Banks
Capital buffers, settlement fails and crowd modelling
The week on Risk.net, May 9–15, 2020
Markit plans SOFR credit spread add-on using CDS data
Vendor taps vast pool of credit market data to create new benchmark “not dissimilar” to Libor
Blurred lines in bank capital standards
Boundaries between capital buffers and capital requirements are looking worryingly unclear
Big banks worry small lenders could derail Libor switch
As UK regulator reiterates 2021 warning, dealers say Covid-19 is forcing smaller lenders to divert resources
Pressure grows on structured products as losses mount
Dividend-related losses at BNP Paribas may be higher than previously reported
Machine learning in fraud analytics to combat financial crime – Getting it right
Risk and compliance professionals gathered for a Risk.net webinar in association with NICE Actimize to consider the challenges and opportunities of successfully harnessing artificial intelligence in the fight against financial criminals
Fed does U-turn on SOFR loans
Libor rates to be used instead for four-year emergency lending schemes
How axed dividends left SocGen in a €200 million hole
Collapse in equity trading revenues prompts rethink of autocall hedging
Bleak macro view pushes Lloyds’ ECL over £5bn
Anticipated loan losses for commercial loans up 39% on end-2019
Covid loans support six-month extension for Libor lending
UK working group delays Libor loan end-date to March 2021 as emergency loan scheme shuns Sonia
How regional banks could shape US Libor replacement
Regulators convene working group to address credit sensitivity concerns
Managing a derivatives portfolio through turbulent markets
Steering a portfolio of non-linear derivatives, such as options and more exotic products, is challenging at the best of times. Market risks change as markets move and time passes, risks offset in complex ways and proxy hedging is common. In this feature,…
El-Erian on Covid-19 policy risks and central bank capture
Former Pimco chief says Fed has gone too far, market function rules needed and chance opens for shared policy load
Implementing Basel IV in Asia-Pacific – Mapping out the next steps
This webinar explores the current pain points and provides insights on Basel IV implementation in Apac, addressing the most common challenges and what it takes to transform to a Basel IV-compliant financial institution
‘Ostrich approach’ to financial stability is a mistake
Denmark’s top supervisor says scaling back IFRS 9 would be a costly error
Climate risk – Special report 2020
As governments worldwide focus on the coronavirus (Covid‑19) pandemic amid plummeting demand for fossil fuels, it may seem climate change has dropped down the global agenda. Firms that don’t assess the climate risk in their portfolios, or hedge or divest…
UK banks’ RWAs plummeted in Q4 2019
Risk drop-off helped raise aggregate CET1 ratio
Libor Risk – Quarterly report Q1 2020
Regulators may have to accept Libor transition will be slower than they hoped. But the final framework may yet be more robust as a result. Knowing how rates perform in times of stress will be crucial to the success of benchmarks intended for real economy…
Seeing red over blue-chip swap in Argentina’s NDF fiasco
Emta protocol salve aside, peso settlement rate snafu is a warning for emerging market FX derivatives
Credit risk – Building on a foundation of quality data
Credit risk analysts at emerging market banks not only need high-quality data, but also the necessary tools to manage it. Improving consistency and reducing the risk of errors in credit risk data create more time to concentrate on the core activity of…
The impact of climate change on banks
Over the past few years, concern and public discussion around environmental damage and climate change – and their social impacts – have increased dramatically. Peter Plochan, principal risk management advisor at SAS, discusses some key ideas to allow…
Leverage is underestimated
Off-balance sheet funding is large, rising and not fully accounted for in leverage metrics
The open data revolution in banking falls short
Lax Pillar 3 rules are leading to inconsistent data being collected
India exchange to debut rupee derivatives settled in US dollar
Launch of onshore futures and options unlikely to dent offshore volumes, though