stress testing, cyber risk modelling and machine vision
The week on Risk.net, July 14–20, 2017
What the ‘tech wreck’ doesn’t tell us about systematic investing
June sell-off might reveal more about discretionary investors watching factors
SMA, swaps data and EU bank bailouts
The week in Risk.net, July 7–13 2017
Op risk capital fight a limp political thriller
Battle to replace AMA with non-models approach was beset by nationalistic squabbles
CSA discounting, problems with backtesting and cyber insurance
The week on Risk.net, June 30–July 6, 2017
What the ambitions of China’s banks mean for Hong Kong
Political war of words over former colony means little; it’s the appetite of mainland banks for local dominance rivals should watch
SMA, cyber threats and Mifid
The week on Risk.net, June 23–29 2017
All MVA needs is a first-mover
Fair value adjustment for initial margin should be reflected in accounting statement
Monthly credit data review: PDs imply Brexit stress
Default risk for group of UK corporates has risen 11% over the past year
Monthly swaps data review: a day in the life of a swap
As US rate-setters met last month, real-time reporting showed the impact on swaps
Mnuchin makes life harder for quants
Proposed CCAR changes make KVA calculations even more complex
Would whoever’s left at the CFTC please turn on the light?
Lack of resources – and commissioners – becoming increasingly apparent at US regulator
A 10% leverage ratio does not justify waiving the Volcker rule
Former Fed manager Christopher Laursen warns against prop trading, even for well-capitalised banks
Basel floors, cyber risk and the Quant Finance Master’s Guide
The week on Risk.net, June 16–22, 2017
Focus on Basel output floor calibration misses the point
Until all the final standardised approaches are known, the floor has little meaning