Covid
EU banks racked up VAR breaches in 2021
Crédit Agricole and ING Bank hit with higher multipliers after exception count rises
Banks tout CCAR-style stress tests for emergent risks
Extreme-but-plausible scenario planning is being applied to geopolitical events such as Ukraine conflict
Banks: sanctions evasion driving rise in money laundering risk
Attempts by oligarchs to siphon cash out of Russia sparks heightened scrutiny of AML alerts
Barclays’ modelled RWAs jump 71%
SVAR pinned to Covid-19 panic drives latest quarterly increase
StanChart reports first VAR breach since Q2 2020
Three exceptions recorded in the fourth quarter put the bank one step away from a higher capital requirement
Interview with Alain Bejjani, chief executive at Majid Al Futtaim: part 1 of 3
Resilience refers to a wide spectrum of things and has layers, says Alain Bejjani, chief executive at Majid Al Futtaim. In this video interview, he discusses how crisis mode is a continuum that comes at a cost of efficiency, effectiveness and growth
Severe but plausible – or not?
In this paper, the authors apply a measure of statistical unusualness, called the Mahalanobis distance, to assess the plausibility of the scenarios used in the Federal Reserve's stress tests.
Shadow US banks cool on riskier leveraged loans
Lowest-quality syndicated loans held by non-banks fall, though they remain well above pre-pandemic levels
SSA risk manager of the year: European Commission
Risk Awards 2022: EC debt programme skyrockets to fund recovery package of up to €800 billion
Don’t impose blanket margin model rules, say BoE advisers
Focus instead on outcomes and costs and factor in different clearing membership, say Murphy and Vause
Starting salaries jump for top quant grads
Quant Guide 2022: Goldman’s move to pay postgrads more is pushing up incomes, says programme director
Top US banks released $18.5bn of credit reserves in 2021
JP Morgan reversed over $6bn of PCLs, the most of the group
Led by BofA, US banks doubled distributions in 2021
Stock buybacks and dividends hit $117.7 billion last year
Covid isn’t killing corporate entertaining – it’s dead, anyway
For a generation of bankers and vendors, client hospitality was part of life. But the party is winding down
Leveraging a hybrid cloud for better decision‑making
At a Risk.net webinar in association with open-source solutions provider Red Hat and analytics services provider SAS, panellists discussed how financial institutions can leverage the hybrid cloud to analyse data, reach trustworthy decisions and maximise…
New model simplifies loan-loss forecasts. Some say it’s too simple
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
CME turns to Fed in rejig of liquidity pool
Central bank balances accounted for more than 70% of the CCP’s total liquidity buffer in Q3
US prime fund swing pricing proposal sparks industry alarm
Some fear SEC rule would repel investors; high liquidity requirements could make funds uneconomic
Investors question fixes for a quant strategy that’s stalled
Banks are revamping intraday trend strategies; buy-siders aren’t sure it’ll work
Covid-19 and the credit cycle: 2020 revisited and 2021 outlook
This study continues the author’s examination and forecasts as to the impact of Covid-19 on the US credit cycle after one and a half years since the pandemic first began.
EU banks with thinnest buffers tap heftiest IFRS 9 capital add-backs
EBA data shows lenders whose capital benefitted most from transitional loan-loss relief also have skinniest CET1 capital ratios
Data analytics set to fuel change in the oil market
Privileged data insight is no longer the sole preserve of the world’s oil conglomerates. Access to insightful analytics is providing a new competitive edge for smaller and mid-sized commercial and trading firms in the oil market, helping them navigate…
Single-name CDS trading bounces back
Volumes are up as Covid-driven support fuels opportunity for traders and investors
Deutsche’s market RWAs hit 5-year low on VAR multiplier cut
Regulatory audit greenlit 0.5x cut in multiplier following bank’s overhaul of VAR approach