Data
Data to anchor a new age of risk management
The growth of artificial intelligence and real-time compliance drives new requirements in data and analytics
Nonlinear risk decomposition for any type of fund
A risk decomposition by fund manager, factor or instrument is proposed
Clouding the issue: blurred lines divide banks and servicers
Banks clash with big three cloud service providers over data security and configuration errors
SMFG reports highest power sector emissions intensity
Across all systemic banks, only eight dealers disclose their GHG emissions for this field
China regulation: the path clears slowly
Co-ordination among Chinese regulators has improved, but new data law shows continued tensions
Covariance estimation for risk-based portfolio optimization: an integrated approach
This paper presents a stochastic optimization framework for integrating time-varying factor covariance models in a risk-based portfolio optimization setting.
Systemic banks: black boxes on green issues
Less talk and more action needed around climate disclosures linked to carbon emissions
Systemic risk: Fed methodology out of sync with Basel’s
Different inputs and calculator formulae pose dual test to US banks
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…
Dealers warm to SOFR swaptions but buy side lags
Rate accounted for nearly half of new notional last week, but operational issues slow end-user uptake
Language barrier: quants slog to teach investing bots to read
Training models to interpret text can be dull; doing it badly can be costly
Source of systemic risk varies by region
European, Canadian and UK banks are too big to fail because of their cross-border activities, Chinese and Japanese banks because of their size
New FRTB timeline makes Europe’s reporting phase ‘obsolete’
European Commission pencils in capital requirements to start at the same time as reporting exercise – or even before
Top venues mull offering joint EU consolidated tape
Market participants worry venue-led CT is designed to protect high-cost data services
New breed of NLP model learns finance better, study finds
Models trained by looking at sentences beat conventional approaches that contextualise words
Most G-Sibs fail to disclose financed emissions
None of the world’s top 30 banks disclose climate impact of their whole portfolio
Credit risk & modelling – Special report 2021
This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.
Moving from risk to resilience: making your organisation anti-fragile
Moving from basic risk management to real resilience is a critical capability organisations must strive to attain. Teams are seeking to quickly mature resilience as businesses, countries and economies reopen (and, in some cases, close again) in the wake…
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
Copping out on climate change: buy-side risk survey
Only 9% say front-line staff have climate role today – specialists call for better metrics and link to pay
BlackRock’s own reporting undermines its climate claims
Axa, Allianz and Legal & General have all cut their investments’ emissions, unlike BlackRock
EU firms call for single consolidated tape provider
Some say new rules could create data fragmentation and raise connectivity costs
Neural networks show fewer false positives on bad loans – study
Machine learning method edges regression techniques in linking nonlinearities among delinquent borrowers