h2
Simm’s first off-cycle rejig hits non-cleared rates
h2
One strike and they’re out: traders threaten liquidity stoppage
h2
Regulators’ remorse: SVB and the case for IRRBB capital charges
h2
IRC capital charges surge at Deutsche and Intesa
h2
US life insurer index options market hits $1trn mark
h2
FRA-OIS demise leaves hole in bank treasury risk management
h2
Quant Finance Master’s Guide 2023
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EU banks fear Brexit battle over FRTB internal models
h3
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h3
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h3
Banks now face ‘greater downside’ to widening credit spreads
h3
Counterparty Radar: Lincoln Financial emerges as top player in Q4 with $43 billion portfolio increas
h3
Risk-weighted assets covering default and downgrade of traded bonds all but double at Italian lender
h3
Basel Committee chair among those who say Pillar 1 capital requirement could have helped control SVB
h3
PTFs vow to withdraw from Treasuries market in protest at SEC registration plans
h3
Recalibration lifts initial margin for some products by 37% after year-end volatility forces update
h4
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Counterparty Radar Matchmaking and benchmarking for OTC derivatives
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You are currently on corporate access.
h6
The quintic Ornstein-Uhlenbeck model for joint SPX and VIX calibration
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IRC capital charges surge at Deutsche and Intesa
h6
PRA’s pot shots threaten Simm’s global ubiquity
h6
Margin for non-cleared European energy trades to jump 80%
h6
After coronavirus rout, concerns raised about Simm
h6
FCA may offer its market data to surveillance tech start-ups
h6
Inflation could persist ‘for a very long time’
h6
After SVB downfall, EBA stress test seeks out unrealised losses
h6
Basel’s IRRBB shock scenario update hit by US crisis
h6
Risk modellers navigate fearful new world of depositor behaviour
h6
The tweet and the trust collapse: how banks can fall on a dime
h6
Why tougher liquidity rules may not reduce the risk of bank runs
h6
Europe’s new IRRBB test: the riddle with no answer
h6
FICC’s liquidity pool $3.8bn short of payment obligation
h6
Citi’s CVA charge up 7% in Q1
h6
Allianz Life halves index CDS book in Q4
h6
Citi becomes top single-name CDS dealer for US life insurers
h6
A three-point turn in derivative design
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Collateral markets in need of rewiring
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Op risk data: Frank fiasco costs JP Morgan $175m
h6
FICC’s liquidity pool $3.8bn short of payment obligation
h6
Big US banks boost cash holdings by nearly 8% in Q1
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A student of Dr Doom says QE is here to stay
h6
GFXC fosters global awareness of T+1 impact on FX
h6
T+1 to increase cash drag and funding costs, investors warn
h6
Fast LPs accuse rivals of maxing out last look response times
h6
Regulators’ remorse: SVB and the case for IRRBB capital charges
h6
Basel’s IRRBB shock scenario update hit by US crisis
h6
Dutch pensions have extra year to restructure hedges
h6
Banks find new uses for discarded FRTB models
h6
Banks look back in anger as FRTB revives 1990s risk test
h6
US falls behind in race to match Europe’s FRTB launch date
h6
Long-end euro swap pricing anomaly remains largely untapped
h6
Dutch pensions have extra year to restructure hedges
h6
Regional banks face soaring term SOFR spreads
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Risk Live North America Fall
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Evolution of the fixed income tradable ecosystem
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ERM reboot: how insurers are turning risk decisioning into strategic advantage
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D-day for the rates market: solving the outstanding issues in US Libor transition
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Climate risk: a more positive approach pays dividends
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