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Basel war on window-dressing may smooth liquidity, at a price
Changes to G-Sib charge could curb year-end repo volatility, but also cut balance sheet capacity
Are market-makers better at dealing with central bank intervention?
Lack of pain following BoJ intervention suggests dealers are better at handling event risk
MassMutual adds to mammoth interest rate swaps book
Counterparty Radar: Firm was responsible for 28% of US life insurers’ notional aggregate in Q4 2023
Risk data
HSBC, StanChart SVAR charges hit multi-year highs
Stressed trading-loss measure makes up 43% of banks’ modelled market risk charges
Clear warning on escape hatch for optimisation trades
CCPs fear Emir clearing mandate carve-out for portfolio rebalancing could be abused
Breaking out of the cells: banks’ long goodbye to spreadsheets
Dealers are cutting back on Excel amid tighter regulation and risk concerns
Credit risk
For a growing number of banks, synthetics are the real deal
More lenders want to use SRTs to offload credit risk, but old hands say they have a long road ahead
How Man Group’s private credit arm keeps risk in check
Mid-market lending no place for weak covenants, flexible addbacks or payments in kind, says Varagon CEO
Risk transfer and the shift from camaraderie to competition
The risk transfer market could be moving into a more competitive, more transactional and, some fear, riskier cycle
Harsh judgements: why Stateside lenders are upping the Q-factor
As CRE stalls, qualitative adjustments are forming a larger part of US banks’ credit risk allowances
Risk Quantum
Data insights, delivered daily
Risk Quantum tracks thousands of data points across hundreds of metrics from organisations that represent a cross-section of the financial system. Published daily, articles are short and broken into chunks – the facts, the context and a brief commentary – and use data visualisations to get each story across.
HSBC, StanChart SVAR charges hit multi-year highs
Stressed trading-loss measure makes up 43% of banks’ modelled market risk charges
Counterparty Radar
Matchmaking and benchmarking for OTC derivatives
Counterparty Radar is based on position data from around 20,000 US mutual funds and ETFs, rolled up to the manager level – it shows the OTC derivatives they have on their books, and who they traded them with, providing unique insights into an important market segment. More info
MassMutual adds to mammoth interest rate swaps book
Counterparty Radar: Firm was responsible for 28% of US life insurers’ notional aggregate in Q4 2023
Generative AI
How Ally found the key to GenAI at the bottom of a teacup
Risk-and-tech chemistry – plus Microsoft’s flexibility – has seen US lender leap from experiments to execution
Execs can game sentiment engines, but can they fool LLMs?
Quants are firing up large language models to cut through corporate blather
The bank quant who wants to stop GenAI hallucinating
Wells Fargo model risk chief thinks he has found a way to validate large language models
Digging deeper into deep hedging
Dynamic techniques and GenAI simulated data can push the limits of deep hedging even further, as derivatives guru John Hull and colleagues explain
Nervous UK pension schemes want liquidity fixes – it’ll cost them
Asset managers are crafting new ways for schemes to raise cash in a crisis
Stress testing
Did Fed’s stress capital buffer blunt CCAR?
Experts fear flagship test’s use as a capital top-up has undermined its role in risk management
The American way: a stress-test substitute for Basel’s IRRBB?
Bankers divided over new CCAR scenario designed to bridge supervisory gap exposed by SVB failure
Should the ECB stress-test counterparty default risks?
The US Fed already does, but it is notable that EU banks were less exposed to Archegos
Fed unveils hyper-Archegos test to reveal bank blow-up risks
CCAR for 2024 includes analysis of simultaneous defaults of five largest hedge fund clients
Top 10 op risks for 2024
The biggest op risks for the year ahead, as chosen by senior industry practitioners
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