Issue: Feb 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
When Risk first wrote about scenario analysis of the eurozone debt crisis in June 2010, banks were sketching out a variety of outcomes and then attaching...
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
Basel 2.5: US ratings workaround criticised
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Source: Risk magazine
US regulators published a proposal in December that would enable domestic banks to implement market risk capital rules without relying on credit ratings...
Reconsidering the LCR
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Source: Risk magazine
The Basel Committee is considering several substantial changes to its liquidity coverage ratio, including scrapping the distinction between level 1...
Basel DVA proposals could subtract billions from bank capital
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Source: Risk magazine
Accountants want banks to report as profits the impact of widening credit spreads on their liabilities, but regulators are moving in the other direction...
Esma: questions grow as Emir deadline looms
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Source: Risk magazine
The European Union’s securities markets authority will have to tackle an alphabet soup of new regulations and directives this year – Emir, Mifid and...
Need for speed: banks explore FPGAs for portfolio modelling
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Source: Risk magazine
It can take hours for traditional bank systems to run portfolio risk models. That’s too slow for some banks, which are now exploring unwieldy – but...
Latest issue - More articles
Q&A: Michael Spencer on Europe, Tobin taxes, OTC reform and futures monopolies
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Source: Risk magazine
A Europe-wide trading tax is under discussion in Paris and Frankfurt, but has no chance of being approved by the UK, Icap’s chief executive Michael...
Risk and Energy Risk commodity rankings 2012: energy
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Source: Risk magazine
In a roller-coaster year for many energy markets, Morgan Stanley seized top spot in this year’s rankings from its traditional rival, Goldman Sachs...
Risk and Energy Risk commodity rankings 2012: metals
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Source: Risk magazine
In an environment of uncertainty for both prices and regulations, Société Générale retains pole position in base metals, while UBS takes first place...
No nosedive: markets could defy doom-mongers
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Source: Risk magazine
Markets face a testing 2012 – but Stephen Blyth argues they are better-equipped to cope than in 2008
Bank models are built on foundations of sand
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Source: Risk magazine
Despite the remarkable advances made over the past 25 years, David Rowe argues the industry’s existing risk models are not fit for purpose when it comes...
Cutting Edge introduction: risky contributions
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Source: Risk magazine
Value-at-risk is usually calculated via Monte Carlo simulation, making it difficult to see the contributions from different risks. But in some circumstances...
Wells Fargo: late entrant to the OTC clearing race
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Source: Risk magazine
On lists of the top US futures clearers, one big US bank is conspicuous by its absence. Wells Fargo was ranked fourth by assets in the US according to...
Sponsored survey: Oracle
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Source: Risk magazine
A 2012 survey of global financial institutions, sponsored by Oracle Financial Services, has explored how firms are coping with the new macro-prudential...
Sponsored forum: OTC derivatives
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Source: Risk magazine
With just one year to go until the end-2012 deadline set by the Group of 20 (G-20) nations for all standardised over-the-counter derivatives to be cleared...
Hybrid correlation matrices
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Source: Risk magazine
Integrating available implied volatility data into a historical correlation matrix is an essential part of calibrating a Monte Carlo credit value adjustment...
Analytical risk contributions for non-linear portfolios
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Source: Risk magazine
The value-at-risk of portfolios needs to account for non-linear effects in the loss distribution’s dependence on risk factors. Using the classical Cornish...
Latest issue - News
European capital rules could squash CVA feedback loop
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Source: Risk magazine
The European Parliament version of CRD IV exempts trades with non-financials from Basel III's CVA capital charge - and dealers are hoping it covers...
New Prime Finance panel could tackle debt crisis disputes
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Source: Risk magazine
An arbitration panel set up to tackle derivatives disputes could also tackle eurozone debt crisis issues, says Jeffrey Golden, architect of the Isda...
People: SG CIB promotes Mianné and Fields
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Source: Risk magazine
Mianné lands the deputy CEO role at SG CIB, with Fields replacing him as head of global markets - but the bank loses David Knott; JP Morgan's Zubrow...
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