Issue: Oct 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
CME Group is a big, successful company – too big, according to some. Speaking to Risk earlier this year, Michael Spencer, the chief executive of interdealer...
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
RIP OTC: Swap futures gaining buy-side fans
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Source: Risk magazine
New regulations could make interest rate swaps a more expensive product. As a result, large buy-side firms are looking at alternatives such as swap...
Section 716: The do-nothing approach
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Source: Risk magazine
Dodd-Frank’s swaps push-out rule takes effect for non-US banks in July 2013, but many are said to be doing nothing to prepare – a gamble that the requirement...
Indirect clearing: The capital conundrum
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Source: Risk magazine
Draft European Securities and Markets Authority rules on indirect clearing caused uproar when they appeared in June. The regulator removed the most...
JP Morgan and the CRM: How Basel 2.5 beached the London Whale
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Source: Risk magazine
It’s the untold story of JP Morgan’s credit trading losses – how traders were able to reduce risk-weighted assets while loading up on risk, and the...
Into Africa: Building a sub-Saharan OTC market
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Source: Risk magazine
Nigeria opened up a local over-the-counter derivatives market last year – a big step for the sub-Saharan region. Dealers and hedgers are now hoping...
Standard docs may not prevent clearing contract crunch
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Source: Risk magazine
A lack of standard documentation has held up the growth of client clearing, so the launch of a new Futures Industry Association-International Swaps...
Client clearing: Soaring volumes disguise scary workload
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Source: Risk magazine
After three years of work, client clearing volumes have started to rocket in recent months – but it may not be enough to avoid a last-minute stampede...
Latest issue - More articles
In-depth introduction: Interest rate swaps
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Source: Risk magazine
On September 18, CME Group launched an interest rate swap futures contract for the second time – 10 years after its first attempt. The original product...
The beta stochastic volatility model
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Source: Risk magazine
Local stochastic volatility models combine perfect calibration at time zero with realistic price dynamics. But traditional methods tend to underestimate...
The FVA debate continues: Hull and White respond to their critics
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Source: Risk magazine
John Hull and Alan White sparked a heated debate when their article in Risk’s 25th anniversary issue argued funding costs should not be reflected in...
Fat tails via utility-based entropy
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Source: Risk magazine
Asset returns are well known to be fat-tailed, but widely used classical econometric techniques are not well suited for building such distributions...
Personal criminal liability works
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Source: Risk magazine
If the banking industry is to be cleaned up, rules alone will not cut it. Bankers should face personal criminal liability as well, argues David Rowe
Cutting Edge introduction: Tales of tails
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Source: Risk magazine
It is a cliché that returns are fat-tailed, but that doesn’t make the distributions any easier to work with. However, drawing on the father of their...
Gazprom Marketing & Trading: Powering up for clearing
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Source: Risk magazine
Gazprom's UK-based trading subsidiary is hoping not to be hit by a clearing requirement - but has been doing its sums just in case, the company's treasurer...
Responding to the eurozone crisis
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Source: Risk magazine
Société Générale spent a month at the centre of the eurozone crisis last year, and the bank has responded by reining in its US dollar funding needs...
Latest issue - News
People: New roles for Amrolia and Rodgers in Deutsche reshuffle
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Source: Risk magazine
Markets group at Deutsche gets new cross-asset electronic trading unit, led by Zar Amrolia; Knight Capital responds to rogue algo loss by naming new...
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