Financial crisis
Value-at-risk and the global financial crisis
The authors investigate the forecasting ability of bank VaR estimates around the 2007-9 financial crisis using daily data from seven international banks, finding systemic overstating of VaR either side of the financial crisis and mixed performance during…
Law firm of the year: Allen & Overy
Risk Awards 2023: A&O helps guide CDS market through multi-billion-dollar Russia default
Chill winds blow for Capitolis’s equity swap platform
Fintech’s effort to revive off-balance-sheet funding runs into market and regulatory turbulence
Interest rate scenarios: skinny-dipping with the Fed
As US rates march upwards, Risk.net readers offer deeply diverging forecasts on the impact for markets through to 2024
How a credit run affects asset correlation
This paper analyzes how soaring demand in the lending market shortly before a financial crisis can affect one of the main parameters in the internal ratings-based approach: the asset correlation.
‘Trend’ triumphs in uncertainty, but not as it wanes – study
Quant investing approach thrives in extremes of market uncertainty; calm hinders it
Polish mortgage claims push RBI’s op risk up 43%
Following the latest increase, op risk makes up 11% of the bank’s total RWAs
Danske, Deutsche and PNC pin SVAR to Covid-19
Most global banks continue to use the global financial crisis to stress-test their portfolios
The evolution of liquidity risk management
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Adapting to the new normal
The current interest rate environment and need to adapt to changing technology and regulatory mandates is keeping insurers on their toes, Nakul Nayyar, head of investment risk at Guardian Life, tells Risk.net
Lifetime achievement award: Mark Carney
Risk Awards 2022: The calm at the eye of the storm of post-crisis regulation and climate risk management
Preventing the unpleasant: fraudulent financial statement detection using financial ratios
In this paper, the authors investigate financial fraud in companies listed on the Athens Stock Exchange during the period 2008–18 and propose a model to detect fraudulent financial statements.
Vanna and the Big Put: unusual suspects in a market mystery
US equity reversal on January 24 has spawned many theories, but no solid answers
Covid isn’t killing corporate entertaining – it’s dead, anyway
For a generation of bankers and vendors, client hospitality was part of life. But the party is winding down
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
This paper applies the dynamic mixture copula model method and proposes a mobility measure of the marginal expected shortfall to depict the changing systemic risk in China’s mainland stock market and Hong Kong’s stock market.
Level 3 assets at global systemic banks down 36% since 2014
Hard-to-value holdings down sharply over the past six years, but pandemic threw spanner in the works at some banks
Credit default swap market retrospective: observations from the 2008–9 financial crisis and the onset of the Covid-19 pandemic
In this paper credit market fluctuations, measured by the levels of the main and most heavily traded index instruments, are analyzed and compared with the analogous index realizations during the 2008–9 financial crisis.
OTC derivatives clearing: no turning back
Clearing advocates have plenty of reasons to feel optimistic about the future
Insider dealing: amping up surveillance measures
Joe Schifano, global head of regulatory affairs at Eventus, examines how volatility resulting from the Covid‑19 pandemic has made markets more susceptible to insider dealing activity, prompting regulators to urge firms to reinforce surveillance measures…
The unintended consequences of ring-fencing
Rules aimed at protecting UK depositors may be putting too much froth into the credit market
Building forward-looking scenarios: why you’re doing it wrong
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
‘It’s the economy’: forecasting an op risk climate change spike
History of op risk suggests economic impacts of climate change could exacerbate losses, writes op risk head
Morgan Stanley’s stress test estimate strays from Fed’s
Half of US systemic lenders lowball capital hits in DFAST 2021