Risk magazine - Aug 2019
In this month’s issue: Deep hedging and the end of the Black-Scholes era; the forex code and last look; CCPs ponder life after Span; and much more
Articles in this issue
The machines are coming for your pricing models
Deep learning is opening up new frontiers in financial engineering and risk management
Dual IM relief may slash 2020 docs burden by 90%
Isda sees around 8,000 counterparty relationships lifted from phase-five repapering
LCH plans October 2020 SOFR discounting switch
Cash and basis swaps will reverse value transfer on US dollar derivatives
Sterling RFR group urges Eiopa to end mismatch on rates
In letter, group points to discrepancy in requirement to use Libor-linked rates as Libor fades out
JP Morgan first to issue SOFR-linked preferred stock
BofA, Goldman Sachs and others are also preparing for Libor’s end
Sonia users face three-way choice in term rate
Trio of rival forward-looking versions of sterling Libor successor set to be available
LCH tightens harness on market experts in defaults
CCP sets punctilious rules for loaned traders to be ready for defaults – or to pre-empt them
Singapore banks begin to phase in XVA
DBS, OCBC and UOB start using valuation adjustments, but face hedging hurdles for CVA
People moves: Ritchie steps down at Deutsche; Lynch takes Emea role at TP Icap, and more
Latest job changes across the industry
Deep hedging and the end of the Black-Scholes era
Quants are embracing the idea of ‘model free’ pricing and hedging
Fed turns up heat on dollar repo dodge
New liquidity rules for foreign banks’ US branches may be hard to stop, but can be softened
Gaps emerge in US plan to regulate non-bank systemic risk
Former regulators say FSOC may struggle to measure systemic risk in repo, loan markets
Banks queasy over idea of building cyber trust
They agree that sharing intel on cyber threats is a good thing. But that doesn’t mean they want to
Trading venues could help enforce the forex code
ECNs have the power to boost last look disclosures, but aren’t keen to be the code police
Forex ‘last look’: how non-banks stack up
Research shows patchy disclosures, plus differences from banks on pre-hedging and rejected orders
How the top 50 dealers tackle forex last look
Uneven disclosure practices are making life difficult for agency algos and ECN trading
Q&A: CFTC’s Behnam on tackling market risk in climate change
Commissioner wants to see new derivatives products to help mitigate climate threat
Is there safety in numbers for op risk? One regtech thinks so
Acin’s library of op risks allows banks to compare their controls with their peers’
FRTB internal models in fight for survival
Basel III capital floor leaves banks struggling to justify own-models approach, say risk experts
The great migration: CCPs ponder life after Span
As CME moves to a value-at-risk methodology, CCPs that license its model look on nervously
Sovereign spreads and Target2 anomalies
Widening risk imbalances between eurozone member states threaten monetary union, says Italian regulator
BoE is going to curb Libor collateral. But how much?
Harshest of three ideas to shift market to Sonia would largely ban Libor collateral from its market ops
Swaptions face valuation hit on discounting switch
Move to new reference rates could hurt some swaptions holders, while others enjoy “windfall gain”
Synthetic securitisations and Europe’s capital sweetener
Regulator weighs high-quality label for synthetic deals, but without favourable capital treatment
How to adapt a bank for MPE resolution strategy
Senior SRB official suggests what is needed to prove resolution entities can operate separately
The rise of the robot quant
The latest big idea in machine learning is to automate the drudge work in model-building for quants
GAM Systematic’s Ewan Kirk is sticking to his guns
Have markets changed? “They always do,” says quant fund CIO
Energy firms grapple with rising customer risk
A case study on developing dynamic risk-based customer screening
‘Bad banks’ through the ages
How Deutsche Bank’s latest resolution unit stacks up
Big banks to bear brunt of Basel III reforms in EU
G-Sibs short €82.8 billion of Basel III capital
Post-CCAR share buybacks up 30% for US G-Sibs
Dividend up 18% on average following latest stress test cycle
Global cross-border lending accelerates
Lending growth to offshore centres surges to 5.3%
EBA data reveals disparities in LCR deposit-bucketing
Regulatory arbitrage concerns surface over classification of non-operational deposits
Op risk data: losses decline sharply in first half
Conduct losses account for most of $8.5 billion total. Data by ORX News
Credit data: no-deal Brexit threatens UK retail sector
Italian credits are improving, but banking sector is not out of the woods yet
Swaps data: Fed’s change of tack on rates fuels volume rise
Cleared dollar rates jump by half year-on-year, as LCH market share tightens
Fishing for collateral with neural nets
SocGen quant uses deep learning technique to optimise collateral substitution
Optimal posting of collateral with recurrent neural networks
Pierre Henry-Labordère applies neural networks to a control problem approach for managing collateral
SGX’s Koh defends clearing methods post-Nasdaq
Existing tools still work, despite external scrutiny on default management, says risk chief
