Financial crisis
Central counterparties: magic relighting candles?
In this paper, the rules of selected major CCPs (LCH, CME, Eurex and ICE) are reviewed for both their end-of-waterfall procedures and the rights granted to clearing members in end-of-waterfall scenarios.
Fed Funds Futures in a Post-ZIRP World
As the FOMC returns to more active management of its key target rate, Federal Funds futures have experienced dramatic growth.
FCA has active pipeline of misconduct investigations
As expansion of SMR to smaller firms looms, regulator says plenty of bankers are under scrutiny
Virtue bonds, Hong Kong FRTB and letting go of Lehman
The week on Risk.net, August 24–30, 2019
Soured loans tick up at EU banks in Q1
Total stock of NPLs hits €663 billion
Sovereign spreads and Target2 anomalies
Widening risk imbalances between eurozone member states threaten monetary union, says Italian regulator
EU stress tests not as tough as financial crisis
Projected GDP decline for Spain, Ireland and Italy milder than during the credit crunch
Fixing the roof while the sun – wait, is that rain?
The Fed is split on whether to apply a countercyclical buffer. But so is everyone else
A tech-driven transformation
A panel of experts explores how greater collaboration between risk and finance teams can garner significant benefits and add value, how technological innovation is making the regulatory landscape more complicated to navigate and produce transformative…
Q&A: ‘Stop talking about rules’ – Basel’s Coen
Standard-setter’s top staffer is moving on. He wants industry to do the same
Op risk data: losses decline sharply in first half
Conduct losses account for most of $8.5 billion total. Data by ORX News
Hong Kong warrants: this time it’s different
With their rise in popularity, warrant issuers must be on their guard at all times
Credit portfolio stress testing using transition matrixes
In this paper, the authors propose a new methodology for modeling credit transition probability matrixes (TPMs) using macroeconomic factors.
Eurozone systemic risk diminishes
Yet jumbo exposures to other banks dominate intra-system assets
Fund ratings flip as 2008 losses fade from view
Over 90% of top-rated US equity funds have betas greater than one
Japanese banks growing less resistant to financial crises
Ebbing income expectations would erode future capital ratios
Op risk past is prologue for UK banks
UK banks will not be allowed to forget past misdeeds
The implicit constraints of Fundamental Review of the Trading Book profit-and-loss-attribution testing and a possible alternative framework
This paper presents the constraints embedded in the the profit-and-loss-attribution test and explores a possible alternative framework.