Risk magazine - Apr 2021
Articles in this issue
Games of hazard: NSCC’s margin waiver sets bad precedent
By waiving a $2.2 billion cash call for Robinhood, members worry the NSCC may have dug itself a trap
EBA faces backlash over ‘green asset ratio’
Bankers reject proposed climate risk measure as flawed and even ‘dangerous’
Isda plans ‘modular’ RFR conventions
Swaps definitions will be updated in response to divergent compounding styles in loan markets
Basis spreads reprice as FCA confirms Libor end-dates
Fallback adjustments for US dollar Libor swaps were not fully priced in by the market
Non-cleared margin logjam looms after squandered delay
Fewer than half of phase five firms have submitted documentation necessary to open custody accounts
Funds breathe out as EU regulators ease ESG data rules
Majority of mandatory indicators become optional in final draft of sustainability regulation
New licence forces rethink over Australian trading presence
Overhaul of regime will drive changes to booking models for trades with Australian clients
People moves: facing the funds fallout music, CS changes chairs, and more
Latest job changes across the industry
Hero or villain? NSCC draws fire for Robinhood margin waiver
Fears of moral hazard after CCP waives billions in margin demands following meme-stock volatility
Dealers warn of trouble ahead as Treasury issuance swells
Repeat of February’s ‘Black Thursday’ likely if Fed ends leverage ratio exemptions, banks say
A bitcoin ETF could threaten the world’s biggest crypto fund
Regulated funds may suck away demand for Grayscale’s off-exchange investment trusts
EU bond issuance and the impact on the derivatives landscape
Risk and finance professionals convened for a Risk.net webinar in association with Eurex to discuss the impact of the European Union’s groundbreaking Support to mitigate Unemployment Risks in an Emergency – known as Sure – Next Generation EU bond…
Rough volatility’s steampunk vision of future finance
Some of the trickiest puzzles in finance could be solved by blending old and new technologies
The volatility paradigm that’s stirring up options pricing
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
Deep hedging strays when volatility gets rough – study
In the most realistic simulations, data-driven approach fared 30% worse than conventional hedging
CME looks to life after Eurodollars, as rivals circle
Eurodollar futures will die with Libor but there is no obvious ready-made replacement
Utility is success? Row brews over futures post-trade workflows
Industry confronts competing models and hard questions in search of better allocations workflow
Could private match-making sink public market?
Rise in internal hedging sparks debate over its threat to FX price discovery
US stumbles in pursuit of term SOFR
Flaky swaps liquidity sees June 2021 target slip; CME claims indicative settings already meet international standards
No short answer: hedge funds hesitate on Europe’s ESG rules
SFDR sustainability calculations leave firms uncertain how short positions should be disclosed
How sovereigns learned to live with two-way CSAs
Some say new collateral terms ensured access to markets during last year’s meltdown
Special K-factors: new buy-side capital regime sized to fit
Overhaul of capital regulations could hit European investors’ op risk capital calculations
Esma dithers over mandatory LEIs for repo collateral
The risk of no-trade lists due to SFTR hasn’t stimulated the uptake of LEIs outside Europe
CDS trading remains stubbornly human
Buy-siders sceptical of benefits of algo execution for credit derivatives
OTC FX options market gears up for faster electronification
Share of electronic trading remains low but host of factors promise to change that for good
Seismology models sound out safe ground for DG Partners
Quake technology helps quant firm time entry and exit points – and buck trend-following trend
Clear, concise, consistent, doable – rules for a risk policy
Effective risk policies may be elusive, but they’re a must, say two veterans of the art
What good are risk disclosures anyway?
Regulatory filings and shareholder reports offered no heads-up of Archegos’ troubles
Top US banks to lose out from end of SLR relief
Average G-Sib will see SLR decline 90 basis points using Q4 2020 figures
Fourteen EU banks face sanctions for poor market risk models
Twenty lenders lowballed capital requirements
Fraud op risk losses edged up at UK banks in 2020
An average 38% of losses by value last year were because of internal or external fraud
Five US systemic banks face higher G-Sib surcharges
JP Morgan to face 4% add-on; Wells Fargo a cut to 1.5%
Most EU banks use historical simulation approach to VAR
Few lenders favour Monte Carlo or parametric methodologies
Climate shocks could cut ‘polluting’ EU funds’ value by 20%
Esma researchers say carbon-intensive funds also pose more of a systemic risk
A look at future exposures, through a 19th century lens
Can a centenarian maths idea speed up the calculation of forward sensitivities?
The cost of hedging XVA
HVA is framed consistently with other valuation adjustments
Factor woes prove need for better timing – QuantZ’s Sharma
Investors should switch between factors as alphas change, says quant
