Risk magazine - Aug 2020
Articles in this issue
Consultation on Libor cessation expected in September
IBA must consult market before formal announcement can be made at year-end
Slump in €STR swap volumes at LCH leaves market guessing
Market participants are counting on July 27 discounting switch to revive key euro benchmark
Term SOFR rate still possible this year, benchmark firms say
Administrators target year-end benchmark trials despite low swaps liquidity
Banks eye post-pandemic shake-up of op risk scenarios
Firms seek better handle on impact of global shocks, and hope to avert regulatory attention
Asia collar financing surges on back of Covid-19 volatility
Options-based structures gain ground on margin loans – and dealers say it may be a structural shift
No Mifid equivalence for UK at end of Brexit transition
Footnote reveals assessment delay beyond January 2021, piling pressure on London-based firms
EU’s Brexit clearing grab slow to lift off
Clearing members say clients aren’t transferring material volumes from LCH to Eurex rapidly
People moves: Eurex picks Peters as CEO, Citi appoints Italy duo as MSS co-heads, ORX reshuffles board, and more
Latest job changes across the industry
UK’s tough legacy fix spells trouble for US Libor transition
FCA will have little control over how synthetic Libor rates are used in other jurisdictions
Stuart Lewis, Deutsche’s survivor, confronts Covid-19
CRO talks loan reserves, VAR breaches, and the lessons of a lurid past
‘Improving’ Mifid post-trade transparency splits markets
Mooted changes to Europe’s transparency regime are dividing markets – largely along functional lines
Rethinking compliance – New approaches to conduct risk and surveillance
Improper behaviour by employees of a financial institution that has the potential to contribute to market instability – known as conduct risk – can have severe financial, regulatory, legal and reputational ramifications. This Risk.net webinar, in…
Before and after the Covid-19 storm: buy-side risk survey
Wide-ranging survey reveals what worked and what didn’t in March – and what will change as a result
Pimco’s Mariappa on iterating through the Covid-19 crisis
Buy-side risk survey: bond giant’s risk head is paying closer attention to idiosyncratic risks
Why investors are stuck with flawed VAR models
Buy-side risk survey: VAR wasn’t much use in March, but it is ingrained in the industry
Mariner’s CRO on avoiding predictable surprises
Buy-side risk survey: relative value specialist builds shocks into investment strategy
Preparation paid off for funds during Covid liquidity crunch
Buy-side risk survey: how asset managers weathered the liquidity crisis in March
AllianceBernstein’s CRO on managing risk with imagination
Buy-side risk survey: Andrew Chin suggests ripping up old assumptions and creating crisis ‘playbooks’
IFRS 9 and the loan loss lottery
As reserves for bad loans balloon, banks grapple with measuring Covid-era credit risk
Managing financial risk in cross-border emerging markets M&A
BNP Paribas’ Djamel Bruimaud, strategic sales lead for foreign exchange and local markets for European corporates, and Stephane Benhamou, head of forex and rates solutions sales, France, discuss the creation and execution of a hedging solution designed…
Concerns roil prop clearing waters in wake of ABN losses
State-backed lender insists few clients have defected – but sharks circle, post-Parplus
Eurex passes volatility test with flying colours
Eurex explores how Covid‑19 volatility across the industry has tested market participants’ resilience, and how the central counterparty itself has proved its credentials as a reliable and sustainable euro liquidity pool
Investors rethink ops resilience for a pandemic-proof future
Shift to remote working sees asset managers focus on comms, tech and cyber risks
Dealers eye model change to cure CVA capital headache
With hopes of EU regulatory carve-out fading, some banks are taking matters into their own hands
Asia debt market suffers SOFR inertia
Issuers of floating rate notes stick with Libor in absence of term version of risk-free rate
SA-CCR adoption may spur wider FX swaps clearing
With up to 90% lower exposures on offer, dealers say capital benefits could outweigh margin costs
Transparency vs clarity: the Mifid swaps conundrum
Participants want better OTC transparency, but say Esma’s efforts at clarity could muddy the picture
Q&A: New York Fed’s Stiroh on climate change and Covid
Co-chair of Basel task force discusses possible supervisory approaches to climate risk
Why a European bad bank may not be the right answer
Types of loans most likely to become distressed due to coronavirus don’t suit EU-wide solution
Ethical funds balk at Europe’s new disclosure regime
Proposals for 32 reporting criteria are “unmanageable”, complain asset managers
Severe Covid recession could topple some EU banks
One-quarter of lenders would see CET1 ratios fall below 6.8%
Systemic US banks put aside $35bn for credit losses in Q2
JP Morgan takes a $10.5 billion provision charge alone
Lawmakers have to sort ‘tough legacy’ Libor products – survey
Challenges agreeing contract amendments and lack of term rates for the risk-free alternatives are also barriers to transition
Following Fed relief, SLR bonds loosen for top US banks
Billions of Tier 1 capital freed by tweak to ratio’s denominator
Mark-to-model assets spiked at eurozone banks in Q1
Level 3 derivatives assets increased 52% quarter-on-quarter
BNP tags €10bn of equity derivatives as hard-to-value
Over 12% of exposures classified as Level 3 at end-June
Spotting co-movement breakdowns with neural networks
Autoencoders can detect changes in relationship between assets in real time
Detecting changes in asset co-movement using autoencoders
ARR aims to anticipate volatility patterns to provide signals for risk management and trading
Libor replacement II: completing the generalised FMM
The FMM is upgraded to model the full term structure, pricing all possible bonds and the bank account
A new arbitrage-free parametric volatility surface
A new arbitrage-free volatility surface with closed-form valuation and local volatility is introduced
Why a top quant wants to be wrong about markets
Former Pimco quant Rebonato sees weak returns, inflation and sovereign debt troubles ahead