Risk.net

3 days ago | risk.net | Luke Clancy

When Florida's $200 billion retirement fund started a partial retreat from investing in publicly held equities, tariffs "were not on our radar", according to the fund's chief investment officer, Lamar Taylor. On the secular shifts in the global economy, though, Taylor and his colleagues formed views several years ago that have turned out to be prescient in recent weeks.

6 days ago | risk.net | Joshua Walker

All of the 'big four' Australian banks reported all-time high leverage exposures in the fourth quarter of 2024, causing leverage ratios at three to drop to their lowest in at least six years. ANZ had the most exposure at A$1.43 trillion (US$896.4 billion) at the end of the calendar year, having risen the most over the quarter at 6.6% and 14.6% over the previous six months.

1 week ago | risk.net | Joshua Walker

Most top central counterparties (CCPs) entered 2025 with substantially increased default resources compared to the eve of the coronavirus pandemic, Risk Quantum analysis of the latest publicly available disclosures shows. Across 25 clearing services, total default funds were 35% larger at the end of 2024, providing a much-needed buffer ahead of recent market disruptions. On aggregate, default funds reached $78.2 billion as of December 31, 2024, compared to $57.8 billion five years earlier.

1 week ago | risk.net | Samuel Wilkes

The European Commission has changed its reasoning for a planned temporary multiplier designed to soften upcoming market risk capital rules. Banks fear that the move may make it less likely for the relief to be adopted permanently, which is their preferred outcome. The EC's new justification for the multiplier is to avoid placing European banks at a competitive disadvantage to peers in other jurisdictions.

1 week ago | risk.net | Mauro Cesa

The parameters of popular factor models for interest rates, such as the Heath-Jarrow-Morton model, are known to be mean-reverting. The study of the speed at which the mean reversion happens has been largely neglected, but that information would be helpful for structuring more efficient hedging strategies. More broadly, fresh research on interest rate modelling could be useful for banks and investors as they grapple with volatile rates during a period of macroeconomic uncertainty.