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SA-CCR switch clouded by confusion over netting sets
An effort by US regulators to incentivise the switch to SA-CCR may be having the opposite effect
Model misfires raise questions over training data
Quants wrestle with how far into the past their machine learning models should peer
US banks cede to SOFR lending as credit hopes fade
Critics of risk-free rate say dynamic spread will be too late for transition
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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.
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SOFR trading tails off after ‘big bang’ boost
Volumes peak, then slow down on CCPs’ shift to new RFR, but remain above 2020 averages
Big Figure
Almost G-Sibs
A clutch of Asian banks moved closer to a too-big-to-fail designation this year, while certain US and European firms saw their systemic footprints contract. Chinese lenders Bank of Communications, China Merchants and Industrial Bank all attracted systemic risk scores that put them close to the 130-point threshold for designating global systemically important banks (G-Sibs). Japan’s Nomura and the UK’s NatWest Group are also within striking distance of the cut-off.
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7 days in 60 seconds
Fallbacks, Libor and the cultural risks of lockdown
The week on Risk.net, November 14-20, 2020
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