Risk magazine - Feb 2017
Articles in this issue
Thirty years of Risk magazine
Special features will look at the future of bank technology, quantitative research, risk transfer and regulation
JP Morgan to join Goldman in opening up risk system
Athena platform – built for JP Morgan's traders – could be available to clients in 2018
Buy-side firms seek ‘urgent’ VM relief
Two-thirds of firms have not signed any CSAs that comply with the new rules
EC could use thresholds to squeeze London euro clearing
Most euro clearing could be repatriated after Brexit without hitting other jurisdictions
EC gold-plating of FRTB raises risk of global divergence
Some interpret draft CRR II changes to NMRF framework as raising the bar for compliance
Mifid equivalence delay threatens Hong Kong dual-listed stocks
HSBC, Stan Chart and Prudential shares could face trading disruption in 2018
VM rules may spark Asian migration away from EU/US banks
Six-month transition could make inter-Asian trades cheaper, but only if liquidity is sufficient
LCH to clear single-name CDSs for US clients
Paris-based CDSClear already in discussions to onboard its first US FCM
Banks seek to standardise cross-currency settlement dates
Talks under way to exchange principal amounts on IMM dates to allow for greater netting
People moves: Credit Suisse’s Dainton departs
UniCredit promotions; Hazlewood leaves Deutsche; Goldman's CIO; senior forex hire at SG
Crowd trouble: the FRTB’s war on basis risk
FRTB will lead to build-up of risks around liquid benchmarks, dealers warn
‘Great rotation’ highlights clash over unseen risks in factor investing
Gaps in performance of apparently similar products rekindle debate on index construction
Forex swap margin treatment uncertain ahead of VM deadline
With one month to go, market participants are still unsure how to treat foreign exchange derivatives
Risk Awards 2017: The winners
Citi repeats derivatives house win; lifetime award for Yann Gérardin; LCH is top clearing house
Derivatives house of the year: Citi
Risk Awards 2017: Simple vision has taken rates business a long way
Lifetime achievement award: Yann Gérardin, BNP Paribas
Risk Awards 2017: Understated CIB chief helped build – and protect – today’s BNPP
Quant of the year: Jean-Philippe Bouchaud
Risk Awards 2017: Physicist takes on classic models with data and empirical research
Bank risk manager of the year: SG CIB
Risk Awards 2017: Bespoke stress tests helped navigate Brexit and autocallable pressure
Interest rate derivatives house of the year: Goldman Sachs
Risk Awards 2017: New macro group proves worth in Brexit and US election drama
Equity derivatives house of the year: Bank of America Merrill Lynch
Risk Awards 2017: Innovation helped bank get closer to originate-to-distribute model
Currency derivatives house of the year: HSBC
Risk Awards 2017: Clever approach to options pricing buoyed UK bank during Brexit uncertainty
Credit derivatives house of the year: Citi
Risk Awards 2017: US bank racks up $500 billion in book deals, $9 billion in CDS basis trades
Structured products house of the year: Credit Suisse
Risk Awards 2017: Bond repacks, op risk notes, LOCs – and a big reorganisation
Inflation derivatives house of the year: HSBC
Risk Awards 2017: Clearing, CSAs, CLNs, novations – UK bank's inflation business gets lean
Risk solutions house of the year: SG CIB
Risk Awards 2017: From African nations to Italian corporates, XVAs are an awkward new obstacle
Corporate deal of the year: Air Liquide and Barclays
Risk Awards 2017: Record-breaking contingent hedge accompanies complex, cross-border acquisition
Bank deal of the year: SG CIB
Risk Awards 2017: French bank found way to finance – and recycle – Czech mortgage bonds
Insurer deal of the year: Swiss Re and Credit Suisse
Risk Awards 2017: Insurer builds $1.9 billion buffer of off-balance-sheet rainy-day capital
SSA deal of the year: Fannie Mae
Risk Awards 2017: Mortgage giant refines risk-sharing deals as political landscape shifts
Rates flow market-maker of the year: Citadel Securities
Risk Awards 2017: New entrant showed swaps staying power as rivals fought back in 2016
Currencies flow market-maker of the year: XTX Markets
Risk Awards 2017: New-style market-maker defends old-fashioned virtues
Equities flow market-maker of the year: Citadel Securities
Risk Awards 2017: Chicago firm is trying to make the New York Stock Exchange more robust
Streaming liquidity provider of the year: XTX Markets
