Risk magazine - Dec 2021
Articles in this issue
Libor battles aren’t over, but the war is won
Transition will shift into new phase next year, leaving systemic threats behind
US megabanks lead push for agency clearing in Europe
Clearing through agency model would cut US lenders’ G-Sib capital surcharges
EBA warns banks over loan-loss model tinkering
Senior executive says methods of adjusting IFRS 9 models to “smooth” outputs should be investigated
BoE hints at retaliation if EU derecognises UK clearing houses
Warning follows release of new BoE proposals for assessing foreign clearing houses
Single-name CDS trading bounces back
Volumes are up as Covid-driven support fuels opportunity for traders and investors
Loan markets call for clarity on scope of US Libor ban
Regulators must address “grey areas” in uncommitted facilities, urge participants
People moves: Barclays switches CEO in post-Staley refresh, and more
Latest job changes across the industry
Bumpy ride expected as Libor reaches end of road
Heavy reliance on contractual fallbacks leaves market facing series of post-cessation risks
Basel crypto rules: bad for traders, good for risk managers?
Practitioners divided over potential bank capital treatment for assets with no intrinsic value
Copping out on climate change: buy-side risk survey
Only 9% say front-line staff have climate role today – specialists call for better metrics and link to pay
The perfect climate risk metric does not exist
Buy-side risk survey 2021: Even the keenest searches fail to find a reliable system of climate disclosure
EU’s new carbon-scoring metric bedevils investors
Buy-side risk survey 2021: Evic could have harmful consequences for green investing
How State Street came to vote against polluting companies
SSGA will vote against companies that do too little on climate, but won’t abandon them entirely
Debate erupts over bitcoin’s US reg status
Commodity, currency or security? Experts question cryptocurrency’s asset class after El Salvador move
Climate scenarios: carbon price shock sees asset prices slump
Crowdsourced scenario analysis suggests very few sectors safe from a post-COP carbon price pop
Demand for ESG structured notes spells hedging pain for banks
As products linked to niche equity indexes grow in popularity, banks grapple with vol risk they pose
Does regulators’ favourite climate risk metric measure up?
FSB and Basel Committee back climate VAR, but practitioners will take some convincing
In over their heads? How greenwashing overwhelms regulators
Difficult to identify and difficult to prove: asset managers doubt regulators’ ability to crack down
Lack of quants dims chance of structured product boom in China
Quants in high demand as banks explore new products, and local rules call for onshore specialists
Systemic banks: black boxes on green issues
Less talk and more action needed around climate disclosures linked to carbon emissions
Bank of America, BNY Mellon incur VAR breaches
The second consecutive backtesting exception for the custodian bank brings it closer to a higher multiplier
JPM, BNP Paribas and Goldman hit with higher capital surcharges
Banks slapped with extra 50 basis points of capital add-on
Rate of centrally cleared CDSs hits record high
Multi-name products drove increase in first half of 2021
Libor basis swaps jump amid rates uncertainty
Trading in the one-month, three-month basis highlights the market’s preference for Libor
BoComm, Nomura and Citic near G-Sib designation
Dealers could all become members of the club next year if trend continues
Most G-Sibs fail to disclose financed emissions
None of the world’s top 30 banks disclose climate impact of their whole portfolio
Degree of influence 2021: XVA marks the spot
Research into valuation adjustments is back on quants’ to-do list
Follow the moneyness
Barclays quants extend Bergomi’s skew stickiness ratio to all strikes
Sticky varswaps
Bergomi's skew-stickiness ratio is extended to the setting of variance swaps
Multi-horizon forecasting for limit order books
A multi-step path is forecast using deep learning and parallel computing
TD Bank’s CRO on the importance of staying nimble
Downturn readiness exercises helped bank weather Covid credit shock
