Nazneen Sherif
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Articles by Nazneen Sherif
FRTB sends banks around the bend
Banks uncover hidden challenges of data, computing power and need for joined-up approach
Large and complex banks face LCR reporting migraine
Repo, collateral and legal entities pose obstacles to liquidity reporting, say panellists at event
Central banks eye advantages of digital currencies
BoE economist says digital currencies might improve real policy rates, tax rates and bank competition
FRTB standard rules cause worries about duplication
Sensitivity-based approach means “we have to do everything twice”, complains one head of trading
When time is of the essence, shortcuts are still handy
‘New age’ quants might not like it, but speed can be traded for accuracy in spotting investment opportunities
Banks fear costs from loss of AAD under simpler FRTB rules
Trading book regime may force use of more expensive and time-consuming ways of computing risk sensitivities
Why not having AAD needn’t be the end of the world
Optimisation method offers quicker and more focused way of making XVA calculations
MVA: swaps scale new heights in complexity
Banks are turning their attention to calculating a new derivatives valuation adjustment
Dealers wake up to MVA impact of new funding rules
NSFR will force dealers to term-fund initial margin at a time when margin volumes are climbing
FCA asks prop traders about capital impact of sterling fall
Regulator seeks info on currency make-up of capital base, and capital adequacy
Time to gear up for MVA
Banks must be prepared for the looming rise of non-cleared margin requirements
CVA desks suffer Brexit double whammy
Cross-gamma losses estimated at more than $25m for each dealer
The beginning of the end for footloose modelling
US model risk guidance has drawbacks, but is a step towards better management of model risk
US model risk rules put lions back in their cages
Impact of Federal Reserve and OCC model risk guidance is being felt well beyond US banks
Living wills and LVAR could help kill liquidity risk
When used with living wills, a new method may help banks quantify liquidation costs
European banks pressed to boost model risk management
US model risk management guidelines being increasingly used by banks and regulators elsewhere
Basel Committee’s CVA shocker ignores trade-offs
Ditching own models for CVA risk is too binary and eliminates possibility of further dialogue
Dealers disagree over charge for CCP counterparty risk
Fed stress tests push US banks towards charging CVA for cleared derivatives
Basel CVA bombshell widens gulf with bank accounting
Dealers face conflicting incentives and capital hike after internal models are blown away
Regional banks may benefit from Basel CVA surprise
Basel Committee decision removes potential source of competitive advantage for large dealers
Banks seek to counter FRTB internal model add-on
Parallel shifts and trading desk reshuffles mooted as fix for non-modellable risk factors
FRTB packs bigger-than-expected capital punch
Industry study challenges regulators' estimate of a 40% capital increase
When it comes to correlation, cleaning is a chore that pays
Recent trends in research may help firms obtain reliable correlations from limited data