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IFRS 9 and the loan loss lottery
As reserves for bad loans balloon, banks grapple with measuring Covid-era credit risk
Buy side hopes for best execution reporting carve-out
After EC exempts venues from best execution reporting, Aima hopes RTS 28 reports will be next
Spotting co-movement breakdowns with neural networks
Autoencoders can detect changes in relationship between assets in real time
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Risk Quantum
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Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
Editors' choice
UK’s tough legacy fix spells trouble for US Libor transition
FCA will have little control over how synthetic Libor rates are used in other jurisdictions
Big Figure
One giant leap for derivatives
The positive market value of derivatives positions held by international banks leapt 43% over the first three months of the year to $4.4 trillion, the highest level since Q2 2016. It’s the largest single-quarter leap in derivatives asset values going back at least five years. Derivatives liabilities – those with negative market values – also increased, by 36% quarter-on-quarter to $5.2 trillion.
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7 days in 60 seconds
Mifid swaps, VAR and buy-side Covid lessons
The week on Risk.net, July 25-31, 2020
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Op risk data: losses plummet during lockdown
Swaps data: initial margin soars in Q1 2020
Why a European bad bank may not be the right answer
Beware of cliff edge in Libor fallbacks
Our Take
Why Asia needs to talk about SOFR
FX swaps clearing redux
Clearing banks show they’ve learned lessons of the past
Mind the tax when hedging TRS