Modelling
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
Barclays’ modelled RWAs jump 71%
SVAR pinned to Covid-19 panic drives latest quarterly increase
Smaller EU nations stare down giants in capital floor standoff
EU member states clash over severity of internally modelled output floors for cross-border bank groups
US banks see highest number of loss-making days in six years
Wells Fargo, Citi and JP Morgan the worst performers in record-breaking Q4
Benhart: banks should start revising for OCC’s climate exams
US agency’s climate chief says firms will need more data from clients if they’re to make the grade
Top US banks record 14 VAR breaches
JPM, Morgan Stanley, BofA, Citi, Goldman and State Street wrong-footed in volatile end to 2021
Bookstaber: past performance is no guide to future risks
Veteran risk chief says trading gains in wake of LTCM’s demise forged love of agent-based modelling
Prime broker of the year: Barclays
Risk Awards 2022: Focus on risk management helps UK bank win client trust – and balances – in wake of Archegos collapse
Clearing house of the year: OCC
Risk Awards 2022: Risk management reforms help clearing house weather meme stock volatility
JP Morgan incurs eight VAR breaches, triggering capital hike
Largest trading loss in Q4 reached 207% of the bank’s VAR limit
SocGen cut trading VAR by a third in Q4
Trading risk gauge shrinks to lowest in 17 years
The Collins flaw: backstop turned binding constraint
US legislative tweak was meant to prevent banks from using their own capital models too liberally. It’s now something different
Apra’s overlay pushes CBA’s market RWAs up 30%
Market risk is at the highest level since Q4 2020
Nordea’s trading VAR keeps climbing amid rate hike jitters
Trading risk gauge surged 17% through Q4
ING’s interest rate VAR spiked in Q4
Potential-loss indicator for rates trading peaked at €20 million