Risk.Net
@RiskDotNet
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The inside scoop on financial risk management, markets, investing and regulation, from https://t.co/jjCSfI9bDe. Subscribe to our newsletters: https://t.co/HwrgRyLikI
Joined September 2009
92% of regional banks deploy scenario analysis to gauge their exposure to op risks – op risk benchmarking survey.
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Division among US equity exchanges will likely cause delays to the much-heralded 24-hour trading paradigm
risk.net
Slew of technical issues and dearth of SEC staff compound exchanges’ reluctance for round-the-clock equity trading
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Blazing-fast image creation – using just your voice. Try Grok Imagine.
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In the first of this year's Talking Heads series of interviews, Barclays’ macro head Hossein Zaimi argues that reliance on hedge funds for debt absorption is misguided
risk.net
Talking Heads: Developed markets are racking up debt. Finding buyers could be difficult, says macro head Hossein Zaimi
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BNP Paribas, Deutsche Bank recorded two VAR backtesting exceptions each in April.
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Cutting Edge: A new calibration for the risk weights of securitisation instruments using the principle of capital neutrality.
risk.net
A closed-form formula to allocate capital to the tranches of a securitisation is presented
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Ice could have the edge over rivals in handling client defaults .
risk.net
Rule book ticks many of the right boxes on default management – a prerequisite for ‘done-away’ clearing
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“The Fed can do whatever it wants in its stress test without being Basel-non-compliant, since it’s bespoke to the US” – Sarah Flowers, Bank Policy Institute.
risk.net
A sacrifice will have to be made to ensure new market risk rules meet demands for capital neutrality
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Eurex plans to list the first futures contract linked to banks’ quantitative investment strategies as early as the end of next month
risk.net
Long-only European equity strategies will be first out of the gate, with more to come
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New research sees Meta’s Llama 3.1 model come top when predicting G10 currency sentiment based on news articles
risk.net
Meta’s Llama 3.1 comes out top predicting G10 currency sentiment based on news articles
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Do the markets actually care about Federal Reserve independence?
risk.net
The answer for some is more nuanced than you might think
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Free to Read: The latest job changes across the industry.
risk.net
Latest job changes across the industry
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Ice could have the edge over rivals in handling client defaults .
risk.net
Rule book ticks many of the right boxes on default management – a prerequisite for ‘done-away’ clearing
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EBA’s constraints & assumptions mean “the risk management application and insights gained from the exercise is very limited or none” – Fernando de la Mora, Alvarez & Marsal.
risk.net
Four banks actually increased their capital ratios, while US subsidiaries were hit worst
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“Insurers would be a realistic investor in [AAA CLOs] if these changes go through as proposed" - Andrew Bryan, Clifford Chance.
risk.net
But experts question whether European Commission proposal will draw insurers back to other securitised products
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Researchers at the Swiss National Bank have developed a trading strategy using fine-tuned large language models to analyse sentiment in the FX market
risk.net
Meta’s Llama 3.1 comes out top predicting G10 currency sentiment based on news articles
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“This is an interesting approach by the Japanese. The [FSA] regulation is very practical. Maybe we could import this” – market risk manager, European bank .
risk.net
Relief granted due to scarcity of vendors offering pricing data for market risk models
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“The Fed can do whatever it wants in its stress test without being Basel-non-compliant, since it’s bespoke to the US” – Sarah Flowers, Bank Policy Institute.
risk.net
A sacrifice will have to be made to ensure new market risk rules meet demands for capital neutrality
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While inverse and leveraged ETFs can be effective in the short term, daily resets may reduce their hedging efficiency over longer periods, leading to performance issues during high volatility
risk.net
US-based Direxion eyes Asia listings, while CSOP expands product range to single names
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Research indicates that LLMs like GPT-5 are poorly suited for forecasting time-series data in finance
risk.net
A bevy of experiments suggests LLMs are ill-suited for time-series forecasting
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Do the markets actually care about Federal Reserve independence?
risk.net
The answer for some is more nuanced than you might think
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