Opinion
XVA: back to CVA?
Fundamental questions on CVA remain unanswered, writes mathematical finance head
Buyer beware: the FX code has not gone far enough
New standards for currency dealers have brought some big improvements, but many practices remain hazy
Quantum computing, central clearing and the leverage ratio
The week on Risk.net, February 24–March 2, 2018
Multicurve modelling is about to get more complex
Research into rates pricing is becoming more urgent given recent regulatory changes
Cash no longer king in European swaptions
Barclays executives explore weaknesses of current pricing formulas for cash-settled swaptions
Not the top 10 op risks
From gender discrimination to the next PPI, a veteran manager looks at forthcoming potential op risks
The top 10 op risks – a field guide
Survey should be read as industrywide attempt to relay and share worries anonymously
Mifid II, volatility and the top 10 op risks
The week on Risk.net, February 17-23, 2018
Bitcoin’s busy month
Bitcoin could give us a safer central clearing mechanism
Credit data: a tough year for South African financials
Default risk rose steadily for 36 firms during Zuma’s final months of rule, writes Credit Benchmark’s David Carruthers
Waiting for Giancarlo
CFTC no-action relief to be codified, but big changes on de minimis and position limits still distant
How Asia’s structured products dodged equities sell-off
Dealers deserve praise for improved structures, greater diversification and better risk transfer
Forex mispricing, Pillar 2 and the volatility trap
The week on Risk.net, February 10-16, 2018
Now casting: options traders needed for disaster movie
Gamma deserves share of spotlight in volatility drama
Swaps data: the monopoly effect in clearing
There are only a handful of products where clearing volumes are evenly split between rivals
Credit data: Brexit gloom lifting for UK companies?
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
Three ways to improve stress testing
Better scenario choice, iterative testing and top-down approaches could improve performance, says Ahraz Sheikh
Dollar cost averaging won't work for energy hedging
Long periods of losses make strategy impractical, says energy consultant
What causes forex correlation swaps to be mispriced?
UBS quants show prices can differ by up to 25 correlation points if products modelled accurately
Vix panic, op risk models and forex option clearing
The week on Risk.net, February 3–9, 2018
Monthly op risk losses: AML failings cost banks $1.1bn
Also: Japanese crypto exchange loses ¥58 billion in hack; Deutsche, UBS, HSBC settle spoofing claims. Data by ORX News
Time to move on from risk-neutral valuation?
Risk-neutral valuation could be replaced by models with a subjectivity element, writes mathematical finance head
Banking union: big bang or damp squib?
Eurozone needs package of interrelated measures to prevent project going backwards
Brexit issues for carbon market must be solved soon
UK departure from EU ETS is causing headaches for energy traders and risk managers, writes energy consultant