Risk aggregation remains challenging in Asia
Growing complexity reinforces importance of risk aggregation – but obstacles in Asia remain
Credit risk weighs more on planet S-II
A rise in government bond yields in May failed to lift insurance stocks. The parallel increase in credit spreads offers a possible reason why.
Project Colin: why Goldman-led margin hub fell apart
The world’s big dealers quietly started work on a new swaps market utility last year, dubbed Project Colin. The aim was to control the vast collateral flows arising from incoming bilateral margining rules, but the consortium has since fallen apart, and a coalition of middleware and back-office firms have stepped into the breach
Notes on alpha stream optimization
Banks are de-risking due to lack of regulatory direction
Banks are struggling to balance growing compliance costs with the need for a risk-based approach to individual client accounts. Regulatory guidance isn’t helping, a London conference hears
Scaling operational loss data and its systemic risk implications
Failing to adopt a scaling methodology when including external data in operational risk calculations could lead to a distortion of capital charges and possibly systemic risk in a banking system relying on consortium data. Here, Roberto Torresetti and Claudio Nordio propose a scaling methodology to help overcome these shortcomings and compare the outcome with respect to alternative methodologies on a real operational data sample
Recent Comments