News
CFTC flags global progress on swaps reporting standards
Common transaction identifiers close to completion, with product identifiers not far behind
No plans to scrap systemic insurer rules, says IAIS chair
A US regulator claims Europeans asked IAIS to chart own course after FSB moved to ditch G-Sii list
FRTB: Basel mulls capital relief for internal model desk fails
Market risk group member describes intermediate capital charge for desks that marginally fail the P&L attribution test
XVA quant Kenyon leaves Lloyds for MUFG
Kenyon jumps ship for similar role in XVA quant modelling
BAML and Morgan Stanley swaps drop $186bn on VM change
At least seven banks now using settled-to-market treatment for variation margin
Mifid II research unbundling hits Japan’s asset managers
Japanese and European investors may face different payment models for investment research
Chicago exchanges embrace crypto-currency
Exchanges' interest piqued, but regulators and some market participants hesitant
Banks apply machine learning to CCAR models
ML models benchmarked against traditional iterations to avoid ‘black box’ perception
Softened liquidity rule would still be ‘misguided’
Treasury proposals welcome, firms say, but watered-down SEC rule would leave risks unaddressed
Fed’s Powell: Libor death is ‘big stability risk’
Speaking to Risk.net, Fed chair nominee flags Libor dangers for FRNs, loans and other products
Citi hits hurdle in bid to apply China close-out netting
Chinese derivatives counterparties refuse to amend documentation to apply a netting opinion
Fed willing to listen on CCAR transparency calls
Central bank will seek industry input on bolstering transparency of stress test regime, says Quarles
New Brexit carve-out urged for legacy EU cleared swaps
Risk and default management of grandfathered portfolios required in any clearing relocation plan
Giancarlo: crypto-currency futures do not need new rules
CFTC chair says US regulators can oversee products using existing powers
Goldman swaps assets drop $140bn after margin change
Move follows guidance from US regulators; no word from Goldman on capital impact
AQR’s Cliff Asness: ‘machine learning worries me’
Leading quant cautious on machine learning’s use with limited data
Pimco calls for urgency on Libor transition
Bond giant wants SOFR rate published “sooner rather than later”; BlackRock raises questions over liquidity
CME to launch bitcoin futures
Client interest inspires fourth-quarter launch target for cash-settled contract
IMF ‘wrong’ to label Deutsche world’s riskiest bank
Co-developer of risk methodology used by IMF says it was misapplied when labelling bank riskiest G-Sib
Quintenz: former CFTC leadership failed commodities end-users
Commissioner says regulator “poorly defined populations and risk” under Obama administration
People: Genco opens Singapore office, hires head of major bulks
Recent changes at dry cargo, gas trading and gold market participants, among others
‘We’re being fed a line’: investors vexed by central bank influence
Buy-siders say central bank communications policies broke link between markets and political risk
Crisis alert: new model aims to give early warning of downturn
Academics say tool could offer policymakers up to three years’ notice of impending crash
Cecl pitting risk managers against accountants, says quant boss
Banks are ‘all over the place’ on modelling expected credit losses, says Regions’ Maglic