Covid
Basel sets out its stall on operational resilience
Body says banks expected to maintain critical services, but steers clear of setting compliance metrics
Podcast: Investing, climate risk and energy firms
How are investors enabling the move to the low-carbon economy?
Goldman breached VAR limit 16 times in H1
US dealer also racked up 40 days on which trading profits exceeded $100 million
Moonshots shelved: banks spend on home-working tech
Dealers made success of remote working switch – now they’re investing in its future, and pausing grander ambitions
Funds turn to stress-testing in fast-forward and reverse
Buy-side risk survey: Covid-19 is changing the way investors think about stress tests
Rising Level 3 assets threaten bank profits
Dealers are relying on in-house models to value large amounts of complex structured products
Axa’s solvency ratio continues fall in Q2
French insurer’s core ratio has dropped 18 percentage points year-to-date
AllianceBernstein’s CRO on managing risk with imagination
Buy-side risk survey: Andrew Chin suggests ripping up old assumptions and creating crisis ‘playbooks’
CRR ‘quick fix’ pushes UniCredit’s RWAs lower
Italian bank nets €2.4 billion of RWA relief from regulatory changes
Covid forces banks to focus on vendor risk
Firms eyeing financial well-being of critical suppliers, and seeking alternatives
Market risks push Allianz’s Solvency II ratio lower in Q2
Whipsawing markets help take three percentage points of the firm’s core solvency ratio
Commerzbank takes €111m of XVA losses in H1
Valuation adjustment benefits gained in Q2 did not offset huge Q1 losses
SocGen mulls sale of structured product books after big losses
Rival Natixis also plans to place parts of its equity derivatives business in run-off mode
Preparation paid off for funds during Covid liquidity crunch
Buy-side risk survey: how asset managers weathered the liquidity crisis in March
BPCE’s capital ratio falls as it waits on Covid loan relief
Delay to state guarantee benefits took 32bp off of CET1 ratio
Corporate, SME loans to take brunt of Covid shock, say EU banks
Though credit outlook has darkened, banks expect to increase lending overall
IFRS 9 and the loan loss lottery
As reserves for bad loans balloon, banks grapple with measuring Covid-era credit risk
Mifid swaps, VAR and buy-side Covid lessons
The week on Risk.net, July 25–31, 2020
The unintended impact of collateral on financial stability
Initial margin requirements for OTC derivatives can increase risk of contagion, writes economist
Covid hammered CEE banks’ capital ratios
One-quarter of EU banks have CET1 ratios below 13%
Why investors are stuck with flawed VAR models
Buy-side risk survey: VAR wasn’t much use in March, but it is ingrained in the industry
Coronavirus shock to hit diversified lenders hardest – ECB
Diversified and wholesale lenders projected to see CET1 ratio decline 7 percentage points under worst-case scenario
Severe Covid recession could topple some EU banks
One-quarter of lenders would see CET1 ratios fall below 6.8%
Valuation risks fell at UBS in Q2
Swiss lender is sitting on $8.1 billion of Level 3 assets