Risk magazine - Aug 2018
Articles in this issue
Regulatory arbitrage: a crime, or a warning?
It could be unwise to ignore disproportionate regulatory impacts on specific business lines
FCA could kill off Libor, says Bailey
Warning breaks new ground, provoking immediate responses at CFTC meeting
First SOFR swaps trade as banks test new benchmark
First OTC trades include two basis swaps and an OIS trade, with JP Morgan thought to be a counterparty
Clearers diverge on SOFR swaps discounting
CME switches to new rate for clearing; rival LCH stays with Fed funds
French regulator voices doubts on Europe’s FRTB timeline
Federal Reserve warns EU delay would force US to reconsider 2022 implementation
Trade war threatens Korea autocall losses
Dealers warn of $240 million in hedging losses if HSCEI index slides further
Eonia woes hold up euro swaptions switch
Eleventh-hour derailment for project that has been in the works for a year
Brexit threatens some swaptions trades
Force majeure clauses could be triggered on physically settled contracts
GDPR uncertainty could spell trouble for machine learning
Advisers warn of discrepancy in advice to regulators over automated decision-making
People moves: Barclays names ‘digital’ leaders for markets, JP Morgan promotes Fernandes, and more
Latest job changes across the industry
Shut the window: EU Parliament tackles leverage loophole
EU banks may have to calculate leverage ratios daily, potentially hitting their repo market share
Branching out: foreign banks seek shelter from Fed rules
Foreign banks stashing repo businesses within their branches, outside Fed’s full gaze
Benchmark bother: Europe frets over new risk-free rate
Unsecured fixing from ECB faces off against two repo-based rates, as 2020 benchmark deadline looms large
To Hull and back: a 20-year hiatus in bank e-trading plans
In the 1990s, banks tried to buy automated trading expertise; now, after a long break, they’re trying to build it
Machine earning: how tech is shaking up bank market-making
As banks get serious about e-trading, humans are being asked to give up their secrets to the machines that could replace them
Regulators bristle at slow progress on BCBS 239
Three out of 30 banks compliant with six months to go; talk of capital add-ons for laggards
UBS’s CRO on the hunt for hidden risks
Swiss bank has rung the changes in its attempt to catch hard-to-measure risks, but “you are never safe”, warns Christian Bluhm
Korea autocall dealers brace for losses but no 2015 repeat
Traders dampen fears of hedging wipeout despite 20% drop in HSCEI underlying index
The sharing economy comes to banking
A start-up some are calling the Airbnb of capital is bringing a Silicon Valley idea to Wall Street
Dealers slam ‘nonsensical’ treatment of forex derivatives
Proposal on US swap dealer threshold rekindles debate on definition of NDFs and window forwards
Life after London: AMF urges revived capital markets union
French regulator wants supervisory convergence, examines Mifid II impact on market transparency
Passive funds turn predator in pursuit of pricing edge
State Street, Amundi, HSBC sharpen trading tactics to exploit index changes
Best execution in Asia faces data deficit
Lack of trade information undermines Mifid-style shake-up of investment activities
Asian LNG derivatives trade surges on increased hedging
Expectations grow that a long-awaited Asian gas derivatives market is emerging
Slow reactions: the long road to smart demand response
Decentralisation of electricity grids are proving a challenge to firms
Why robo-advisers need artificial stupidity
Smarter algorithms can’t stop us making bad investment decisions – yet, writes Andrew Lo
Stress test results show Fed toughening up
Median post-stress ratio of 7.9% the lowest pass mark to date
Foreign banks outperform US peers on CCAR
IHCs report 11.1% average post-stress capital ratio
Tired of overshooting, BNY Mellon revamps stress test model
Capital distributions crimped by conservative CCAR estimates
EU banks get different MREL levels and deadlines
Average bail-in requirement is 28% of RWAs
US banks cut available-for-sale portfolios
Securities classifications have shifted materially since AOCI filters were removed in 2014
CCPs build their liquidity buffers
$26 billion increase in deposits entrusted to commercial banks
Op risk data: SocGen suffers twin blow with Libor, Libya losses
French bank takes top two slots in monthly loss data roundup. Plus review of H1 losses. Data by ORX News
Credit data: Trump tax cuts have not hurt US states
Tax package is double-edged sword for US states, but credit has strengthened over past year
Swaps data: OTC margin up; futures margin down
Swaps initial margin jumps 22% year-on-year, against surprise fall in futures margin, writes Amir Khwaja of Clarus FT
How old calibration techniques can be applied to exotics pricing
SocGen quants propose technique to more accurately calibrate exotic options
Equity modelling with local stochastic volatility and stochastic discrete dividends
SocGen quants calibrate local stochastic volatility models with stochastic dividends
Newman: why commodities will stay OTC
As he retires, Icap Energy founder on his acid test for picking emerging markets, and the promise of LNG derivatives
