Risk management
A peek inside op risk managers’ coronavirus response
Op risk managers steel their firms for looming pandemic amid an expected rise in cyber attacks
Apac CCPs: we’ve come a long, long way together
Members still gripe about arcane policies, but risk management fundamentals are strong
Top 10 op risks 2020: IT disruption
Risk of downed systems, from hack or outage, continues to make op risk managers fret
Top 10 op risks 2020: talent risk
Firms struggle to reduce headcount and fill gaps without cutting corners
Top 10 op risks 2020: conduct risk
Root-and-branch reform of bank culture remains a work in progress
IT disruption chief concern in Top 10 Op Risks survey 2020
Risk managers cite data compromise, theft & fraud and third-party risk among other top worries
The pricing of firm-specific risk in emerging markets
This paper finds that a zero-investment strategy that goes long (short) in the highest (lowest) quintiles of firm-specific risk earns overall positive excess returns across twenty-one emerging markets.
Adapting to technological change in op risk management
Baker McKenzie‘s Jonathan Peddie explains how the role of operational risk manager has evolved in recent years, how financial firms are managing increasing demand for data privacy and transparency, and how technological advancements over the coming…
SOFR discounting – Analysing the market impact
The switch to secured overnight financing rate (SOFR) discounting brings several complex issues and is impacting market practices. Ping Sun, senior vice‑president of financial engineering at Numerix, discusses the key issues, such as the differences…
Energy25 winners in review
Energy25 aims to capture, define and analyse an important period in the development of energy markets, providing an invaluable yardstick for all participants. More broadly, it represents the latest stage in the strategy of defining, researching and…
Credit risk – The bank data challenge in frontier markets
As the regulatory net tightens, banks working in and across frontier regions are under pressure to source and maintain more accurate data in the assessment of counterparty credit risk, but some are investing in tools to tackle the problem
An internal default risk model: simulation of default times and recovery rates within the new Fundamental Review of the Trading Book framework
This paper presents a new default risk model for market risk that is consistent with these requirements. The recovery rates follow a waterfall model that is based on a minimum entropy principle.
Hedging incentives for financial institutions
Using a simple model, this paper derives two results that provide guiding principles for hedging by, and capital regulation of, financial institutions.
Grand designs? Time to rein in the Pillar 2 project
Pillar 2 capital add-ons are becoming increasingly elaborate
OCC updates default auction rules to encourage buy-side bids
Clearer’s proposed changes follow client fears of being locked out
ECB risk ratings find banks wanting
Fewer banks scored highly in SREP assessment than in 2017 and 2018
EU council dials back on margin haircuts for CCP resolution
Lawmakers close avenues for regulators to dip into non-defaulting members’ initial margin
Haitong taps NLP to inform collateral coverage
Hong Kong broker scours news and blogs in bid for better corporate signals in China’s opaque markets
On eve of Brexit, PPF’s chief risk officer isn’t too worried
Stephen Wilcox talks about getting pensions paid without the benefit of controlling ‘UK Plc’
Top 10 operational risk losses of 2019
Fraud, embezzlement, tax evasion, subprime (still) and rogue trading – and Citi crops up twice. Data by ORX News
Outsourced model validation: is it viable?
Consortium promises cost savings in outsourcing model validation, but some say pooling doesn’t float
Ready or not – a low-carbon economy is coming
Government and business must avert disorderly move away from fossil fuels, says Geneva Association’s Maryam Golnaraghi
Singapore’s banks eye LCH membership
London CCP’s move to clear for stranded SGX clients pays off, amid broader Apac membership push
Dark materials: how one academic is delving into data
David Hand shines a light on dark data and the dangers of distortion by absence