Issue: Sep 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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A 'trust fall' is a group game designed to promote bonding between the participants: one stands, eyes closed, before falling back into the waiting arms...
EDITOR'S CHOICE
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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
OTC flash crash: Dealers consider risks of HFT invasion
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Regulators want over-the-counter markets to be traded more like equities and futures, which could mean opening the door to high-frequency trading, more...
All together now: the tech challenges of Sef aggregation
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Source: Risk magazine
Aggregation services are being touted as one way to reunite a fragmented trading landscape – but they will need to navigate different trading and communication...
CPM functions go back to basics
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Source: Risk magazine
The crisis has made it more difficult for credit portfolio management desks to manage loan portfolios by transferring risk. Instead, there’s a growing...
Reforms could force OTC markets to embrace trading algorithms
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Source: Risk magazine
Compared with other markets, algorithmic execution is rare in the over-the-counter world – at least for clients. That could change rapidly if regulation...
Deutsche-Ille ruling changes sales practices for German dealers
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Source: Risk magazine
Six months after a German federal court ruled against Deutsche Bank in a derivatives mis-selling case, dealers in the country are still wrestling with...
Obstacles facing dealers' dream of a global OTC data repository
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Source: Risk magazine
Big banks believe the Depository Trust & Clearing Corporation can be a unified global repository for derivatives trade data. But regulators aren’t convinced...
CVA's cousin: Dealers try to value early termination clauses
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Source: Risk magazine
Much of the talk about counterparty risk has concentrated on tweaks due to default expectations – credit and debit value adjustments – but there are...
Standard CSA: Industry's solution to novation bottleneck gets nearer
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Source: Risk magazine
Disputes over the valuation of trades backed by multi-currency credit support annex (CSA) agreements – in other words, those that allow counterparties...
Basel III liquidity rules shaking up the corporate deposit market
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Source: Risk magazine
Corporates have huge cash reserves, and banks are on the hunt for stable sources of funding. That combination has been a shot in the arm for the sleepy...
Latest issue - More articles
Cost of control: balancing risk and expense
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Source: Risk magazine
Banks typically build up layers of controls over time, creating extra cost and complexity, without going back to ask whether the controls remain relevant...
Sponsored statement: RBS
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Source: Risk magazine
European insurers – one of the largest groups of investors in the global financial markets – will operate under a single regulatory framework for the...
Sponsored educational feature: UBS
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Source: Risk magazine
Risk management for the buy side has many similarities with that for the sell side, but there are also many significant differences. A buy-side risk...
Buy-side technology
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Source: Risk magazine
Post-crisis reform of the over-the-counter derivatives market can be boiled down to a single bet: regulators have decided to swap product complexity for...
Risk interdealer rankings 2011: Dealers
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Source: Risk magazine
Dealers enjoyed a bright start to the year but endured a slow second quarter and a savage start to the third as political wrangling over European and...
Risk interdealer rankings 2011: Brokers
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Source: Risk magazine
Interdealer brokers have always stood at the crossroads of the over-the-counter market, but the way they direct traffic is changing rapidly. By Alex...
Bayesian lessons for payout structuring
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Source: Risk magazine
Derivatives businesses are under enormous pressure to deliver a clear rationale and unprecedented transparency for their products. Specialised quantitative...
A new breed of copulas for risk and portfolio management
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Source: Risk magazine
Attilio Meucci introduces the copula-marginal algorithm, a commercially viable technique to dramatically expand the types and uses of copulas in financial...
Cutting edge introduction
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Copula functions that provide a way of splicing the probability distributions of multiple assets together have taken a lot of flak since the crisis...
Profile: JP Morgan's Pinto on margin rules, Volcker and the costs of regulation
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Source: Risk magazine
Post-crisis reforms will reduce leverage and squeeze returns, but JP Morgan’s Daniel Pinto is worried about two strands of regulation in particular...
Q&A: Myron Scholes on LTCM, crisis lessons and the value of intermediation
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Source: Risk magazine
Quants received a lot of flak for the crisis, but the profession is on the cusp of a golden age, according to Myron Scholes, co-inventor of the Black...
NYSE Liffe: one pot to rule them all
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Source: Risk magazine
For OTC clearing to work, the market will need to find and capture reliable margin offsets, says Tom Callahan, chief executive of NYSE Liffe US. By...
CVA hedging: a false sense of security
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Hedges of derivatives counterparty credit exposure – when based on credit default swap spreads – are unreliable and may lull banks into ignoring tail...
LCH to become more commercially driven, says Axe
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Regulatory changes mean the over-the-counter clearing space is becoming hugely competitive, with new entrants launching services to rival long-established...
Latest issue - News
Volatility of volatility spike drives options liquidity squeeze
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Source: Risk magazine
Options market metrics suggest dealers have navigated volatility surge without serious pain - but the market did experience a brief liquidity squeeze
People: Citi ramps up listed and OTC clearing
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Source: Risk magazine
Citi overhauls exchange-traded and OTC clearing; new role for Gentzel at Deutsche; Banks leaves BNPP, Handjinicolaou rejoins Isda
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