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US banks seek to open vendors’ black box on green data
Inaugural Fed climate scenario analysis flags lack of transparency around third-party models
Why FRTB models are on the edge of extinction
With only four banks known to be applying to use internal models for market risk, the fate of advanced modelling looks precarious
US Treasury official calls for SLR relief during market stress
Under Secretary Liang also urges scrutiny of “artificial incentives” for Treasury futures in 40-Act rules
Risk data
Banks look to offload ‘orphan’ hedge risk
Bespoke CDSs shift private credit borrowers’ derivatives default exposures back to the buy side
Morgan Stanley shoots into FX options dealer top spot
Counterparty Radar: US mutual funds added $11.1 billion in new positions in Q1
Risk Live Europe 2024
All the stories from last week’s event
BASEL III ENDGAME
FCM-style client clearing comes to Europe
Eurex and LCH among CCPs ready to adopt new agency model aimed at easing bank capital
FRTB data-quality issues persist amid shifting start dates
Even the standardised approach poses tricky market and reference data challenges
Model teams fear budget cuts as FRTB wipeout looms
Senior modellers think supervisory intervention is needed to prevent funding drought
Shocks to the system: how Basel IRRBB update affects new EU test
Disclosures suggest more banks will be classified as outliers on net interest income assessment
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.
ABN Amro, Intesa lead EU IMA users with RWA surges
Rates volatility tests models in their twilight years before FRTB forces shelving
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
Morgan Stanley shoots into FX options dealer top spot
Counterparty Radar: US mutual funds added $11.1 billion in new positions in Q1
CREDIT RISK
Capital rules explain leverage craving in US bank risk transfers
Tougher requirements have led to conservative structuring and lower coupons
New CDS index delayed by regulatory capital concerns
Dealer worries about impact of self-referencing trades derail CDX Financials launch at last minute
US large bank CRE risks could be understated, say researchers
Community banks have the most direct exposure, but systemic banks extend more credit to REITs
Fed green lights more capital relief trades
Five US banks authorised to issue repeat credit-linked notes backed by financial guarantees
Dealer rankings 2024
Risk.net’s Dealer Rankings describe the sell-side hierarchy in 10 OTC derivatives markets using data from quarterly US mutual fund, ETF and life insurer disclosures – see which banks are active in each instrument, the size of their books and whether they are growing.
Equity derivatives
OCC readies new intraday margin requirement
Draft measure would cover all options positions including 0DTEs
The coming AI revolution in QIS
The first machine learning-based equity indexes launched in 2019. They are finally gaining traction with investors
Equity vol convexity selling gains momentum
Risky hedging strategy is attracting interest but can investors learn from past convexity blow-ups?
Form an orderly QIS: hedge funds spur quant products to new heights
Rise of multi-strategy vehicles triggers demand for indexes once seen as competitors
Op risk benchmarking
Our new research service compares op risk practices at financial institutions – from staffing to AI safeguards, key controls to board reporting packs.
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Most Read
- Why FRTB models are on the edge of extinction
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