• New online early for #JCF: "Ensemble models in forecasting financial markets" #RiskJournals Link https://t.co/iZ8z7f1W3h
    RiskNet Risk Mgmt Mon 18 Mar 2019 17:02
    The motivation of this research paper is the optimization of neural networks with three different evolutionary algorithms such as genetic algorithms, differential evolution algorithms and particle swarm optimizers. We use this ensemble methodology in terms of forecasting two exchange traded funds for a period of 12 years.   The forecasted accuracy has been evaluated by using statistical and empirical measures. The results clearly prove that differential optimizer improves the forecasting performance comparing to the other ensemble models.
  • RT @RiskDotNet: The Big Figure: Value-at-risk capital charges at US G-Sibs ended 2018 far higher compared with both end-September and the q…
    RiskNet Risk Mgmt Sun 17 Mar 2019 10:31
  • Free weekly wrap: Lostway reports. #oprisk Link https://t.co/ERpjk5lYyS
    RiskNet Risk Mgmt Sat 16 Mar 2019 11:10

    Mizuho reveals $270 million CVA loss

    Further losses may be reported as bank refines its methodology, sources say

    Top 10 operational risks for 2019

    The biggest op risks for 2019, as chosen by industry practitioners

    Giancarlo admits he may not finish Sef rules

    CFTC chairman says his successor may have to finish regulation

     

    COMMENTARY: Lostway reports

    The days are long gone when ‘IT risk’ was a sideline category that barely even featured on the priority lists for operational risk managers. This week, Risk.net published its annual top 10 operational risks survey, and IT-related threats took four of the 10 slots – including the top three. Data compromise, IT disruption and IT failure were first, second and third respectively, with data management featuring in eighth place. And of the others, many had a strong IT flavour. The risks around organisational change often relate to shifts to a new technology platform. The...

  • Read now: the Top 10 op risks for 2019, as choosen by industry practitioners Link
    RiskNet Risk Mgmt Fri 15 Mar 2019 16:20

    We present Risk.net’s annual ranking of the biggest op risks for the year ahead, based on a survey of operational risk practitioners across the globe and in-depth interviews with a selection of industry personnel. The risks are listed in order of magnitude of threat, with this year’s largest risk being data compromise.

  • Number 1 in our Top 10 op risks survey is: Data compromise Link
    RiskNet Risk Mgmt Fri 15 Mar 2019 15:35

    The threat of data loss through cyber attack, combined with an awareness among managers that defences are vulnerable, has made data compromise a perennial concern for op risk managers. But the advent of strict new regulation has intensified those fears, helping propel the category to the top of our annual survey for the first time.

    Risk managers are discovering that big data – or the aggregation and cross-referencing of multiple sources of information – can play an important part in fraud

  • Number 2 in our Top 10 op risks survey is: IT disruption Link
    RiskNet Risk Mgmt Fri 15 Mar 2019 14:49

    Cyber attacks conjure images of masked figures gaining access to the IT network of a company or government and making away with millions, yet the reality is often more prosaic. Malware designed merely for nuisance value can cripple firms’ operations, while the origin of attack is often not rogue criminal but state entity: the WannaCry and NotPetya ransomware events of 2017 were widely attributed to state-sponsored sources.

    “Hackers are more organised and some countries have malicious, not

  • Number 3 in our Top 10 op risks survey is: IT failure Link
    RiskNet Risk Mgmt Fri 15 Mar 2019 14:04

    Though usually overshadowed by its attention-grabbing cousin – the threat of a cyber attack – the risk of an internal IT failure is never far off risk managers’ minds. When such failures happen, their financial, reputational and regulatory consequences can easily rival the damage from high-profile data theft.

    It is probably no coincidence that the danger of a self-imposed IT debacle is the third-largest operational risk in the Risk.net 2019 survey: it follows a year in which a botched system

  • Number 4 in our Top 10 op risks survey is: Organisational change Link
    RiskNet Risk Mgmt Fri 15 Mar 2019 13:19

    Organisational change – sometimes called ‘strategic execution risk’ – refers to the variety of potential hitches that can occur in the midst of any transition: switching to a new system from an old one, new strategic objectives, adjustments to new management edifices, errors or just bad decisions. And so on.

    The catalyst can come from any number of directions – mergers or acquisitions, divisional reorganisations, a strategic change in business mix. Unfortunately for financial firms, none of

  • Number 5 in our Top 10 op risks survey is: Theft and fraud Link
    RiskNet Risk Mgmt Fri 15 Mar 2019 12:34

    Despite slipping a place on Risk.net’s 2019 list, theft and fraud is still many operational risk manager’s worst nightmare. The idea of a massive heist by enterprising hackers, mercenary employees or plain old bank robbers, possibly followed by fines and penalties, keeps the category near the top of the op risk survey year after year.

