Standard Chartered
Clearing bank of the year: Citi
Asia Risk Awards 2018
Credit derivatives house of the year: Standard Chartered
Asia Risk Awards 2018
EU bank leverage increases in H1
Average leverage ratios degrade 19 basis points in six months to June
UK leverage ratios stray from EU measures
Bank of England changes exempt central bank claims from UK measure, causing discrepancies with CRR version
Is AD the answer to quicker MVA calculation?
Quants propose faster technique for Simm-MVA based on algorithmic differentiation
CVA capital at top UK banks falls £260m in H1
HSBC led the way with a 38% reduction, followed by RBS with a fall of 35%
UK Treasury never analysed impact of risk weights for EU debt
Risk weight move seen as political threat to EU sovereign issuance to force Brexit equivalence deal
Complying with regulatory initial margin and automating the collateral management process
Since the introduction of uncleared margin rules, collateral management has been thrust into the regulatory spotlight, becoming a priority for firms with over-the-counter derivatives portfolios
Tackling fraud and money laundering violations in modern financial markets
The world of financial crime is evolving at a rapid pace. The tools and technologies used to aid crime are constantly developing, causing the nature of modern crimes to be unpredictable and difficult to detect
'No-deal' Brexit would add risk weights to EU government bonds
HSBC has most sovereign exposures that could attract higher capital charges among big UK banks
Top European banks shed $32 billion in op risk
5% average drop across 16 European banks reported quarter to quarter
Brexit, EU regulation and a new benchmark
The week on Risk.net, July 28-August 3, 2018
StanChart culls debt, switches model, and market RWAs drop
Structured product RWAs now calculated using internal model, saving $1.1 billion
Take-up of credit modelling varies at European banks
Percentage of credit RWAs calculated using IRB approaches ranges from 42% to 91% across large dealers
Fraud makes up bulk of UK bank op risk loss events
Internal and external fraud on average equalled 64% of all op risk events in 2017 across four large dealers
Questions remain on scope of Mifid extraterritoriality
Global firms confused about reach of trading obligation and best execution rules
Model and policy changes behind billions in UK bank RWA shifts
Net capital charges of £368 million across five lenders attributable to model updates alone
How machine learning could aid interest rate modelling
Standard Chartered quant proposes machine-learning technique to better capture rate dynamics
Lenders save £200 million as UK bank levy shrinks
Aggregate levy brings in £206 million less year-on-year across five largest banks
US CVA charges over seven times higher than EU
Huge disparity appears to result from EU exemption for corporate trades
China A-shares: traders want access to onshore funding
Inclusion in MSCI will drive CNH squeeze unless CNY market is opened or settlement extended
G-Sib swap portfolios reveal transatlantic divide
EU banks record 16% fall in non-cleared swaps, while US dealers see 9% growth
Italian banks hardest hit by IFRS 9 transition
Risk Quantum analysis of 36 banks from 11 European Union countries found that capital declined on average by 34bp between December 31, 2017, and March 31, 2018
Barclays and HSBC impairment provisions soar
Barclays’ provisions increase 54%; HSBC’s by 29%