News, analysis, research, events on all types of financial risks arising from trades, loans, regulation, cyber crime & their implication on the financial sector
Joined March 2011
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Comment: FRTB brought improvements to Basel II RWA regime, but also complexities with undesirable side effects
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Risk Benchmarking data shows North American banks use wider range of instruments than their peers elsewhere to manage IRRBB
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Comment: geopolitical risk demands full integration into macro stress-testing, capital planning & portfolio construction
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ALM Benchmarking research: capital steering remains treasury-led at most banks
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SGX is bolstering operational resilience by strengthening third-party risk controls to defend against possible outages, says risk chief Ivan Han
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Latest op risk loss commentary: FIS’s inaction despite “several massive red flags” costs it $210m over Worldpay acquisition claims; Liberty pays $103m in record age discrimination compensation – data from @ORX_association
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Risk’s latest ALM Benchmarking study: central bank reserves and Level 1 assets comprise 73% of a typical bank’s buffer
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“The inclusion of specific ESG reporting in the op risk taxonomy may be an issue for some jurisdictions” – Lars Overby, head of credit, market & op risk, European Banking Authority
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ALM Benchmarking: Nearly nine in 10 banks treat NII sensitivity as a primary metric for governing IRRBB
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Comment: Collateralised financing is not just an operational consideration, but a determinant of a firm’s capital efficiency and ROE
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“The person who is running enterprise risk also has AI. Is that the right person? Is that the right place? Not sure” – tech exec at a US bank
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Comment: Tokenisation could exponentially increase velocity of pledged collateral, but should be brought within regulatory purview
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Risk Benchmarking: median ALM team has 10 staff, although some number 350
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“This could be a bridge to something more forward-looking” – Per Nordkvist, former exec director, Finansinspektionen, on EBA’s op risk taxonomy
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ALM tech is still batch-centric and file-led, Risk Benchmarking research finds. hubs.li/Q03Y-NZS0
Only 17 of 28 banks in Risk’s ALM Benchmarking study held internal stress tests with a horizon of 30 days or more. hubs.li/Q03YY45C0
