Articles by Nazneen Sherif
Banks discount legacy swaps as ring-fencing looms
Expectation of higher funding costs post ring-fencing pushes UK banks to offload some trades faster
Totem extends pricing data to 10-year repos
IHS Markit service set to help banks with funding and swaps valuation concerns
Industry renews push for triBalance clearing exemption
Dealers using Emir review to request carve-out for optimisation trades
The bald truth about collateral haircut modelling
HSBC’s Wujiang Lou says parametric modelling of haircuts has many advantages over historical VAR
Compliance fears slow use of synthetic swaps to cut IM
Dealers want firmer guidance on whether technique to slash margin costs contravenes clearing mandate
Capital savings from new IM regime elude dealers
Slow model development and approval processes mean banks yet to see benefits expected under margin rules
Vega volumes triple on Vix spike
Rebalancing of Vix ETPs spurred record trading in Vix futures on August 10
Banks say Europe’s CVA proxy-spread plans lack flexibility
Dealers welcome EBA proposals but say limited number of eligible counterparties means few benefits
CCP stress testing gets real
Quants propose technique to generate effective, plausible CCP stress-testing scenarios
Complex short Vix products draw fire as vol plumbs lows
Hedging effects mean popular exchange-traded products vulnerable to big losses if volatility spikes
All MVA needs is a first-mover
Fair value adjustment for initial margin should be reflected in accounting statement
The price is still wrong: banks tackle bond CSA discounting
Diverging Eonia and European repo rates spur banks to look at valuations of swaps with bond collateral
LCH limits substitution to tackle quarterly collateral flight
CCP clamps down on bond-for-cash switches driven by reporting and quarter-end repo spikes
Banks turn to synthetic derivatives to cut initial margin
Options-based instruments can halve initial margin for some non-cleared products, say dealers
The untapped potential of stress tests
Quants propose technique to include stress testing in portfolio allocation
Time trial: the big risks that lurk in OTC margin gaps
Banks take aim at margin and trade-flow lag that can cause 95% of counterparty risk
Spectre of mass swap unwinds looms ahead of VM deadline
Dealers warn of market disruption if trades lacking new CSAs are terminated before September 1
Rethink urged over Basel’s counterparty exposure framework
Industry calls for softening of SA-CCR amid claims it could lead to doubling of calculated exposures
Time to talk about settlement risk
Quants are proposing netting or the use of CLS Bank to remove Herstatt risk in margined trades
EU capital revamp paves way for corporate CVA charge
Draft directive offers national regulators power to override controversial exemption
Dealers struggle with VM in non-netting jurisdictions
EU exemptions from margin posting are either hard to obtain or face client resistance
New execution algos show complexity is not to be feared
Quants develop method to include both market impact and limit orders in optimal trade execution
Some banks find huge margin savings by breaking up indexes
Splitting equity and commodity indexes can halve initial margin, but not everyone can do it
Academics warn against overuse of machine learning
Lack of data makes AI technology unsuitable for risk management, say Cont and Rebonato