Risk magazine - December 2015
Articles in this issue
Irish central bank warns of swaps market shut-out
Official says current clearing capacity “will be saturated” by Emir demand
IFC risk management directors wrestle with strong dollar
Weak emerging markets and commodities downturn are also posing a challenge
Treasury repos may hit 20bp under DTCC liquidity plan
Repo CCP's committed liquidity facility could force price hike
Europe edges closer to final Emir clearing timeline
Deadline could arrive in mid-June; pressure to resolve EU-US dispute grows
Banks held back e-trading for swaps, new lawsuit alleges
Icap and Tradeweb also named as defendants
Year of the XVAs: top technical papers and authors of 2015
Funding valuation adjustment under the microscope, along with other, newer XVAs
FRTB: the nightmare before Christmas
Unwanted gift will be delivered, say regulators, and only its size is up for debate
CVA with Greeks and AAD
Reghai, Kettani and Messaoud present new technique to calculate CVA using adjoints
EU members of US options CCP face $30bn capital hit
OCC fears approval will be held up by absence of SEC clearing rules
Isolating a risk premium on the volatility of volatility
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
‘There’s room for two’: reactions to Tullett/Icap deal
Hard work – and risks – facing voice specialist, say dealers and brokers
Correlation skew via stochastic correlation and jumps
Valer Zetocha introduces a correlation model based on the Jacobi process with jumps
Banks clamp down on pre-hedging over manipulation fears
Front-running concerns could leave market more exposed to liquidity risk
Cutting edge introduction: Monetising out-of-the-money
Out-of-the-money options contain a hidden premium, says one quant
Fundamentally fraught: the chaotic last weeks of the FRTB
Quick fixes should have no place in a sweeping three-year reform project
Risk management: different industries, different drivers
Energy firms get wise on credit risk; asset managers tackle op risk
StanChart undergoes shake-up in forex, rates and credit
Gulabani leaves Standard Chartered; Bagguley promoted at Barclays; Santander hires new forex head; and more
