Issue: Mar 2012
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COVER STORY
Think locally, act locally: Anger over US plans for foreign banks
Published online only
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
Banks are looking to get capital relief as a result of break clauses within derivatives contracts - but they will need to convince regulators first...
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
Insurance Sifis face bank-style supervisory regime
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Source: Risk magazine
Federal Reserve Board proposals on the supervision of systemically important non-banks would subject insurers to a bank-style regime. Insurance risk...
Mining companies remain unhedged, despite Chinese clouds
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Source: Risk magazine
After some painful experiences in recent years, mining companies remain largely unhedged – despite a jump in metals volatility and the threat of a Chinese...
Despite MF Global, firms face weaker OTC safeguards
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Source: Risk magazine
In bilateral over-the-counter trades, some buy-side firms insist on physical segregation of their collateral – their assets are placed with a third...
Show me the money: banks explore DVA hedging
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Source: Risk magazine
Debit value adjustments are considered accounting voodoo by many – but Goldman Sachs thinks the numbers are real enough to control with a hedging programme...
Quants weigh up VAR's flawed alternatives
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Source: Risk magazine
The Basel Committee will consider ditching value-at-risk as the basis for trading book capital, but an obvious alternative, expected shortfall, has...
More sovereigns edge towards two-way CSAs - and clearing
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Source: Risk magazine
The vast majority of over-the-counter trades will be cleared or collateralised in future – but sovereign derivatives users have been digging their heels...
Available to trade: row over scope of Dodd-Frank execution rules
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Source: Risk magazine
The Dodd-Frank Act requires cleared over-the-counter trades to be executed on an exchange or swap execution facility – as long as at least one venue...
Beyond Basel 2.5: regulators prepare trading book review
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Source: Risk magazine
The Basel Committee is planning to launch its long-awaited review of trading book capital rules within the next few months. It could redefine the boundaries...
Latest issue - More articles
Stronger defences needed: stress testing a eurozone break-up
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Source: Risk magazine
Banks need more capital if they are to survive the worst eurozone scenarios being envisaged by some institutions, say Barry Schachter and Lance Smith
Not all hedges are created equal
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Source: Risk magazine
One of the key lessons risk managers should take from the global financial crisis is that apparently sound hedges may not do the job in all conditions...
Cutting Edge introduction: viva cross-vegas
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Source: Risk magazine
The sensitivity of single-rate derivatives to implied volatility is traditionally only considered with respect to the underlying fixing, in effect collapsing...
Margin segregation
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Source: Risk magazine
As they stand, segregation rules for the cleared over-the-counter derivatives market are a mess. The US Commodity Futures Trading Commission (CFTC) finalised...
FSA: facing up to cross-jurisdiction conflicts
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Source: Risk magazine
David Lawton, head of market infrastructure and policy at the UK’s Financial Services Authority, talks to Michael Watt
Adapting banking supervision for a crisis scenario
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Source: Risk magazine
The financial crisis demonstrated that banking supervision practices applied during normal market conditions may not necessarily work during a crisis...
CMS: covering all bases
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Source: Risk magazine
Simon Cedervall and Vladimir Piterbarg develop a new vanilla model that directly links constant maturity swap (CMS) and payment convexity in general...
Downgrade termination costs
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Source: Risk magazine
Ratings-based (RB) additional termination event (ATE) clauses in International Swaps and Derivatives Association agreements can have a significant impact...
Latest issue - News
People: Walter joins Ernst & Young regulatory push
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Source: Risk magazine
Ex-secretary general of the Basel Committee, Stefan Walter, is latest senior regulator to join Ernst & Young; HSBC names new European credit trading...
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