Covid
Baruch maintains top spot in 2025 Quant Master’s Guide
Sorbonne reclaims top spot among European schools, even as US salaries decouple
Risk management overhauls juggle speed and independence
Some banks say the 1.5 line of defence responds faster to risk, but supervisors are still divided
Between the lines: why banks are rethinking risk management
Lloyds is not the only bank wanting to reshuffle the three lines of defence as tech risks grow
Cyber insurance costs still rising, say big banks
Op Risk Benchmarking: Cost of covering same exposure as last year now “somewhat” or “significantly” higher
Does investors’ sentiment influence stock market volatility? Evidence from India during pre- and post-Covid-19 periods
The authors use data from during the Covid-19 pandemic to investigate the impact of investor sentiment on equity market volatility, finding negative news to have a stronger impact that positive news of the same magnitude.
Covid-induced Eurobonds mark step towards EU financial cohesion
Successful issuance points to greater pan-European sharing of risk
Regulators urged to promote cyber security investment
Public interest in stopping cyber attacks that could trigger bank runs, says Bundesbank researcher
Japanese banks far apart on credit model efficiency under Basel III
MUFG lowered credit and CCR charges the most among country’s top dealers
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
A study of China’s financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution
The authors construct a risk measurement model for the financial market during the Covid-19 pandemic, using data from the Shanghai Stock Exchange for empirical analysis.
Buy side would welcome more guidance on managing margin calls
FSB report calls for regulators to review existing standards for non-bank liquidity management
Op risk data: Tech glitch gives customers unlimited funds
Also: Payback for slow Paycheck Protection payouts; SEC hits out at AI washing. Data by ORX News
European regulators turn up the heat on IFRS 9 model overlays
After warnings from EBA and BoE, risk managers urge ‘soul-searching’ on post-model adjustments
Tall order: why a unified op risk taxonomy is still elusive
Banks vary in how they classify operational risk losses – and regulators are in no rush to change the status quo
Soured CRE loans pile up at BofA, Wells Fargo and PNC
Proportion of non-performing loans surges past the pandemic’s worst stretches
Bloating CCP default funds. New margin models. Are the two linked?
Dealers grumble that greater guaranty fund payments could undermine the ‘defaulter pays’ principle of clearing
Op risk data: US piqued by Pictet tax breach
Also: US Bank’s Covid failings; South Korea’s short-selling clampdown. Data by ORX News
Can CRE credit risk models cope with hybrid working?
As US office use changes, modellers deploy judgement overlays and alternative data to keep up
EBA seeks to tighten up uneven prudent value adjustments
Regulator to consult ‘soon’ on changes to improve consistency of capital deductions
CME’s Span 2 margin model generates systems headaches
Market participants welcome smarter margin requirements, but not the computational workload
As banks limit FRTB model use, outputs get more volatile
Risk managers say selection of stress window becomes more sensitive if fewer desks are on IMA