UBS
UBS wins approval for €32bn Brexit swaps transfer
Decision tests boundaries of deposit-taking element, after Barclays had part of its earlier transfer rejected
Caveats and slapped wrists in Barclays’ Brexit swaps switch
Judge blocks transfer of some trades from non-deposit taking entity and slams “unrealistic” timeline
Calling out autocallable pricing
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
Data mining, machine learning and problems with autocalls
The week on Risk.net, January 19–25, 2019
UBS warns of $6.5bn jump in credit RWAs in Q1
Credit and counterparty RWAs stood at $147.9 billion at end-2018, up $1.6 billion from the third quarter
Dabbling in data science won’t cut it
Banks are seeking data-led boost for research arms – only a few will succeed
Eurostoxx dislocations signal autocall hedging pain
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
Stock slump dents income, hikes VAR by 22% at UBS
Income from equity derivatives trading plummeted $47 million quarter-on-quarter
Banks bet on data to rescue research
Barclays, Morgan Stanley, UBS among those using data science to pep up their research offerings
Teach history to avoid mistakes of yesterday’s quants
Quant grads should be taught follies of LTCM, Gaussian copula and London Whale, writes UBS’s Gordon Lee
FBOs get smaller, simpler and easier to resolve
Foreign bank IHCs have shrunk between 16% and 41% since Q3 2016
Bank risk manager of the year: UBS
Risk Awards 2019: Bank heeds lessons of past structured products routs to navigate February volatility
Asia moves: BlackRock picks new Asia head, Credit Suisse boosts regional solutions, and more
Latest job changes across industry
Model tweaks, loan growth lift Swiss bank credit RWAs
Credit RWAs grow Sfr26 billion at Credit Suisse and UBS year to year
Cross-border risks drive European G-Sib scores
Basel method shows cross-jurisdictional activity makes up 30.8% of banks’ total G-Sib scores
Two banks begin moving swaps out of London, pre-Brexit
Part VII transfers underway as Barclays, UBS seek ‘big bang’ trade moves; clients warned of legal, regulatory questions
UBS names group head to advance data push
Swiss bank is known to be exploring commercial potential of client data
UBS hires Moussa from Credit Suisse for Asia QIS role
Imene Moussa to work on QIS and off-balance-sheet structuring across the region
Asia moves: Soc Gen replaces China head, Goldman names new partners, and more
Latest job changes across industry
Obstacles and opportunities in adopting cloud computing
Sponsored Q&A
People moves: Piterbarg joins NatWest Markets, Le Brusq leaves Natixis, and more
Latest job changes across the industry
Hong Kong stock slump hits CBBC desks
Surging volume and rising leverage expose issuers to gap risk on hedges
US ‘transfer restrictions’ take a bite out of UBS’s LCR
Overseas subsidiaries are holding more HQLA to meet local liquidity requirements
Asia Risk Awards 2018: The winners
High achievers in the fields of risk management and derivatives across Asia