Opinion
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
US learns to play the Basel game
Mnuchin report marks a US regulatory shift – from leadership to gamesmanship
Analyse this: the future for quants
Quant headcount is up on pre-crisis levels, but jobs in front-office functions have been decimated
Trump reforms, euro clearing and FRTB
The week on Risk.net, June 9–15, 2017
The quant factory: not muppets, but not perfect
Universities offering quant master’s programmes must adapt to stay relevant, writes UBS’s Gordon Lee
The untapped potential of stress tests
Quants propose technique to include stress testing in portfolio allocation
Solvency II model approvals: lessons from round one
Board members must help shape model validation process
Don’t let the SMA kill op risk modelling
The SMA is not a good response to the AMA’s failings – but don’t throw the baby out with the bathwater
Monthly credit data review: new-tech scepticism
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
Mifid II confusion, FRTB troubles and new LCH repo service
The week on Risk.net, May 26-June 1, 2017
Cracks in China shouldn’t be a reason to delay Bond Connect
Bond market initiative must go ahead, even amid cooling investor demand for debt
Monthly swaps data review: ADV for OTC derivatives
Daily volumes are a pillar of the futures market, and can now be found for US swaps
The Dark Ages: US and EU unite in position limit vagaries
Regulators’ inactivity infuriates commodities markets