Risk magazine - Apr 2025
Cover detail:
Shihang Zheng
The City: 3, Acrylic on canvas, 75 x 100 cm
www.anne-mariebainbridge.co.uk
am.b@btopenworld.com
Articles in this issue
Inside the week that shook the US Treasury market
Rates traders on the “scary” moves that almost broke the world’s safest and most liquid investment
Trump tariffs turn swap spreads into ‘pain trade’
Hedge funds bet big on Treasuries to outperform swaps. The opposite happened.
EU firms fear dollar liquidity becoming tariff bargaining chip
Eurozone banks rely on dollars for 17% of funding; trade war escalation could affect access
FX liquidity ‘worse than Covid’ amid tariff volatility, dealers say
Available liquidity for single clips dropped to as low as $20 million ahead of tariff pause
Hedging playbook goes ‘out the window’ as Trump tariffs slam markets
Dispersion, put spreads and VKOs paid off as stocks plunged, but outlook remains wildly uncertain
Treasury selloff challenges back-office systems, data feeds
FIS and Trading Technologies suffered downtime during peak activity
DeepSeek success spurs banks to consider do-it-yourself AI
Chinese LLM resets price tag for in-house systems – and could also nudge banks towards open-source models
Dodging a steamroller: how the basis trade survived the tariff tantrum
Higher margins, rising yields and stable repo funding helped avert another disruptive blow-up
Trump tariffs sent FX options traders on a wild ride
As US assets sold off, dealers found themselves on the front lines of a hedging scramble
CFTC takes red pen to swaps rules, but don’t call it a rollback
Lawyers and ex-regs say agency is fine-tuning and clarifying regulations, not eliminating them
Patience pays off for XVA desks in wild week of tariff swings
Dealers avoided knee-jerk reactions that could have caused credit spreads to widen further
Amid tariff turmoil, banks warned not to fudge IFRS 9 overlays
Flip-flopping US policies challenge loan loss provisioning models; EU regulators take watching brief
Trading desks want regulators to face down the NMRF monster
Rule-makers in Australia and the European Union are open to changes to the unpopular FRTB test
The end of the world, or an artificial crisis?
Bimodal tariff threat leaves investors grappling with uncertainty
Can Europe’s FRTB refurb bring banks back to Club IMA?
Softening the NMRF regime permanently might have the most impact, but the output floor still hurts
Top 10 op risks: AI arms race leaves risk teams playing catch-up
As firms invest for fear of being left behind, op risk managers urge caution on data, controls and access
Top 10 op risks: Why cyber risk looms larger than its losses
Fast-moving threat landscape and increased supplier concentration keep infosec top of the table
Top 10 op risks: For change management, the cloud is its own weather front
As lenders move legacy banking to the cloud, the risks of getting it wrong are exponentially greater
Configuration and control: next-level risk analytics for alternative assets
The evolving needs of traditional and alternative asset industries
Op risk data: Luna crypto chicanery shrinks Galaxy coffers
Also: Down under and dirty – motor finance scandal comes to Oz, and 2024 in review. Data by ORX News
JP Morgan’s equity and commodity VAR soar to five-year highs
Trading risk gauges jump 150% and 190% amid Q1 trading flurry
Index CDS trading nearly doubles as tariffs spook market
Turnover ebbed in single-name contracts as iTraxx and CDX volumes climbed rapidly last week
CCP default funds 35% larger than on eve of pandemic
Sixteen out of 25 clearing services had bigger buffers heading into the recent tariff turmoil compared to Q4 2019
UniCredit tops Europe’s VAR breach leaderboard in 2024
Swedbank, Commerzbank and SocGen among model users repeatedly blindsided by volatility
US hedge funds post near-record low share of securities collateral
SEC data shows $3.66 trillion tied to posted securities at end-2024, down 10% in three months
J.P. Morgan Inverse VIX Futures ETN: a more intuitive approach to risk
J.P. Morgan’s new inverse Vix futures ETN, designed for a more stable risk profile
Getting a handle on model parameters
Mean reversion in rate parameters opens the door to dimensionality reduction
Estimating mean reversions in interest rate models
The speed of factors’ mean reversion in rate models is estimated
The WWR in the tail: a Monte Carlo framework for CCR stress testing
A methodology to compute stressed exposures based on a Gaussian copula and mixture distributions is introduced
Corporates keep the faith on net-zero goal
Large corporates’ energy transition includes trading and risk management in energy and commodities markets
