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Can CRE credit risk models cope with hybrid working?
As US office use changes, modellers deploy judgement overlays and alternative data to keep up
Blow-out on ‘dim sum’ bonds fuels boom in offshore rates options
Swaptions on USD/CNH swaps enjoy boost as investors adopt ‘all-you-can-eat’ approach to callables
Clearing members combing rule books after LME lawsuit win
Industry debates whether other CCPs and exchanges would cancel trades if faced with similar crisis
Hard concentration: clearing members want clarity from CCPs
FCMs complain they struggle to pass opaque margin calculations through to end-clients
Three’s a crowd? Eurex and Ice battle CME for €STR trading
Chasing exchanges represent 75% of trading volume, 28% of open interest in first weeks of push
How corporates are tooling up for FX risk
Unstable markets have forced corporate treasurers to adopt whizzier methods for managing currency exposures
FRTB managers face hard facts about risk factors
There are ways to reduce the capital charges caused by NMRFs, but they come at a price
Industry unsure of SEC’s new short-selling transparency rule
Requirement aims to provide sufficient transparency while protecting traders from a GameStop-style backlash
How US insurers went to war over CLOs
Mutuals and private equity-backed rivals clash over determination of capital charges
Party’s over as more banks drop internal models for market risk
At least three systemic banks in Europe intend to ditch IMA for capital requirements
Quantum computing: a problem for another generation?
Some banks have soured on quantum exploration. Others are playing a game of wait and see.
Filling the gaps in Basel’s interest rate risk measures
Reverse stress-testing or VAR may work better than existing outlier tests, but are hard to manage
Nickel odium: critics pan BoE role in LME meltdown
Last year’s nickel fiasco calls into question effectiveness of UK supervisory model – and of central bank’s part
As banks limit FRTB model use, outputs get more volatile
Risk managers say selection of stress window becomes more sensitive if fewer desks are on IMA
Can CCPs provide a port in a storm for securities lending?
Basel III, T+1 and EquiLend scandal all incentivise clearing, but also disintermediation
Buy side reflects on BoE’s gilt liquidity lifeline
Lending facility could prevent repeat of last year’s LDI crisis if properly designed, pension and insurance experts say
Roll up for the BoE’s counterparty mystery tour
Letter warns of cross-currency repo risks, but they didn’t feature in Archegos or LDI blow-ups
How patchy liquidity is stymieing systematic credit
…and what investors like AllianceBernstein, Man Numeric and Acadian are doing about it
US takes scissors to repos. In Europe, it’s not cut and dried
Stateside banks fear disadvantage over haircut rules that EU sees as not ready to implement
How repo roll risk could spoil US Treasury basis trade
Financing worries emerge as popular trade becomes increasingly reliant on overnight repo
Court showdown looms for SEC private adviser rules
Legal victory for the regulator would establish new powers of prohibition, critics claim
Energy Risk Asia Awards 2023: The winners
Winning firms demonstrate resilience and robust risk management amid testing times
Europe’s lenders sail into uncharted waters of the banking book
Regulators are pushing banks to map their credit spread risk. Here be dragons?
Traders pin Sonia derivative woes on UK’s local difficulties
Market participants say BoE forecasts and mini-budget help explain RFR products’ lack of liquidity