Tweets on the ebb and flow of financial regulation and risk management from Philip Alexander @Riskdotnet. Views all my own, retweets ≠ endorsements.
Joined June 2014
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There's a recent article on Bloomberg analysing US regional bank exposure to CRE based on a metric that regulators deployed in 2006. For a more up-to-date take, here's @RiskQuantum comparing exposures to tangible equity: risk.net/risk-quantum/795901…
We start 2024 with a deep dive on operational risk management at financial market infrastructures: risk.net/op-risk-benchmarkin…
So many questions. How do fishes do acupuncture? In fact, how do they respond to Fed consultations about Basel III? federalreserve.gov/SECRS/202…
How do you validate a bank model for climate risk? With difficulty... risk.net/risk-management/795…
Philip Alexander retweeted
Did FDIC do the right thing during SVB crisis? hubs.li/Q02c7L190
We got a lot of pushback from the bank in question when we published this article in 2018 (and not because they don't like Jose Mourinho): risk.net/regulation/5664861/…
Five years later, guess which is still the *only bank* to benefit from this EU regulatory relief? risk.net/risk-quantum/795845…
LME's exchange tore up nickel trades in March 2022 to protect its clearing house. One is regulated by the FCA, the other by the BoE. Outstanding investigation from @Luke_Clancy on the possible gaps in UK regulatory model. risk.net/regulation/7958120/…
Unpopular view: UK getting rid of the bankers' bonus cap won't mean a pay rise. It will mean more of bankers' pay is at risk of clawback in the event of misconduct or mismanagement (see: Credit Suisse bonus bail-in).
Another unpopular view (but with different people): if you think bankers are paid too much, you need a high pay policy eg setting maximum as a multiple of national average, which includes both basic and bonus. Bonus cap just transferred salary from bonus to basic.
US bank lobbyists now kind of blatant about trying to delay Basel III until after the presidential election next year, presumably hoping a Republic candidate will win and their appointees will then gut the whole thing.
2 stories today with same theme: bankers on both sides of Atlantic wondering if stress tests are getting stale, and suggesting multiple scenarios as a way to make them more relevant for risk management: risk.net/topics/stress-scena…
Bundesbank VP Claudia Buch has floated a couple of post-SVB ideas for bank regulation here that we've written on earlier this year: bundesbank.de/en/press/speec…
First up, recalibrating the Liquidity Coverage Ratio to take account of the higher levels of run risk demonstrated by SVB and CS. (Not sure about the reference to HQLAs - should banks hold 40% of assets in central bank reserves?!). risk.net/regulation/7956525/…
And secondly, imposing a pillar 1 capital charge for interest rate risk on the banking book. Australia has already done this... but perhaps the lesson of 2023 is that the EU's existing P2 IRRBB regulatory framework is already performing well? risk.net/regulation/7956784/…
Using government money market funds as swaps margin: smart move to solve collateral shortages, or route to creating new risks? risk.net/regulation/7957583/…
Dunno, this feels like a classic tactical trade-off from Khan: give away the zero emissions zone he wasn't really sure about anyway, keep the ULEZ expansion he definitely wanted.
Intriguing investigation from @Luke_Clancy. Accounting strategy that worked well for clearing banks in the low rate environment has now backfired... risk.net/risk-management/795…
New US capital requirements for market risk will enter into force around six months after those in the EU. Some worry about the impact on competition... but project managers would rather have an earlier deadline that keeps their budgets intact. risk.net/regulation/7957542/…
