Issue: Jul 2011
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COVER STORY
Think locally, act locally: Anger over US plans for foreign banks
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Source: Risk magazine
The Federal Reserve is planning a radical departure from traditional supervision by requiring the local offshoots of foreign banks to meet US capital and liquidity rules. Overseas banks are furious...
EDITOR'S LETTER
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Source: Risk magazine
The closer you look at the new rules governing over-the-counter derivatives, the more blurry and uncertain they appear. Put them alongside new Basel III...
EDITOR'S CHOICE
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Source: Risk magazine
Firms used to be able to throw anything they liked into the hypothetical derivative that is used to test cashflow hedge accounting, but standard-setters...
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Latest issue - Features
Libor fix?
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Source: Risk magazine
At least 12 lawsuits alleging manipulation of Libor have been filed since April, and six different authorities – including the US Department of Justice...
Industry welcomes CFTC move to delay Dodd-Frank implementation
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Source: Risk magazine
The Commodity Futures Trading Commission has extended the implementation date for many Dodd-Frank Act Title VII requirements until December 31. But...
Banks call for equity to be counted in LCR
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Source: Risk magazine
Some banks want equity holdings to count towards the new liquidity coverage ratio. Regulators argue price volatility makes them unsuitable assets for...
Concern over accuracy of RWAs grows
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Source: Risk magazine
Risk-weighted assets (RWAs) play a crucial role in minimum bank capital requirements under the Basel framework. However, regulators are increasingly...
CVA charge will hit sovereign exposures
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Source: Risk magazine
The Basel III credit value adjustment charge could mean banks have to apply a capital charge on some sovereign-related clients for the first time. A...
Basel Committee takes tiered capital approach to Sifis
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Source: Risk magazine
A long-awaited set of proposals on systemically important financial institutions is expected to be published by the Financial Stability Board within...
Assessing the arguments against shorting
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Source: Risk magazine
Some politicians and regulators in Europe have suggested restrictions on the short selling of government bonds and credit default swaps referenced to...
Push for machine-readable contracts poses problems
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Source: Risk magazine
Regulators want more automation in the over-the-counter derivatives market, but that means much of the documentation will need to be machine-readable...
Latest issue - More articles
Deconstructing Emir
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Source: Risk magazine
The European Parliament is putting the finishing touches to its version of the European market infrastructure regulation, but a loophole in the rules...
Bair bids bye-bye to FDIC
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Source: Risk magazine
With her time as chairman of the US Federal Deposit Insurance Corporation coming to an end, Sheila Bair stakes out a strong position on extra capital...
Goldman Sachs tops list of firms that met CFTC
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Source: Risk magazine
The Commodity Futures Trading Commission has conducted hundreds of meetings with industry participants as part of its Dodd-Frank rule-making – but which...
Cutting edge introduction
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Source: Risk magazine
Most models are specified in continuous time form, but this can cause discrepancies and convergence headaches when implementing multiple numerical methods...
TD Bank looks to build market share
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Source: Risk magazine
Brian Smith, chief risk officer of TD Bank, talks to Mark Pengelly
Mission impossible for ratings
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Source: Risk magazine
The US Securities and Exchange Commission is soliciting views on how to reform the credit rating process to minimise conflicts of interest and assure...
Random grids
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Source: Risk magazine
In the context of a stochastic local volatility model, Jesper Andreasen and Brian Huge present a numerical solution scheme that achieves full consistency...
More guidance needed from regulators on clearing
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Source: Risk magazine
Regulators are pushing for standardised derivatives to be cleared through central counterparties, but further rules are needed to ensure an appropriate...
Repricing the cross smile: an analytic joint density
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Source: Risk magazine
Derivatives contracts on multiple foreign exchange rates must be priced to avoid arbitrage by contracts on the cross-rates. Given the triangle of smiles...
Marking systemic portfolio risk with the Merton model
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Source: Risk magazine
The downside risk of a portfolio of assets is generally substantially higher than the downside risk of its components. In times of crisis, when assets...
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