Issue: Apr 2012
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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
As of April 3, typing the phrase ‘Working Group on Margining Requirements’ (WGMR) into Google yielded a total of three results – the same number...
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
Liquidation cost: why mark-to-market values are wrong
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Source: Risk magazine
Equity portfolios are marked-to-market on the assumption that each share will recoup that amount of cash – but exiting large positions has a market...
New CFTC block trade proposals spark row over 67% threshold
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Source: Risk magazine
US block trading rules have been reproposed following intense criticism, but many dealers suspect the new methodology has been designed to produce the...
Credible capital: regulators prepare to tackle RWA divergence
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Source: Risk magazine
The credibility of bank capital has been called into question by the wildly differing risk-weighted asset (RWA) numbers produced by bank models – and...
A regulatory Catch-22: bail-in plans collide with Basel's NSFR
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Source: Risk magazine
Basel’s liquidity rules mean banks will have to issue more long-term debt. That is not going to be easy if regulators also force senior bondholders...
Cross-default dilemma
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Source: Risk magazine
The potential for a single default to trigger the termination of derivatives contracts with other entities in that group – so-called cross-default clauses...
Regulators look out for clearing dodges
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Source: Risk magazine
Regulators fear derivatives could be structured to make them unclearable – and there is anecdotal evidence to suggest escape routes have been explored...
LEI debate focuses on governance issues
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Source: Risk magazine
Industry and regulators have made progress towards an ambitious global system of unique identifiers that could help avert future crises – but there...
China's credit default swap market slow to grow
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Source: Risk magazine
China launched its version of the credit default swap market nearly 18 months ago – yet activity has almost ground to a halt due to a combination of...
Banks look to cut corners on CVA computation
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Source: Risk magazine
Calculating credit value adjustment correctly for exotic instruments can require the simulation of scenarios within scenarios – and today’s computers...
Latest issue - More articles
Bank capital
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Source: Risk magazine
JP Morgan’s Jamie Dimon doesn’t seem like the kind of person that spends a lot of time regretting the fights he picks, but by inviting bank capital...
Q&A: Ryozo Himino on Basel's RWA probe and the need for minimum standards
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Source: Risk magazine
The Basel Committee is keeping an eye on Basel III implementation, led by its standards implementation group. Nick Sawyer talks to Ryozo Himino, chair...
Beware of data leverage
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Source: Risk magazine
Inadequacy of available data resources for effective decision-making is a widely recognised problem. David Rowe argues firms should be trying to measure...
Cutting edge introduction: exploring constant maturity asset swaps
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Source: Risk magazine
New product design has been on the wane for the past few years, but there are still ideas floating around. This month’s technical section includes an...
Each: CCPs seek safety in numbers
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Source: Risk magazine
With detailed rules on margin models in the pipeline, Europe's association for clearing houses wants the industry's voice to be heard. Its new chairman...
Stress testing with fully flexible causal inputs
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Source: Risk magazine
Propagating causal stress tests on selected risk factors to all the risk drivers is a challenging task. Attilio Meucci relies on entropy pooling to...
Constant maturity asset swap convexity correction
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Source: Risk magazine
The current high volatility in government bond markets may lead investors to try to hedge their exposure to floating-asset swap spreads. Mario Pucci...
Latest issue - News
People: Bänziger leaves Deutsche as Fan, Faissola take new roles
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Source: Risk magazine
Deutsche's Bänziger to go, while Fan becomes securities co-head; BoE's Tucker gets CPSS role; Ashley shakes things up at Nomura; unhappy Goldman trader...
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