Risk magazine - Aug 2016
Articles in this issue
Connecting the dots: how DTCC manages contagion risks
DTCC CRO Andrew Gray offers a template for managing the risk of interconnectedness
CCPs and Brexit: don’t forget the rest of the world
Losing equivalence with the US could be more serious than arguments over the location of euro clearing
Markets losing faith in STS securitisation plans
Participants consider issuing lookalike deals without the risk of regulatory penalties
Credit veteran rewrites the alphabet of risk modelling
Scott Aguais helps banks go from point-in-time to through-the-cycle, and back again
Indecent exposure: Fed limits threaten swaps liquidity
Unworkable due diligence rules may prompt G-Sibs to cut single counterparty exposures below 5%
Securitisation losses rattle peer-to-peer lenders
Marketplace lending hit by downgrades, legal worries and questions over structure of deals
Goldman vs LIA: derivatives profits were masked, court hears
Prosecution cites Risk article that first described practice of inflating client valuations
Props stopped: non-banks struggle to crack US swaps market
Teza, TransMarket, Virtu among firms held back by regulation and old market practice
Dealers wake up to MVA impact of new funding rules
NSFR will force dealers to term-fund initial margin at a time when margin volumes are climbing
US-European rift deepens on leverage ratio
FDIC rebuffs European calls to allow netting of client clearing margin in leverage exposure measure
People: Trio of senior execs depart UBS investment bank
UBS reshuffle; Icap chief exec departs; Green leaves Lloyds for Scotiabank
JP Morgan clients suffer in interbank repo basis blowout
Suspension of DTCC service leaves market "in uncharted territory"
Doomed loop: Europe gets creative on sovereign bond risks
Political and prudential risks in huge bond-holdings force experts to consider new ideas
Opened interest: foreign firms eye China's rate swap market
However regulatory and operational challenges set to slow growth
Why not having AAD needn’t be the end of the world
Optimisation method offers quicker and more focused way of making XVA calculations
DTCC’s Murray Pozmanter on repo clearing and HFT
Buy-side clearing a top priority following suspension of interbank GCF repo
Eurozone must lead search for doom-loop fix
Basel Committee working on sovereign risk, but eurozone has most at stake
MVA: swaps scale new heights in complexity
Banks are turning their attention to calculating a new derivatives valuation adjustment
Risk optimisation: the noise is the signal
Benedict Burnett, Simon O’Callaghan and Tom Hulme introduce a new method of optimising the accuracy and time taken to calculate risk for an XVA trading book. They show how to make a dynamic choice of the number of paths and time discretisation focusing…
Operational risk modelled analytically II: classification invariance
In a simple model, Vivien Brunel establishes the properties of an operational risk model under the requirement of classification invariance
The P&L attribution mess
FRTB model approval regime dogged by confusion and controversy
