Risk magazine - Apr 2016
Articles in this issue
CCPs must be able to haircut initial margin in a crisis
Initial margin is the best source of liquidity for CCPs in a crisis, argues Irish central banker
New research shows FVA is not part of P&L – Duffie
Pricing experts defend practices that resulted in huge FVA losses
Traders shocked by $712m CVA loss at StanChart
Bank’s new methodology has been used by some rivals for more than a decade
US end-users risk tax hit in move to daily settled swaps
Changing treatment of variation margin could benefit banks, but hurt clients
Network theory takes root in post-crisis financial markets
Developments since 2008 open up exciting possibilities, says Kimmo Soramäki
UK narrows carve-out for swap bail-in clauses
Non-EU derivatives contracts will have to be amended, say lawyers
Cross-dependent volatility
Julien Guyon introduces cross-dependent volatility models and calibrate them to market smiles
Industry fears grow ahead of Basel IRB consultation
Biggest share of bank capital at stake as regulators take aim at credit models
People: Three senior forex managers leave Citi
Citi loses three in London office; RBS head of markets departs; Serafini joins Ice; and more
Banks brace for assault course of FRTB implementation
Dealers face test of endurance to win model approval and avoid penal standardised charge
Why raiding CCPs’ initial margin would be bad policy
A wounded CCP should not have a claim on users’ assets, says hedge fund group
European dealers wrestle with corporate CVA changes
Banks say prices already diverging; CDS market could be impacted
Dealers 'getting very creative' ahead of FRTB implementation
FRTB will force banks to rethink the structure of their businesses
Liability-side pricing of swaps
Wujiang Lou presents a framework to compute recursive CVA and FVA via Monte Carlo simulation
Banking redefined: Helping clients succeed in the new market structure
Sponsored Q&A: UBS
End-users shun ‘broken’ US swap market
Negative swap spreads forcing hedgers to look for alternative instruments
When it comes to correlation, cleaning is a chore that pays
Recent trends in research may help firms obtain reliable correlations from limited data
Cleaning correlation matrices
Bun, Bouchaud and Potters present a technique that allow cleaning in-sample noise from correlation matrixes
Post-Libor squeeze could stifle benchmarks, industry warns
Obligations set to mushroom for administrators and contributors
Crying wolf on CVA?
Standardised approach will hit corporates – but it's not clear that capital will jump