Risk Awards 2017: Ability to take risk and minimise market impact have helped the firm to build its direct liquidity business
Clearing house of the year: LCH
Risk Awards 2017: CCP enjoys stellar year for volumes, and demonstrates willingness to adapt following Brexit stresses
Clearing house innovation of the year: Nodal Clear
Risk Awards 2017: Bold decision to ditch VAR in favour of expected shortfall pays off
Exchange of the year: Eurex
Risk Awards 2017: Futurisation paying off as bilateral margin rules bite
Exchange innovation of the year: CME Group
Risk Awards 2017: Patience pays off with spectacular success of Ultra 10 Treasury futures
OTC client clearer of the year: Citi
Risk Awards 2017: FCM makes its voice heard as business booms
OTC trading platform of the year: trueEX
Risk Awards 2017: Innovation gives start-up Sef a foothold – and has forced incumbents to change
OTC infrastructure service of the year: AcadiaSoft
Risk Awards 2017: Hub receives 10 million lines of data daily under new margin regime and it has big plans for the future
Sovereign risk manager of the year: Treasury Directorate of Slovenia
Risk Awards 2017: ‘Visionary’ exercise required debt buybacks, new issuance and swap unwinds on the same day
Credit portfolio manager of the year: BNP Paribas
Risk Awards 2017: Guarantees and insurance help French bank cut RWAs by €3bn – and limit use of CDSs
Law firm of the year: Allen & Overy
Risk Awards 2017: Law firm played a key role in the struggle to meet the September 2016 margin deadline
Fintech start-up of the year: Beacon
Risk Awards 2017: Ex-bankers bring top dealer risk tech to the masses
Market risk technology vendor of the year (system): Murex
Risk Awards 2017: 30-year-old incumbent moves with the times
Market risk technology vendor of the year (specialist): CompatibL
Risk Awards 2017: XVA and reg specialist finds "perfect use case" for maths trick
Trading technology product of the year: FIS
Risk Awards 2017: Front Arena has kept clients despite two acquisitions and regulatory upheaval
In-house system of the year: Citadel
Risk Awards 2017: Futuristic control centre has transformed dialogue between risk and business
Banks seek to pry open CCP black boxes
Clarity on model inputs may have averted Brexit chaos, FCMs claim
Autocall hedging set to push Euro Stoxx volatility higher
Rising index likely to trigger increased volatility, say dealers
Cramped by cramdowns: national hurdles for EU insolvency plan
Proposal to harmonise rules on debt stays and holdout creditors touches on sensitive issues
Trump casts a shadow over US swap stays legislation
Changes to agency heads could delay or derail a vital part of bank resolution rules
Buy-siders weigh virtues of P2P repo
Tradition's platform is attracting interest, but obstacles remain to peer-to-peer repo
Questions remain after EC publishes position limits rules
Market participants raise concerns about extraterritoriality and hedge exemptions, while regulators are tipped to struggle
The right strategy for a head start on FRTB
Sponsored Q&A: Murex
Top 10 operational risks for 2017
Risk.net presents the top 10 operational risks of 2017, as chosen by risk practitioners
Risk managers: beware conventional 'wisdom'
Why the consensus view so often fails to predict seismic shocks
Hidden benefits of the Fed’s model validation push
Incidents such as the London Whale losses show an overhaul of model validation should be welcomed, not maligned
FVA: off the mark
With adjustments to increase, Darrell Duffie says dealers should improve weak valuation practices
Larger funds are net losers as outflows continue
Managed futures funds have seen biggest redemptions for three years
Intesa Sanpaolo takes $235 million hit for AML failures
Megan van Ooyen from SAS rounds up the top five operational risk losses for December 2016
Non-cleared margin requirements: The top five considerations
Sponsored feature: TriOptima
Why XVAs need to be factored into options pricing
Ignoring valuation adjustments could be storing up problems for the future
XVA at the exercise boundary
Andrew Green and Chris Kenyon show how the decision to exercise an option is influenced by XVAs
Identification and capitalisation of non-modellable risk factors
Adolfo Montoro, Tim Becker and Lars Popken propose techniques for systematically capturing and categorising non-modellable risk factors and risk-adequate aggregation
Natural hedges: swapping the City for New Zealand
After a decade in forex sales, Tony Beard now advises a Maori tribe on hedging
