Covid
Two Sigma building quant tools to hunt real estate bargains
Information-rich market offers “trillions of dollars of opportunity”, says data chief
Even Covid couldn’t stop insurers buying risky CLO tranches
NAIC rules make mezzanine debt more attractive than AAAs or corporate bonds with similar ratings
NLP and transformer models for credit risk
News feeds are factored into models to predict credit events
Stronger together: CLS’s chief risk officer on risk culture
Deborah Hrvatin discusses integrated risk management, mega-hacks and model risk
Safety first: UK set to keep ring-fencing but may ease rules
There is also pressure to make changes to tackle banks’ overexposure to retail debt due to the rules
EU banks forced to up collateral for ETDs in Q4 2020
Over-collateralisation of liabilities jumps to highest since March 2020
Covid-forborne loans default en masse in EBA stress test
13.4% of ex-moratoria exposures in ‘stage three’ default at 2023 test end-point
End of SLR relief weighs on JP Morgan
All eight US systemic banks saw their supplementary leverage ratio drop in Q2
‘It’s the economy’: forecasting an op risk climate change spike
History of op risk suggests economic impacts of climate change could exacerbate losses, writes op risk head
The pitfalls of out-of the-box surveillance
In the Covid-19 era and beyond, surveillance is and will be complex and ever-evolving. For a surveillance programme to be effective, it must be able to process increasing volumes of data, integrate that data across multiple platforms and devices, and…
Covid-forborne EU loans sour faster as more exit moratoria
Exposures classified as stage two rose 37% in the first three months of 2021
UK banks’ RWAs near record low – BoE
Lower credit and counterparty RWAs led the quarterly drop, latest figures show
Eurozone banks add €10bn of Level 3 assets in Q1
First quarterly increase in mark-to-model assets post-pandemic
Sunil Cutinho on CME’s crisis performance
Maverick clearing house boss dismisses the need for anti-procyclicality tools imposed by regulators
The race to digital resiliency – Building a robust data management framework
Addressing privacy concerns is not a new topic for data and analytics, but with the explosion of regulations and growing consumer concern around how data can and cannot be used, addressing compliance requirements is more important than ever
Mizuho EU CRO reveals his top risks – they may surprise you
Fears over technology dominate Wolfgang Koehler’s list of greatest risks for Mizuho’s EU unit
The evolution of stress-testing capabilities, design and monitoring
Risk technology, data strategy and innovation audiocast series (part 3 of a series of 3)
Risk technology to navigate future risk
Risk technology, data strategy and innovation audiocast series (part 1 of a series of 3)
Data and risk strategies to hedge against future black swan events
Risk technology, data strategy and innovation audiocast series (part 2 of a series of 3)
Hedging valuation adjustment gets cold shoulder from banks
Dealers back the idea of charging for hedging costs but not as part of a new XVA
Initial margin – Special report 2021
With many phase five firms in limbo, this special report assesses the issues and key challenges involved, and reveals the changing strategies of firms in meeting their IM responsibilities
Zurich’s Scott: don’t levy climate risk capital charges
Imposing set-asides based on stress tests “does not make any sense”, sustainability chief warns watchdogs
At TD and RBC, higher deposits weigh on LCR
Higher net cash outflows in Q2 keep liquidity coverage pressures up
Banks invest in futures utility to guard against tech snafus
FCMs, including Goldman and JP, stump up $44 million to fund FIA Tech push to standardise trade processing