Morgan stanley
Quant Congress Europe: Peter Carr introduces ‘meta-modelling’
Published online only
Morgan Stanley quant tells Risk's annual European quantitative finance event that modelling assumptions should be considered in light of calibration needs - even if this leads to discrepancies
Original headline:
Dealers say regulators have cooked up a pro-cyclical credit value adjustment capital charge that will force them to buy increasing amounts of protection in an illiquid market, regardless of changes in...
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More Morgan stanley articles
CFTC urged to rethink rules that threaten cross-margining
Original headline:
In a world where central clearing and bilateral collateral posting are mandatory, margin efficiency will be a big draw, and one obvious way to achieve it is through cross-product margining. Unfortunately, it is difficult to achieve – and Commodity Futures...
Dealers face up to OTC clearing's tech revolution
Original headline:
Build or buy? It’s a key decision in every big IT project, and the shift to over-the-counter clearing is one of the biggest the industry has ever faced. Many dealers are adapting existing in-house systems, but vendors are also pushing off-the-shelf...
Cutting Edge introduction: the DVA debate
Original headline:
Banks profiting from a widening of their own credit spreads is causing more scrutiny of the debit value adjustment, with some viewing it as an accounting trick and others arguing it is a fact of life, however counter-intuitive it might seem. Laurie Carver...
‘No way’ Asia can meet CCP deadline; probably the same for Europe
Published online only
Panellists speaking at a derivatives industry event in Hong Kong believe Asia is unlikely to meet its obligations to have full mandatory clearing in 14 months – the deadline established in the 2009 G-20 agreement. They say a lack of regulatory clarity...
Energy Risk Manager of the Year, Asia: Morgan Stanley
Original headline:
Morgan Stanley wins this year's Energy Risk Manager of the Year, Asia award due to the continued expansion of its diverse physical operations, and the tight integration of its risk management function with other areas such as corporate finance.
Margin models converge as CCPs battle for dealer support
Published online only
Dealers say they won’t join clearing houses that are not robust – and have already blackballed one central counterparty. As a result, the initial margin methodologies employed by the big rates clearers have begun to converge. Matt Cameron reports...
Prop trading ban set to crimp market-making and hedging activities
Original headline:
To make the Volcker rule work, regulators will need to be able to spot proprietary trading. But although a range of indicators has been suggested, finding a way to catch prop trading without also catching some market-making and hedging activity won’t...
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