Europe
BNP Paribas’ VAR soars 17% after brutal Q4
Equity revenues fall 70% on year-ago quarter
Intesa Sanpaolo slashed bad loans 26% last year
NPL ratio plummets to 4.2% from 6.2% in 2017
Default risks in peripheral eurozone inch up
Italian corporate PD estimates up to 9.12%
Deutsche-Commerz merger would birth giant G-Sib
The combined bank would likely attract 2.5% G-Sib surcharge
EU, Canada banks lag rivals on IRB model coverage
Median bank has 78% of credit risk-weighted assets under IRB approaches
Prop traders sound warning over EU capital regime
Non-banks fear topsy-turvy capital requirements under new rules based on clearing margin
Caveats and slapped wrists in Barclays’ Brexit swaps switch
Judge blocks transfer of some trades from non-deposit taking entity and slams “unrealistic” timeline
Lenders favour eurozone non-bank borrowers
Cross-border claims on the euro area grow for the first time since Q2 2016
Basel haircut floors threaten securities financing desks
Banks fear capital hit unless regulators provide exemption for stock borrowing
Cross-border euro lending rebounds in Q3
Intra-euro area cross-border claims accounted for 40% of the annual increase
Banks divided on op risk approaches
EU banks favour standardised approach, North American and Australian lenders the AMA
AI moves into middle office at energy firms
Energy firms explore how artificial intelligence can boost returns
Data mining, machine learning and problems with autocalls
The week on Risk.net, January 19–25, 2019
Overseas lenders back eurozone, shun UK and US
Cross-border loans to eurozone increase $93 billion in third quarter of 2018
Eurostoxx dislocations signal autocall hedging pain
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
EU parliament OKs no-action powers but leaked doc signals delay
Council note means regulators may not get no-action powers until at least November
Quant Guide 2019: EPFL
Lausanne, Switzerland
Quant Guide 2019: ETH Zurich/University of Zurich
Zurich, Switzerland
Quant Guide 2019: University of Warwick
Warwick Business School, Coventry, UK
Quant Guide 2019: University of Leuven
Leuven, Belgium
Quant Guide 2019: University of York
York, UK
Quant Guide 2019: University of Bologna
Bologna, Italy
Quant Guide 2019: Imperial College London
London, UK
Quant Guide 2019: EISTI
Cergy-Pontoise, France