    Inside jobs made up the top three of 2018’s biggest publicly reported op risk losses: Beijing-based Anbang Insurance lost a shattering $12 billion to embezzlement

  • All Q2 Risk Training events have been announced! View the courses we are offering here Link https://t.co/ElnrEbpjhd
    RiskNet Risk Mgmt Fri 15 Mar 2019 12:34

    This two day training course will provide delegates with a detailed regulatory update of STS securitisations, how to manage and implement and due diligence from a legal perspective. The course will also focus on securitisations in general, CRT and synthetics.

  • Number 6 in our Top 10 op risks survey is: Third-party risk Link
    RiskNet Risk Mgmt Fri 15 Mar 2019 11:49

    If you could pay someone to worry about something for you, would you? Outsourcing key infrastructure or services to third parties is a tantalising prospect for many of the world’s largest firms. The incentive is to harness the expertise of specialist providers, or to save costs. Or, ideally, a combination of the two.

    The trade-off for many risk managers is a lingering concern about losing oversight of vital business functions. The prevalence of breaches via third parties and growing regulator

  • Number 7 in our Top 10 op risks survey is: Regulatory risk Link
    RiskNet Risk Mgmt Fri 15 Mar 2019 11:04

    For the specialists who nail down regulatory requirements at banks, the first thing they need to know is what they’re supposed to do. This year, that will be a little more complicated.

    Take the sizzling topic of money laundering. Amid a spate of incidents, the European Union in February produced its latest blacklist of 23 places at high risk of money laundering and terror financing, naming Saudi Arabia and US territories like Puerto Rico. About two weeks later, the EU’s member states – voting

  • Number 8 in our Top 10 op risks survey is: Data management Link
    RiskNet Risk Mgmt Fri 15 Mar 2019 10:19

    A conversation with any op risk manager will land, sooner or later, on the issue of data management. It could be concerns about data quality, particularly of historical data stored on legacy systems – which carries with it problems such as format and reliability. Or it could be the risk of missteps when handling customer data – inappropriate checks on storage, use or permissioning – that now come with the added threat of eye-watering fines from regulators.

    Taken together, it’s no surprise that

  • Number 9 in our Top 10 op risks survey is: Brexit Link
    RiskNet Risk Mgmt Fri 15 Mar 2019 09:34

    Brexit covers such a wide range of possible risk events that some participants in this year’s survey disputed whether it should be included as a standalone chapter at all; but a significant number argued strongly that it should, with its collective drivers likely engendering a common set of specific risks for banks and financial firms for years to come.

    At the time of writing, the UK is a fortnight away from leaving the European Union, although speculation about a delay ranging from two months

  • Counting down the Top 10 op risks survey through the day: in at #10 is Mis-selling! Link
    RiskNet Risk Mgmt Fri 15 Mar 2019 08:49

    Mis-selling drops a few places on this year’s top 10 op risks – a reflection (or perhaps a shared hope among risk managers) that the era of mega-fines for crisis-era misdeeds among US and European banks might finally be over. They would do well to check their optimism, however: as the recent public inquiry into Australia’s financial sector that has excoriated the reputation of the nation’s banks shows, another mis-selling scandal is never far away.

    Firms have shelled out a scarcely credible

  • Norway: what kinds of payments settle in an RTGS? New online early for #JFMI. #RiskJournals Link https://t.co/PWKWZxzmBU
    RiskNet Risk Mgmt Thu 14 Mar 2019 14:18
    Information about the origins of payments settling in RTGS systems is limited. Such information has several areas of use. 92 percent of the turnover in Norges Bank’s settlement system is now categorized. Most payments were FX trades, interbank lending or involved customers.
  • .@ASX to give gratis #blockchain service to settle trades to early adopters for three years Link
    RiskNet Risk Mgmt Wed 13 Mar 2019 18:03

    The Australian Securities Exchange (ASX) will spearhead the use of blockchain to settle trades by offering the service free as an initial inducement to banks, instead of using industry-standard connections via Swift and AMQP.

    The exchange, which has been working to replace its creaky Clearing House Electronic Subregister System (Chess), would offer the teaser rate on blockchain beginning in the first half of 2021 for three years, Risk.net has learned.  

