Covid
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
The wild world of credit models
The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…
Driving greater value in credit risk and modelling
A forum of industry leaders discusses the challenges facing banks in measuring and mitigating credit risk in the current environment, and strategies to adapt to a more stringent regulatory framework in the future
TD Bank’s CRO on the importance of staying nimble
Downturn readiness exercises helped bank weather Covid credit shock
OTC derivatives amount rose 5% in H1
While notional amounts were up from end-2020, gross market values fell 20% across all instruments tracked by the BIS
Don’t follow the models: they’re lost, too – risk managers
Risk USA: managers cite Covid, repo crisis and geopolitical risks as examples of model failures
ABN Amro’s market risk drops as VAR falls 53%
Total market RWAs down 4% quarter on quarter
The future of equity derivatives and perspectives for UK equities and dividends
In this webinar, three experts from FTSE Russell, Natixis and Eurex discuss the emerging equity derivatives landscape in the UK and Europe post-Covid recovery
Prudential CRO: markets haven’t priced in tail risks
Risk USA: distribution of extreme outcomes “has gotten broader and wider”, says Nick Silitch
Fighting Covid-19 in countries and operational risk in banks: similarities in risk management processes
This paper shows how banks managing operational risk and countries tackling Covid-19 could learn from each other to overcome obstacles in effectively mitigating major risks.
Regulator says Covid has accelerated China’s reform agenda
CSRC vice-chair wants US firms to help develop onshore futures for risk management
Internal risk floors add $7.1bn to Westpac’s retail RWAs
Bank braces for tighter capital rules and roll-off of Covid measures
Neural networks show fewer false positives on bad loans – study
Machine learning method edges regression techniques in linking nonlinearities among delinquent borrowers
Show, don’t tell, on op resilience – Fed examiner
OpRisk North America: banks warned of “disconnect” between theory and practice
US funds regain their nerve in index CDS market
Counterparty Radar: Pimco, Western AM push protection selling to new high, as buying dips
Prime MMFs accept need for higher liquid asset ratios
But industry wants regulators to steer clear of mandatory swing pricing or gates
JP Morgan’s VAR falls to lowest since 2018
Gauge of trading risk drops 20% quarter on quarter, driven by commodities and equity desks
PGIM chops CDS book as others bulk up
Counterparty Radar: The firm’s shrinking single-name book pushed Bank of America and Citi down the rankings
Citi reorg the final note in failed swaps clearing model
Strategic shift from OTC clearing powerhouse to client support function marks the end of an era