Covid
Capital cliff effect awaits EU banks as Covid support wanes
CET1 ratios have benefited from state intervention, but could drop sharply as measures expire
Esma warns of UK-sized hole in Europe’s fund leverage radar
Executive at hedge fund AQR also urges reform of EU leverage measures to better assess risk
European banks want clarity on post-Covid capital rebuild
Supervisors urged to explain what will happen when pandemic relief on capital buffers expires
EU Covid policies resurrect sovereign doom loop fears
Italian banks could see holdings of home country debt increase to 17% of their total assets
Model misfires raise questions over training data
Quants wrestle with how far into the past their machine learning models should peer
State-backed Covid loans have light capital impact – EBA
Average risk density of guaranteed loans was 18% at end-June
The value rally that never was
Many value stocks stayed flat on November 9 vaccine news, says factor investing expert
Fallbacks, Libor and the cultural risks of lockdown
The week on Risk.net, November 14-20, 2020
EU loans under Covid moratoria have high credit risk – EBA
Banks in Austria, Iceland, Romania and Slovakia especially vulnerable, data shows
Regulators’ margin model rules too lax – BlackRock exec
Risk USA: EU anti-procyclicality rules like “putting a curtain over a draughty window”
Asia edging towards integrated capital markets – SGX’s Loh
Asia Risk 25: full regional co-operation could still be 10 to 15 years away, says Singapore exchange head
Aussie bank loan-loss provisions top A$11bn
Westpac absorbed the largest charge of the ‘Big Four’
Covid-19 overwhelmed stress-testing models – banks
Risk USA: lenders forced to apply management overlays to models skewed by macro inputs
Regulators voice concerns over cloud risk
Risk USA: failure of big cloud service provider could cause “a very large shock”, says NY Fed exec
EU’s dividend ban overshadows reform effort
Banks may be reluctant to run down buffers even if regulators soften the MDA threshold for payouts
EU funds lack liquidity management tools – Esma
Most Ucits can only rely on temporary borrowing or gating to weather crises
Regions deploys early-warning tool for credit risk
Risk USA: system alerted US superregional to impending defaults during Covid crisis
BofA the outlier as most US banks improve SLRs in Q3
Aggregate Tier 1 capital climbs 2% in Q3
NY Fed’s Stiroh: ‘cultural capital’ at risk in pandemic
Risk USA: remote working could “erode” the culture of financial firms, says senior regulator
Loan-loss provisions take a smaller bite out of EU banks in Q3
Set-asides fell 57% quarter on quarter
Varying bank leverage ratio could fix ‘broken’ repo market
Risk Live: Repo with buy side should incur different leverage ratio, suggests big asset manager
How to successfully mitigate fraud – AI in action
Fraud is evolving, with influences spanning technical sophistication through to turmoil and crisis. Most recently, the Covid-19 pandemic has thrown an additional spanner in the works. As the drivers behind these activities are becoming more varied, the…
Cleared CDS volumes surged in H1 – BIS
CDX cleared contracts outstanding leapt 35% in H1
BoE warns banks: start preparing for a higher carbon price
Risk Live: stress tests should assume rising carbon price, regardless of government policy, says Breeden