The Digitalization Of Sell-Side Risk Management

The new decade brings with it several earth-moving challenges, not least the global pandemic. Among them, the shifting of the London Interbank Offered Rate, or Libor, to alternative market-based benchmarks will prove to be one of the largest fundamental changes in our lifetime. For banks, it’s time to get serious about the upcoming FRTB rules.

A push toward more common ground between solutions using sensitivities calculations linked to FRTB—such as the Standard Initial Margin Model (SIMM) and initial margin—is forthcoming. Meanwhile, the expansion of various valuation adjustments (XVAs) beyond accounting use will continue to grow, fostered by Basel III regulatory capital requirements as well as the final phases of the uncleared margin rules.

The latest surge in volatility resulting from the novel coronavirus has added yet another test for risk managers.

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