Asset and liability management (ALM)
As interest rates surge, bankers fret over last year’s models
IRRBB modellers trying to predict client behaviour have little relevant data to fall back on
Risk applications and the cloud: boosting collaborations to strengthen risk management infrastructure
More of today's financial services organisations are choosing to move their financial risk management applications to the cloud.
Could a cold collateral winter be coming for pension plans?
UK LDIs passed an early test from rising rates, but margin call pressure is mounting
Using portfolio management to steer your way through foggy market conditions
Post-pandemic uncertainties, market consolidations, increasingly complex portfolio compositions, margin compressions, new competitors interest rate rises. Portfolio managers are operating in foggy conditions
The economic impact of Covid on the US housing and mortgage market
Covid-19 has fundamentally reshaped consumer behaviour. Combined with drastic changes in federal government policy, the impact on financial markets will be long-lasting
Hyperautomation in anti-financial crime: powering transformation
This report explores the need for banks to invest in AFC operations that are more effective and efficient
Active credit portfolio management: audiocast
In this Risk.net audiocast, Zoi Fletcher speaks to Biagio Giacalone and Alexis Hamar about how active credit portfolio management can be the linchpin of improved risk/reward ratios and how the efficient use of capital drives banks’ overall profitability.
What drives the convertible bond market?
This whitepaper looks at the key drivers that influence the convertible bond market and how it provides unique opportunities for both investors and issuers.
Take advantage of relative value credit opportunities with advanced bond analytics
This whitepaper explores the challenges of bond analytics and how access to the right analytics can provide opportunities for more comprehensive trading strategies.
Mifid II transaction reporting and risk management: the quest for quality
This report is based on a Risk.net survey commissioned by London Stock Exchange Group, which was completed in August 2021.
Archegos revisited: the gaps in Credit Suisse’s story
Ahead of shareholder vote, former execs point to gaps in key report – raising new questions about accountability
Archegos collapse raises red flags about risk management systems – and underscores need for investment in technology
This article reveals how the Archegos debacle exposed cracks in banks’ risk systems.
Leveraging data in e-FX trading
A white paper explaining how, in a world where electronic trading has infiltrated virtually every aspect of today’s FX market, having access to data and the means to interpret it are fundamental components of a successful e-FX strategy
Modeling nonmaturing deposits: a framework for interest and liquidity risk management
This paper presents a generic framework for modeling nonmaturing deposits that can be used by banks for interest and liquidity risk management, funds transfer pricing and dynamic balance sheet management.
Performance measures adjusted for the risk situation (PARS)
This paper proposes the use of a new class of performance measures adjusted for the risk situation (PARS), as the perception of risk depends on the individual situation including risk preferences.
Government bond swaptions and how they might work
Payoffs based on bond yields instead of swap rates could offer new hedging tool, argue Crédit Agricole execs
Callable repack frenzy opens up new options market in Europe
Demand driven mainly by French life insurers looking for alternatives to low-yielding sovereign bonds
Korea lifers set to increase hedging as accounting shake-up looms
Bond forwards likely to be favoured instrument, but interest rate swaps market could develop
Interest rate derivatives house of the year: Goldman Sachs
Asia Risk Awards 2020
Mega-hedges and generational strife at PGGM
Buy-side risk survey: for Dutch pension giant, battle between young and old shaped response to March mayhem
SOFR basis blows out amid CCP discounting changes
Rate cuts may have exacerbated discount risk as basis swap opt-outs move deeply in-the-money
Dynamic refinement of the term structure: time-homogeneous term structure modeling
The author considers a classical term structure model framework, ie, a Heath–Jarrow–Morton framework, on a time-discrete tenor, such as the London Interbank Offered Rate market model, using a sequence of tenor discretizations, where the tenors are valid…
ALM product of the year: Oracle
Asia Risk Technology Awards 2019
The standard market risk model of the Swiss solvency test: an analytic solution
This paper derives an alternative fast Fourier transform-based computational approach for calculating the target capital of the SST that is more than 600 times faster than a Monte Carlo simulation.