Financial crisis
Japan’s CCP goes global
International investors are flocking in ever greater numbers to clear their Japanese yen swap books at the Japan Securities Clearing Corporation. Their arrival is driving some big changes – within the clearing house itself and across the broader JPY…
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
Pricing services play critical role in securities valuations under SEC rule
Pricing services face scrutiny from investment managers as the US Securities and Exchange Commission's (SEC's) new 2a-5 ‘fair value’ rule takes effect. Here, Refinitiv’s Joseph Hayek explains how pricing services should prepare for the surge in customer…
Hedge funds and the rebound in collateral velocity
Reuse rate of collateral points to growing fragility and interconnectedness in financial markets
Using payments data to nowcast macroeconomic variables during the onset of Covid-19
Economic prediction during a crisis is challenging because of the unprecedented economic impact of such an event, which increases the unreliability of traditionally used linear models that employ lagged data. The authors help to address this challenge by…
Bank supervision: lessons from the post-2008 banking crisis
This paper considers the learning points from official third-party reports produced in the wake of supervisory failures that can be applied to the management of front-line bank supervisors.
Asia edging towards integrated capital markets – SGX’s Loh
Asia Risk 25: full regional co-operation could still be 10 to 15 years away, says Singapore exchange head
EU’s dividend ban overshadows reform effort
Banks may be reluctant to run down buffers even if regulators soften the MDA threshold for payouts
Op risk data: Firm-wide control fails cost Citi $400m
Also: Deutsche draws fire and AML fine over Danske trades. Data by ORX News
Ready for the unique product identifier (UPI) in two years?
Emma Kalliomaki, managing director of the Derivatives Service Bureau (DSB), explores UPIs for OTC derivatives, how and when they will be introduced, and the responsibilities of the DSB as designated service provider for a future UPI system
Funding pain prompts calls to rehome FVA
Dealers push to move derivatives funding costs out of P&L following March’s outsize losses
SFC’s Alder looks to shake up liquidity rules post-Covid
Asia Risk 25: HK regulatory head says central banks must “never have to step in again” to bail out investors
The Libor transition – Let’s talk about SOFR
Time is ticking to Libor’s planned decommission date of December 31, 2021. Firms need to move quickly to execute their transition strategies, and having unique insight into certain key issues can aid decision-making. Numerix’s Ping Sun discusses…
The unintended impact of swap stays on financial stability
As swaps leverage shrinks, bankruptcy stay rules are not guaranteed to reduce systemic risk, says economist
A k-means++-improved radial basis function neural network model for corporate financial crisis early warning: an empirical model validation for Chinese listed companies
This paper aims to simplify the early warning model for financial crises by collecting and analyzing the financial data of Chinese special treatment (ST) companies, normally listed companies and cancel special treatment (CST) companies.
Study suggests banks may be better off with simpler VAR models
Non-parametric VAR models perform well in calm markets, but miss the mark in volatile periods
Stuart Lewis, Deutsche’s survivor, confronts Covid-19
CRO talks loan reserves, VAR breaches, and the lessons of a lurid past
Risk doesn’t wait for market close
Many market participants rely on end-of-day batch systems to perform analytics and, in the current environment, they may see significant negative impacts on their business. Leila Sadiq, front-office risk head of product at Bloomberg, explores how the…
Cross-border investing boosts contagion risk, study finds
More countries now capable of triggering a wider crisis
Covid scenarios: finding the worst worst-case
As pandemic trashes historical data, a Risk.net tie-up with Ron Dembo’s new outfit tests promise of polling
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
Managing a derivatives portfolio through turbulent markets
Steering a portfolio of non-linear derivatives, such as options and more exotic products, is challenging at the best of times. Market risks change as markets move and time passes, risks offset in complex ways and proxy hedging is common. In this feature,…
Uncharted waters
How pension plans can better equip themselves for a period of economic upheaval. By Matthew Seymour, RiskFirst, a Moody’s Analytics Company
Uncleared margin – The changing needs of buy-side firms
Raf Pritchard, head of triResolve, discusses the initial margin calculation and collateralisation challenges for firms coming into scope under phases five and six of the uncleared margin rules