Risk Awards 2022: the winners

JP Morgan claims top derivatives house, lifetime award for Mark Carney, BofA wins rates


The late stages of a bull run are rarely much fun, as market participants were reminded last year. Stocks may have been soaring, and other markets may have been mostly calm, but the year was punctuated by periods of turmoil, and overshadowed by a growing sense that various reckonings were on their way in the months or years ahead.

The financial industry’s risk management chops were tested during an unprecedented frenzy of retail stock trading, the collapse of Archegos Capital Management and sudden bursts of rates volatility.

The meme frenzy, Archegos shocks and macro themes recurred frequently throughout this year’s Risk Awards. The winners demonstrated their ability to nagivate this uncertainty, protecting themselves, their clients and their investors.

A common reaction to the Archegos collapse was surprise that losses of that magnitude could have arisen in a low-risk business like prime services. Of course, if you get it wrong, then it’s not a low-risk business at all – but two of this year’s winners showed how it should be done.

Barclays wins this year’s prime broker award after avoiding the blow-up entirely. The bank has now taken Credit Suisse’s spot as the largest non-US prime broker. Deutsche Bank had already sold its prime brokerage, but still put on a masterclass in how to manage margin risks and respond to a client default.

Two months prior to the Archegos default, US stock markets were rocked by an unprecedented surge of trading in a handful of names, with retailer GameStop the poster child for the retail-fuelled phenomenon: on January 11, the firm’s stock was trading at roughly $20 – just 12 trading days later, it closed at $347.

Citadel Securities ended up in the media spotlight – and in Congressional hearings – after clearing houses and retail brokers combined to hike margin requirements and cool the frenzy. Behind the scenes, the market-maker – unlike some of its rivals – was able to provide liquidity consistently throughout this period and beyond, thanks in part to pricing and hedging algorithms that had been adjusted to recognise meme signals.

It wasn’t just cash, of course – listed options volume on GameStop and other stocks also soared to new highs, posing operational and risk management challenges to the clearing houses involved. OCC wins our clearing house award for its handling of the episode.

Rising yields and volatility were the dominant theme in rates markets. Traders at Bank of America were well prepared for this. At the start of last year, the firm deployed an early-warning system to detect signs of trouble in the market. In February, the system alerted traders that front-end rates, and volatility, were on the move. The team quickly flattened its books and went long volatility – a move that paid off when US rates volatility surged in March.

The meme frenzy, Archegos shocks and macro themes recurred frequently throughout the awards

The big winner in this year’s awards was JP Morgan, which landed the overall award for derivatives house in addition to the equities prize. The bank avoided the pitfalls that caused other banks to stumble and bolstered its reputation for steadfast market-making – all while executing a major overhaul of its business strategy.

JP Morgan has made no secret of its aim of becoming a data-driven, AI-first organisation. Last year, it made impressive strides toward this goal. In the equities division, a machine learning system called Flow Trader – developed by Hans Buehler, Risk.net’s quant of the year – prices around 70% of Euro Stoxx and half of S&P 500 options trades. A more advanced approach known as deep hedging – which one senior executive calls “a complete reinvention of how derivatives books are traded” – is currently in testing.

The bank’s AI and data scientists are pursuing all manner of ambitious projects, which if they pan out could be “transformational in how we manage risk,” according to David Hudson, co-head of digital and platform services for JP Morgan’s corporate and investment bank. 

Our lifetime achievement winner is Mark Carney, a troubleshooter who led two major central banks during periods of stress and change for each one, as well as chairing the Financial Stability Board from 2011 to 2018 – a time when the FSB was co-ordinating a complex, multi-tier regulatory response to the financial crisis of 2008.

Through those roles, Carney has held firm to his belief that central banks should play an active, front-foot role in identifying and mitigating system risks, including non-traditional ones like climate risk, even if it that exposes them to political fire. Those views made him a natural choice when the United Nations was looking for a special envoy to focus on the finance sector’s response to climate change.

A proactive approach to climate risk was the reason why we chose Legal & General IM as the investment house of the year. The firm has built its own methodology for calculating climate risk and assessing the contribution of its investments to global warming. In 2021, LGIM began managing client funds using the tool – a new line of business that its rivals are likely to want to imitate.

As always, picking the winners was extremely difficult. Risk.net asked candidates to submit detailed information on their businesses, and shortlisted firms were interviewed off the record. Risk.net then gathered feedback from clients and other market participants.

The final decisions were made by Risk.net’s editors and journalists, weighing a number of factors, including risk management, creativity and innovation, liquidity provision, quality of service and customer satisfaction, and engagement with regulatory issues.

Where decisions were tight, client feedback often helped settle the issue. The Risk.net editorial team thanks all this year’s participants for their time and help.

The profiles of our winners can be found below.

Lifetime achievement
Mark Carney

Derivatives house of the year
JP Morgan

Interest rate derivatives house of the year
Bank of America

Currency derivatives house of the year

Equity derivatives house of the year
JP Morgan

Credit derivatives house of the year
BNP Paribas

Inflation derivatives house of the year
BNP Paribas

Structured products house of the year

Risk solutions house of the year
Santander Corporate & Investment Banking

Flow market-maker of the year
Citadel Securities 

Bank risk manager of the year
Deutsche Bank

Credit portfolio manager of the year
Intesa Sanpaolo

SSA risk manager of the year
European Commission

Investment house of the year
Legal & General Investment Management

Quant investment house of the year

Exchange of the year
Intercontinental Exchange

Clearing house of the year

OTC trading platform of the year
TP Icap

Derivatives client clearer of the year
BNP Paribas

Prime broker of the year

Law firm of the year
Allen & Overy

Technology vendor of the year

Innovation in technology
International Swaps and Derivatives Association

Rising star in quant finance
Silvana Pesenti

Buy-side quants of the year
Matthew Dixon and Igor Halperin

Quant of the year
Hans Buehler

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