Risk magazine - April 2015
Articles in this issue
Full capital structures allow revival of synthetic CDOs
Managed deals could be next, but market's potential is expected to be limited
Time to see models and shocks for what they are
Market shocks are earthquakes, not a game of roulette
O’Malia: Swap data fix requires global library
Frustrating, costly, inefficient – but swap reporting can be fixed, says Isda CEO
EBA warns banks to correct pension fund CVA ‘mistake’
Clearing test has to be met for CVA safe harbour to apply, lawyers say
Q&A: Finansinspektionen's Uldis Cerps on capital floors and too-big-to-fail
Floors framework should not overstate risk, says Sweden's bank supervision chief
Unclear incentives: do capital and margin rules support CCPs?
Regulators see incentives to use cleared swaps; critics claim analysis is flawed
Profile: Citadel's Hamill on the fight for swaps market share
New entrant is making prices - and hedging - electronically
Cutting edge introduction: Funding holes in Black-Scholes
HSBC quant builds funding costs and haircuts into Black-Scholes option pricing formula
Dark pools and platforms vie to fix credit markets
A side-effect of tough bank capital rules could be the rise of dark pools for credit trading
FVA: How six smaller banks do it
From ING to Danske Bank, regional players are taking part in the FVA debate, but practices are mixed
In-depth introduction: Clearing incentives
Price hikes at Goldman Sachs show how much pressure FCMs are under
Collateral makes the world go round
Sponsored feature: Clearstream
The black art of FVA, part III: a $4 billion mistake?
Quants argue banks are inflating FVA; Crédit Agricole among those weighing new approach
Robert Litterman: lessons from the quant quake
Ex-Goldman partner says size, crowding and equity risk are bad for quant funds
Putting FVA in a cage
If banks can't standardise funding charges, accountants or regulators should step in
Q&A: the Bundesbank’s Andreas Dombret on small banks, big banks and shadow banks
Supervisors are “miles” from being able to monitor shadow banking risks, says financial stability head.
