Risk magazine - Dec 2019
In this month’s issue: green risk weighting not quite in the balance; the dawn of MIfid III; the Risk Awards 2020; and a lot more
Articles in this issue
The backlash against green weightings
Banks get a lot of flak for not doing enough to mitigate climate risks
Sonia-Libor basis narrows after fallback verdict
Isda picks five-year median for spread adjustment, causing benchmark gap to tighten
Banks team up for ‘Ion replacement’ project
Consortium weighs building fixed income software in potential threat to Ion, the dominant vendor
First all-RFR cross-currency swap traded
Goldman Sachs and Morgan Stanley strike landmark €STR v SOFR trade
LCH won’t back single fix for swaptions switch
Clearing house pledges to “support” multiple solutions to discounting problem
JP Morgan turns to start-up to manage CME margin
Bank also weighing whether to bring its business at two other clearing houses on to Baton platform
Ice adds insurance to default waterfall
Protection promises partial recovery of guarantee funds at three CCPs
Credit Suisse uses neural nets to call minute-ahead forex
Bank encases AI in ‘control framework’ to curb risk and will stick to micro timeframe for now
Fed may push banks to share cyber loss data
Watchdog doesn’t rule out “mandatory collection” of data on causes and impacts
People moves: CRO Landy takes helm at Brevan, SocGen names new Asia chief, Murray out at Bridgewater, and more
Latest job changes across the industry
The problem with GRC
Boards may care more about products and profits than governance, risk and compliance (GRC). But without an effective GRC programme, the fun soon stops when trouble calls, says Michael Gibbs, chief executive of SureStep Risk + Analytics
Climate risk-weighting: the devil and the deep blue sea
Should capital charges be calibrated to climate risk? European banks test the waters
Why Europe’s markets might need Mifid III
Lawmakers leaning towards small-scale review, others call for fuller rewrite
Risk Awards 2020: The winners
BofA claims top derivatives prize; lifetime award for Benoît Coeuré; Goldman wins rates house
Derivatives house of the year: Bank of America
Risk Awards 2020: New home in Paris has brought more European clients to the Street’s most consistent markets franchise
Lifetime achievement: Benoît Coeuré
Risk Awards 2020: The departing ECB executive has helped transform eurozone financial markets
Quants of the year: Andrei Lyashenko and Fabio Mercurio
Risk Awards 2020: Quants extend Libor market model to accommodate backward rates
Interest rate derivatives house of the year: Goldman Sachs
Risk Awards 2020: US bank leads the way on SOFR, and gets creative to facilitate US insurer hedging
Currency derivatives house of the year: BNP Paribas
Risk Awards 2020: Bank seeks spot market insights to bolster forex options trading
Equity derivatives house of the year: Bank of America
Risk Awards 2020: Focus on risk spurred invention and made space for $2 billion Natixis deal
Credit derivatives house of the year: Barclays
Risk Awards 2020: UK bank showed flow strength in Thomas Cook default – and product range is growing
Inflation derivatives house of the year: HSBC
UK bank takes CPI to new heights, while using guarantees to get big RPI trades over the line
Structured products house of the year: Societe Generale
Risk Awards 2020: Volumes slumped across the Street; SG used Japanification theme to unlock demand
Risk solutions house of the year: NatWest Markets
Risk Awards 2020: UK bank blazes Libor transition trail; solutions span NPLs to forex forwards
Research house of the year: UBS
Risk Awards 2020: Swiss bank pushing its analysts to be more like scientists
Innovation in execution: Morgan Stanley
Risk Awards 2020: Odd-lot bot handles almost half of bank’s credit trades
Rates flow market-maker of the year: Citadel Securities
Risk Awards 2020: US Treasuries business in Europe stoked by credit rating addition
Equities flow market-maker of the year: Citadel Securities
Risk Awards 2020: US giant boosts client-facing European business into second spot by market share
Quant investor of the year: GAM Systematic Cantab
Risk Awards 2020: Cantab benefitted as diversification started working once more
Currencies flow market-maker of the year: Credit Suisse
Risk Awards 2020: Swiss bank shows block trading can still compete in the age of the algo
Hedge fund of the year: Hildene Capital Management
Risk Awards 2020: A high-return hedge fund weathers the storm in structured credit
Investment product of the year: Credit Agricole
Risk 2020: CMS 10-10 gives FRNs a much-needed coupon lift
Hedging adviser of the year: Chatham Financial
Risk Awards 2020: Hedge accounting solution helps Freddie Mac tackle P&L swings from loan hedges
Buy-side risk manager of the year: Vanguard
Risk Awards 2020: Fund giant gave more risk work to machines this year - from duration hedging to op risk
Sovereign risk manager of the year: Senegal’s Ministry of Finance and Budget
Risk Awards 2020: ADB guarantee cuts swap costs by 500bp, opening the door for a $1.4b forex hedge
Insurer of the year: Pension Insurance Corporation
Risk Awards 2020: Innovative regulatory capital bond gives PIC an edge
