Modelling
Markets Technology Awards 2022 winner's interview: swissQuant
Joe Kenel, capital markets technologies at swissQuant, discusses the technology solutions provider's Central counterparty clearing support product of the year win at the Markets Technology Awards
Erste sees provisions rising fourfold in gas embargo scenario
Vienna-based bank wargamed for an unlikely but devastating halt to Russian gas shipments
A general firm value model under partial information
The authors propose a general structural default model combining enhanced economic relevance and affordable computational complexity.
Options expiry triggered $135m liquidity shortfall at NSCC
The CCP collected supplemental liquidity deposits six times during the first quarter
LGIM’s climate modelling shows ‘point of no return’ in 2025
Cost of limiting global warming to 1.5°C will become too great for economy within 36 months
Nationwide’s IRB charges up 89% on PRA’s parameter curbs
The building society’s strict focus on mortgages meant impact was all-sweeping
Banks’ loan-loss forecasts diverge in BoE climate exercise
Dispersion of estimates for corporate impairments highlights variety of assumptions for modelling climate risk
China’s top banks slashed market RWAs by $15bn in 2021
Aggregate market RWAs at top five lenders down 17% in year marred by domestic and overseas volatility
Standardised approach extends reach over US banks’ RWAs
Gap between standardised and advanced RWAs at its widest ever for BofA, BNY Mellon, Morgan Stanley and Wells Fargo
Goldman’s VAR climbs to $98 million in Q1
Commodity and interest rate risk push average VAR to its highest reading since 2020
What drives the convertible bond market?
Dmitry Pugachevsky, director of research at Quantifi, provides an overview of the burgeoning convertible bond market, including approaches to modelling and its outlook in the current inflationary environment
Stocks and bonds start to move in step, making quants jittery
Long-established inverse correlation between asset classes breaks down during first quarter
Lessons from UMR phase five
Sponsored Q&A
Members of CME’s F&O unit added $950m to default fund in Q4
Market volatility triggered a $3.4bn peak initial margin call on one day during the last quarter of 2021
Earnings call analysis 2.0 goes beyond good and bad words
Quants develop new ways to extract signals from media-savvy chief executives and their financial statements
It’s complicated: why backtesting is so challenging, but so important
Hiroshi Tanase, executive director of product analysis and design at S&P Global Market Intelligence, explores why, with the implementation of phase five of uncleared margin rules (UMR) last September and with the phase six roll-out just around the corner…
EU banks racked up VAR breaches in 2021
Crédit Agricole and ING Bank hit with higher multipliers after exception count rises
Peak IM calls at FICC leapt 13% in Q4
Number of margin breaches at the central counterparty’s GSD also edged higher, as some members increase exposures after margin calculations
Banks tout CCAR-style stress tests for emergent risks
Extreme-but-plausible scenario planning is being applied to geopolitical events such as Ukraine conflict
Vulnerabilities arise in financial services as AI and machine learning use balloons
The scale at which financial services firms are adopting artificial intelligence and machine learning continues to grow, bringing with it new dimensions of risk and vulnerability. In a recent Risk.net webinar sponsored by TCS, experts discussed…
UniCredit cuts market RWAs by 9%
Removal of capital requirements for FX risk sheds standardised RWAs by 68% in three months
US unit of Barclays close to a VAR breach in Q4
Largest loss-to-VAR ratio at the firm was highest among 10 US intermediate holding companies
HSBC’s SA market RWAs double on new structural FX rules
Move from Pillar 2 to Pillar 1 for unhedged FX risk adds $6.8bn of RWAs
Interview with Sarah Friar, chief executive at Nextdoor: part 2 of 2
Sarah Friar, chief executive at Nextdoor, says enterprise risk assessments are vital because, when done well, they are great mental models and helpful for playing out scenarios