    The project is viewed as a litmus test

  • RT @RiskQuantum: Securitisations push #Barclays' market risk capital higher Link #marketrisk https://t.co/1gNgVwZtTs
    RiskNet Risk Mgmt Wed 13 Mar 2019 15:12

    Barclays’ market risk capital requirement climbed 9% to £2.5 billion ($3.3 billion) in the year to 2018 due to a build-up of hard-to-model securitisation exposures and an elevated stressed value-at-risk charge.

    The UK dealer's market risk charge ended 2018 at its highest level since 2014. In contrast, other large UK banks – HSBC, Lloyds, Standard Chartered and RBS – saw their charges fall.

    The hike in Barclays' market risk was driven by a higher stressed VAR charge, which ended 2018 at £710

  • RT @RiskQuantum: US banks slashed G-Sib scores in Q4 2018 Link #systemicrisk https://t.co/YBDiYIdhAx
    RiskNet Risk Mgmt Wed 13 Mar 2019 15:07

    All but one of the eight US global systemically important banks (G-Sibs) lowered their systemic risk score in the last three months of 2018, after drastically reducing derivatives and trading assets. All eight will retain the same G-Sib capital buffer in 2020 as they have today. 

    The G-Sibs cut their systemic risk scores, as determined by the US Federal Reserve's Method 2 calculation metric, by an average of 17 basis points in the fourth quarter, continuing a seasonal trend whereby big banks

  • #RiskJournals publishes original and innovative papers for the rapidly evolving discipline of financial risk manage… Link
    RiskNet Risk Mgmt Wed 13 Mar 2019 12:02

    You can add location information to your Tweets, such as your city or precise location, from the web and via third-party applications. You always have the option to delete your Tweet location history. Learn more

  • New online early for #JOIS. Beta hedging: performance measures, momentum weighting and rebalancing effects… Link
    RiskNet Risk Mgmt Tue 12 Mar 2019 14:31

    You can add location information to your Tweets, such as your city or precise location, from the web and via third-party applications. You always have the option to delete your Tweet location history. Learn more

  • .@RiskDotNet’s Top 10 #OpRisk survey for 2019: #DataBreaches head up list of industry’s biggest concerns Link
    RiskNet Risk Mgmt Tue 12 Mar 2019 12:06

    The full results of Risk.net’s 2019 Top 10 Op Risks survey will be published online later this week

    Data compromise has topped Risk.net’s annual Top 10 Op Risks survey for 2019, swapping places with last year’s top risk, IT disruption. The former is now seen, albeit narrowly, as a bigger hazard by financial institutions wary of the combined threat of data loss, reputational damage and mega-fines from regulators under draconian new data protection laws.

    While this year’s survey will have a familiar look to readers, it also features one re-entry (from 2017) and two new entries: IT failure, data management and Brexit – at numbers 3, 8 and 9 respectively. Every other risk among last year’s top 10 has also shifted place, with none holding steady.

    The survey – compiled from interviews and written submissions from senior op risk executives at banks, buy-side firms and financial market infrastructures – provides a gauge...

  • Are you interested in becoming a peer reviewer for #RiskJournals? Here's some top tips Link https://t.co/6ApQQ72HoM
    RiskNet Risk Mgmt Mon 11 Mar 2019 17:00
  • RT @RiskQuantum: Off-balance sheet #exposures dip at US G-Sibs in Q4 2018 Link #leverage https://t.co/ykNbkc8lJI
    RiskNet Risk Mgmt Mon 11 Mar 2019 12:40

    After nine months of building up off-balance sheet exposures, US global systemically important banks cut these in aggregate in the fourth quarter of last year. But the 2018 total was still 3% higher than a year prior. 

    Total gross notional off-balance sheet exposures at the eight G-Sibs stood at $4.2 trillion at end-December, down $41.5 billion (1%) from end-September but up $130 billion (3%) on end-2017. 

    Five banks cut these exposures quarter-on-quarter, with Goldman Sachs shedding the most

  • Stat of the week Link #recession #riskmanagement https://t.co/wPmmKvCK2y
    RiskNet Risk Mgmt Sat 09 Mar 2019 16:03

    UK lenders face a tougher stress test in 2019, with the most extreme assumed contraction in world GDP to date, as the Bank of England's economic forecasts darken.

    Citing increased "underlying vulnerabilities" in the global economy, the BoE assumes a peak-to-trough reduction in world GDP for its stress scenario of 2.6%, up from 2.4% in the 2018 scenario and the highest since the tests started in 2014. 

    US GDP is assumed to fall peak-to-trough by 3.7%, China GDP 1.2% and Euro area GDP 4%

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