Feature
Insurance accounting shake-up puts risk centre stage
IFRS 17 will create a closer link between insurers' risk management and P&L volatility
Basel capital floor faces credit risk eclipse
Impact of capital floor depends on new credit risk rules and changes to treatment of provisions
Energy firms raise concerns over CFTC capital rules
Commercial swap dealers might not qualify for a treatment designed specifically for them
Numbers game: Mifid guidance adds to swaps trading confusion
Market participants say using strike price to determine trading obligation will be impossible
Scrap the gold plate: Mnuchin goes global on bank rules
Treasury converges to international standards, but leverage ratio exception may delay Basel deal
Quants head for the shop floor
Demand for technical skills is growing, but roles have changed – and some schools are not keeping up
Volatility hedgers turn to gamma trades to stem slow ‘bleed’
Nearly $80 billion of gamma trades initiated in March and April as long vega strategies fare badly
Is it $5bn or $77bn? Data enters the euro clearing row
Eurex set to challenge LCH estimates of clearing relocation costs
Formosas, the Fed, and the billion-dollar Bermudan trade
Rates options desks on alert as decline in Formosa bond issuance could hit profits and raise US volatility
Doubts plague Emir reporting clean-up
Industry still advocates single-sided reporting as a way to improve EU swaps data quality
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
Insurers press case for new-look risk margin
Firms call for lower cost of capital and link to interest rates in key element of Solvency II
Banks less stressed about CCAR
Fed’s 2017 stress test assumes 10% peak unemployment and sharp drop in commercial property prices
Seeds of destruction? Funds grapple with index effect
Rapid growth fuels anxiety over passive sector’s vulnerability to frontrunning
Banks split on Mifid II pre-trade compliance
Esma promises guidance, but some say ‘firm, executable’ quotes are impossible
Too little, too late: Esma data won’t fix energy firms’ Mifid woes
Data confusion and unworkable exemption timeframe risk commodity market disruption
Lessons from the Mortician: volatility modulation
Paul Tudor Jones II, Santhanam Nagarajan and Dario Villani show how to use volatility modulation
Emir review could push securitisations into the dark
Subjecting deals to margin requirements would be a further blow to STS securitisation concept
Banks diving into credit data pools as official support grows
European regulators embrace external data for internal modelling of credit risk capital
Growth in factor investing renews crowding fears
Single-factor ETFs could pose threat to quantitative equity market neutral strategies
Netting no problem for blockchain, tech firms tell regulators
Firms say DLT can sit with current market practice, but instantaneous settlement 'not desirable'
Power struggle: EU battles for supervisory convergence
European Commission’s review of the three supervisory authorities fraught with difficulties
Volatility of IFRS 9 loss estimates alarms lenders
Accounting model outputs wildly out of sync with those used to calculate regulatory capital requirements
Dexia faces fraud charges over ‘hidden costs’ in swaps deal
Italian fraud trial could spell trouble for other banks providing municipal swaps contracts