Bank risk manager of the year: HSBC
Risk Awards 2020: New market risk system proves its worth in a year of emerging market blow-ups
Credit portfolio manager of the year: NatWest Bank
Risk Awards 2020: Big deals and big ideas have helped transform stress-test laggard to leader
Rising star in quant finance: Blanka Horvath, Aitor Muguruza and Mehdi Tomas
Risk Awards 2020: New machine learning techniques bring ‘rough volatility’ models to life
Interdealer broker of the year: BGC Partners
Risk Awards 2020: Strong voice revenues are helping fund ambitious electronic projects
Exchange of the year: Eurex
Risk Awards 2020: Success of futurisation project powers bourse to global top spot
Exchange innovation of the year: CME Group
Risk Awards 2020: New equity index contracts most successful launch in exchange’s history
Clearing house of the year: LCH
Risk Awards 2020: CCP conquers Brexit threat to deliver banner year for RFRs, margin and forex
Clearing house innovation of the year: Ice Clear Credit
Risk Awards 2020: Clearing house lures fund business with efficient new Monte Carlo methodology
OTC client clearer of the year: Bank of America
Risk Awards 2020: Pivot to Europe pays off with market share growth and big client wins
Foreign exchange prime broker of the year: HSBC
Risk Awards 2020: UK bank manages risk in real time, while building tool to cut exposures up to 80%
OTC trading platform of the year: Tradeweb
Risk Awards 2020: To keep volumes growing, platform had to confront “incumbent’s dilemma”
OTC infrastructure service of the year: UnaVista
Risk Awards 2020: LSEG platform seals dominance in battle for European trade reporting
Law firm of the year: Allen & Overy
Risk Awards 2020: Not just "stodgy lawyers", fintech incubator gives A&O a headstart on automation
Technology vendor of the year: Murex
Risk Awards 2020: Firm bets heavy R&D spend will keep it ahead of shifting client needs
Fintech start-up of the year: Baton Systems
Risk Awards 2020: With four million FX trades since launch, the “institutional PayPal” now aims to free trapped margin
The end of the fintech gold rush?
Why did so many new fintech start-ups fail, and how can ‘fintech 2.0’ succeed, asks consultant
Bad clocks block forex best-ex
To get a good deal in fast-moving forex markets, buy-side firms need to know the time. Some don’t
Tradeweb’s IPO shows how OTC markets are changing
RFQ pioneer is embracing new protocols and liquidity providers in a bid to connect the OTC markets
Germany scrambles to shut the door on Mifid open access
Finance ministry will face fine timing to reverse clearing rule during its EU presidency
Banks feel chill of exposure from Fed’s SCCL
US rules on counterparty credit limit pose challenges for risk and regulatory teams despite proposed delay, says expert
Quants clone private equity: pale imitation or real deal?
Theory says replication can work, but investors are reluctant to give up private equity’s smoothed returns
Calls to hike climate policy raise risk for oil firms
Increased climate policy will put more oil and gas assets under threat of stranding
Yield-hungry investors shirk bail-in bond buffet
Banks fear the buy-side’s appetite for MREL debt is on the wane
Appetite for corporate credit risk grows at EU banks
Total credit RWAs increase 3.2% from end-September 2018 to end-June 2019
TD Bank added to too-big-to-fail list
The bank’s total exposures climbed 2.4% to €931 billion year-on-year
Top US banks fall short of Fed standards
Supervisor says bulk of outstanding problems for largest banks concern governance and controls
Four US banks on cusp of higher systemic risk charges
JP Morgan on track for a 4% systemic risk add-on
Goldman, BBVA and TD Group incur VAR breaches in Q3
US unit of TD Group endures four breaches in three months to end-September
JP Morgan takes axe to tough-to-model trading risks
US G-Sibs see market RWAs fall 4.1% quarter on quarter
Op risk data: $250m legacy loan frauds hit Bric banks
Also: costs from post-2012 cyber breaches top $2bn. Data by ORX News
Credit data: rising default risk for millennial companies
WeWork’s problems hint at the challenges facing companies focused on millennial customers
Swaps data: third-quarter clearing volumes increase across all asset classes
Dollar and euro rates clearing surges 60% year on year, but little shift in CCP market share
Degree of influence: Regulatory policies drive quantitative research
Counterparty risk and market risk hold centre stage, data science moves up, quantum computing debuts
Hedging rate exotics, Bergomi-style
New paper by Nomura quant applies volatility model used in equities to exotic rate hedging
The swap market Bergomi model
The combination of two popular volatility models sharpens the hedging of exotic rate derivatives
ADOL: Markovian approximation of a rough lognormal model
A variation of the rough volatility model is introduced by plugging in a different stochastic process
Stay ahead of the fixing lag
The price of fund-linked derivatives depends on the fixing lag of the underlying funds
Eastspring seeks to nurture growth with better data
Data mapping key to asset manager’s plans as parent pivots to Asia