Data
Social distancing: quantifying the ‘S’ in ESG
The ‘social’ pillar of ESG has been the poor relation in terms of data – until now
Fleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023
Approaching menace: how financial firms are tackling emerging risks
Exploring the changing shape of emerging risks and how integrated risk management is helping companies to meet the challenges head-on
Wholesale credit modelling software of the year: Moody’s Analytics
Moody’s Analytics has won Wholesale credit modelling software of the year at the Risk Technology Awards 2023 thanks to its excellent credit scoring models and solutions that address the diverse requirements of the wholesale market
Mounting pressure to capture real-time exposures spurs data aggregation efforts
A range of market factors and technological advances is driving the need for real-time data and analytics, and persuading firms to move away from their risk management infrastructures. In a recent Risk Live panel session sponsored by KWA Analytics,…
Does the term structure of the at-the-money skew really follow a power law?
A power law can fit the ATM skew, but struggles with short maturities
Op Risk Benchmarking: Inside the G-Sibs
New initiative scrutinises op risk measurement and management practices at the world’s largest banks
Default forecasting based on a novel group feature selection method for imbalanced data
The authors construct a group feature selection method which combines optimal instance selection with weighted comprehensive precision in an effort to improve the performance of prediction models in relation to defaulting firms.
SEB’s wholesale funding doubles following reporting error
Front-loading of 2023 funding plan contributes to Skr500 billion increase in H1
Banks begin tackling climate stress tests of trading books
Market risk professionals see major shortcomings in available scenarios
Relief (and some regret) as EU scales back swaps transparency
Leaked document outlines plans to narrow scope of dysfunctional OTC disclosure regime
EU’s late CDS transparency push triggers trader fears
Leaked proposal to shoehorn public disclosure of CDS into Mifir placates Esma, but alarms traders
Risk managers mull Basel-style climate standards
Risk Live: Splintered approach to stress-testing across jurisdictions “very, very worrying”, says risk expert
FCA may offer its market data to surveillance tech start-ups
Risk Live: Regulator concerned rapid AI adoption will favour incumbent vendors; aims to launch sandbox
After SVB downfall, EBA stress test seeks out unrealised losses
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
A student of Dr Doom says QE is here to stay
Salomon alumni Michael Howell says central banks can’t stop pumping liquidity
Asia moves: Senior hires at Nomura, HKEX and more
Latest job news from across the industry
Cloud control: optimising cloud for risk management gains
Cloud adoption has accelerated rapidly among capital markets participants in recent years. This Risk.net webinar explores how firms can optimise their usage of cloud, driving greater efficiency, avoiding common pitfalls and keeping costs to a minimum
SG1 growth slower than expected, say LPs
Despite sluggish take-up of Singapore FX matching engines, some hope a new NDF venue will offer a boost
US commercial bank deposits see biggest drop in 50 years
Depositors pulled record $317bn in March; preliminary April figures suggest banking system still fragile
FX options hint at potential for euro shock
Months-long rally powered by ongoing hikes, but euro-bears fear economy will crack
How Man Numeric found SVB red flags in credit data
Network analysis helps quant shop spot concentration and contagion risks
HTM securities hit $2.5trn at US banks in 2022
BofA, First Foundation and Wells Fargo reported largest share of HTM to total securities behind SVB
Fed’s climate stress test whips up storm for banks
Long-awaited US climate risk exercise puts tough pressure on banks’ data and models