Risk magazine - Dec 2016
Articles in this issue
SEC liquidity rule flawed, warn funds
Industry says revised measures could be gamed
Operational risk modelling – finally?
Sponsored feature: Elseware
Banks and CCPs clash over non-default losses
Banks balk at being on the hook for losses from investments or cyber attack, but many clearers say the risk should be shared
Dodd-Frank reforms tipped to survive Trump presidency
Risk USA: speakers split on whether new administration will ease regulations
Trump victory: market whipsaw could spell exotics losses
Seesawing markets prompt speculation of big losses for structured product issuers
Derivatives start-up aims to cut costs at margin hub
Ex-Morgan Stanley bankers’ offering aims to reduce daily collateral flows that currently top $200bn
Basel considered axing standardised approach to CVA calculation
Committee discussed axing standardised and basic approaches in recent months, sources say – but ruled out both
Losing the match: EU repo rules spark reporting fears
Repositories battling to improve matching rates for Emir trade reporting as SFTR looms
Regulators deaf to variation margin concerns, say dealers
Banks told they cannot lobby on behalf of clients over looming variation margin rules
Smart contracts face cleared world challenge, R3 Summit hears
Follow-on contracting not legally enforceable in some jurisdictions
European NSFR revamp could save banks billions in funding costs
Commission expected to ease pressure of liquidity ratio on derivatives positions when it unveils CRD V proposals
How will banks suffer large op risk losses in the future?
Eight interlocking trends mean more multi-billion-dollar losses to come
Ten commandments for alternative premia investing
What to watch out for when constructing alternative premia portfolios
Can quants defuse the pension time bomb?
Alex Lipton argues new quantitative methods are needed to solve the looming pension crisis
Op risk family tree challenges Basel’s business line focus
Cladistic analysis shows importance of control failure, crime and fraud
FRTB survey: risk transfer shake-up hits home
Dealers mull creation of dedicated risk transfer desks but approval process remains unclear
Degree of influence, 2016: capital matters
Capital, liquidity and XVAs are still the core of quantitative research in banking
M&A mania: deal-contingents re-emerge but risks remain
Price of forex hedges plummets as dealers flock to offer high-risk, high-reward product
FRTB survey: internal model approval tops list of bank fears
Two years on from its devising, chunks of the new market risk framework remain 'unworkable'
Docs shock: how dealers are tackling the VM deadline
Scale and complexity of negotiations raise fears many will be unable to trade from March
VM regime threatens explosion of small margin calls
Transfer threshold designed to avoid small payments is unworkable, critics claim
People: Deutsche’s Leake heads to Goldman
Gill departs CME; Mizuho bolsters quant ranks
OTC market resisting swap futures threat
Swap futures yet to break out, but backers see margin, accounting and Citadel as tailwinds
Beat equal weighting: a strategy for portfolio optimisation
Yong (Jimmy) Jin and Lie Wang propose an estimation method for optimal portfolio weights under parameter uncertainty
Implementing and capturing value from BCBS 239
Sponsored forum: Intralinks
Elasticity theory of structuring
Andrei Soklakov presents a product design theory that incorporates Bayesian information processing and risk aversion
VM showdown a clash banks could not win
Clients clinging to hard-won CSA terms, in face of dealer calls for standardisation
Thinking differently about FRTB
Sponsored feature: Numerix
Why risk aversion should be built into product structuring
Irrational behaviours that creep into product structuring can be controlled mathematically
Could a phase-in save FRTB?
Regional banks fear they will run out of time to implement FRTB, but a phase-in could set a welcome trend
