Feature
Covid chaos spurs on search for model risk aggregation
Many models failed in pandemic, but analysing them in clusters easier than whole-bank view
Growing use of ‘carte blanche’ keeps FCMs ‘awake at night’
Executing brokers want to speed up trade processing, but practice is deemed risky by clearers
Why FRTB model test loves volatility, but hates hedges
Crucial P&L test for internal models easier to pass if price swings are large, or desks poorly hedged
When stagflation looms, investors get no satisfaction
In a toxic inflation-stagnation mix, conventional trades and hedges falter; alternatives are unproven
ARRC reconvenes task force to evaluate term SOFR curbs
Concerns over one-sided market for term SOFR swaps prompts review of ‘scope of use’ guidelines
EU crypto rules would allow terra, just not as a stablecoin
Final laws set to prevent algorithmic coins from styling themselves as “stable”, says insider
Fog of war: the struggle to manage geopolitical risk
Financial firms ponder how to factor the Ukraine conflict and wider global unrest into stress-testing
Cross-currency’s €STR switch may hasten Euribor demise
Rising cost of issuer cross-currency hedges could spur greater adoption of euro risk-free rate
Correlation ‘is not causation’ for rates and value stocks
Some quants remain unconvinced by the ‘great rotation’ away from growth
Back in time: a brief history of LME’s nickel meltdown
As prices went haywire, margin remained frozen and calls to suspend trading were rejected
Brexit bogeyman haunts EU’s Mifir transparency push
Bloc considers copying darker side of UK's divergence from its 2018 rules
How will US regulators perform the Basel III balancing act?
Largest banks seek offsets for higher capital requirements caused by possible end of IRB, IMM
Coded swaps reporting plan delights some, but not all
Cost-busting code for swaps reporting could be tricky if banks lack internal standardisation
A SwapAgent-bilat basis? Not for now
SA-CCR may make settled-to-market capital benefits more difficult to quantify
Corporates boost FX hedges as US dollar surges
Banks see more business, but also rising exposures, from corporates’ FX decision-making
Standard risk measures low-balled Archegos exposures
When a potential blow-up doesn’t show up, what use are VAR, SA-CCR and stress tests?
Designed to fail: terra and the limits of arbitrage
Speculative ‘attack’ exposed fundamental flaws in crypto’s algorithmic stabilisation mechanism
FTX’s ‘easy-access’ clearing stokes fears over runaway risk
Crypto exchange will auto-liquidate underwater positions, which critics say could fuel a death spiral in prices
Inflation scenarios, pt II: end of the party
Whether inflation rises or falls, crowdsourced scenarios forecast huge range of outcomes
Prop stop: SEC plan to register prop trading threatens liquidity
Rule change may also be a crypto landgrab by SEC chairman Gensler, critics say
Duck! Buy-side plan to dodge IM rules could backfire
Three-quarters of phase six firms do not expect to exchange margin for at least six months
How banks got caught in Archegos’s web of lies
Risk managers quizzed and confronted the firm, but lawsuits claim they were “systematically misled”
Fortunes of VAR: dealers decry effect of war on risk models
European banks with large Russian derivatives exposures face risk of backtesting exceptions – and higher capital requirements
What’s up with the docs? Isda aims to set standard for crypto
Industry body looks to standardise digital derivatives documents, but some wonder if it is best placed to do so