Articles by Luke Clancy
After Nasdaq, cracks appear in foundation of clearing
Default fund loss triggers debate on risk sharing, auction rules and ‘skin in the game’ at CCPs
EU’s further intragroup clearing relief: banks want more
Esma proposes to extend exemptions from clearing obligation but industry wants permanent solution
Hackathon finds pre-trade gold in Isda’s post-trade project
Dealers’ derivatives trade processing costs could be cut by at least $3 billion per year
Lawyers blast Basel on funding of STM swaps
'Daft' guidance would see settled-to-market derivatives caught by NSFR and LCR liquidity ratios
Improved credit loss estimates proposed for IFRS 9
New smoothing technique claims to overcome flaws in risk rating scales
Nasdaq slow to share defaulter info with peer CCPs
“Why didn’t you tell us earlier?” other clearers want to know
Spotlight on auction in €114m Nasdaq clearing blow-up
Four-member auction may have turned 39% margin breach into huge default fund loss
Brexit deal talk ‘too late’ for departing brokers
Contingency plans are past point of no return, say venues
New statistical approach proposed to tackle internal fraud
Tests improve on methods to identify anomalous data created by fraudsters
Quants tout improved expected shortfall backtest
Measure aims to provide better gauge of VAR violations
Kyte follows broker herd to Europe as Brexit looms
OTF provider lines up contingency plan to transfer London business to Paris entity
New credit risk modelling approach touted to reduce CCAR bias
Academic aims to address gaps in existing LGD forecast method with two-equation fix
Risktech start-ups: survival of the fittest?
A new breed of vendors could change the face of risk management, if they can hang around long enough
Risktech start-ups struggle to clinch big-bank contracts
Light on cash, risk management fintechs face an extended gauntlet most won’t survive
CLS seeking legal fix for Brexit settlement threat
Market infrastructure firm wants EU27 to protect trades in insolvency by tweaking local laws
Quants tout exposure-based approach to op risk modelling
Ebor especially suited to modelling loss events such as legal claims, say proponents
Banks fear loss of Emir intragroup exemptions
Firms would have to clear or margin transactions with affiliates in non-equivalent jurisdictions
EU prime brokers hit by new rules on collateral reuse
Draft AIF and Ucits regulation would oblige more stringent record-keeping along custody chain
Industry split over running of new derivatives IDs
Funds object to Isda proposal, arguing it would leave ‘control’ of UPIs with incumbents
Planned sale prompts hard look at post-trade firms
Plans to sell MarkitServ fuel warnings about middleware vendors’ future
Banks should quantify loan-loss model risk – academic
Models such as those used for IFRS 9, CECL or CCAR are prone to errors, and should be accounted for
CCP stress tests need improvement, argues new research
Existing data could inform greater number of stress scenarios and create system-wide test
New method proposed for modelling large op risk losses
Outsize loss events modellable through extension of approach to measuring moderate losses, says research
Mifid transparency, FRTB and alternative data
The week on Risk.net, April 30–May 4, 2018