Risk magazine - Feb 2021
Articles in this issue
Options pricing framework buckles under GameStop frenzy
Wild retail trading sees calls sink below intrinsic value ahead of expiry as puts break spot correlation
Brexit drives swaps trading to US platforms
Lack of equivalence forces dealers to shift euro and sterling swaps out of European and UK venues
EU firms face margin threat as Brexit tips futures into OTC regime
Mid-2021 clearing, margin thresholds loom as LME, Ice futures lose exchange-traded status in EU
FCA sees ‘no case for delay’ on Libor cessation ruling
Synthetic Libor powers set for spring consultation as fallbacks become effective and IBA analyses cessation feedback
Nasdaq held Aas portfolio for nine months after blow-up
Swedish regulator reveals CCP’s decision to keep defaulted power portfolio – and claims it was not fully hedged
UK offers unlimited dark trading on lost EU stocks
FCA gives London dark pools an edge over EU rivals, but will fund managers use it?
People moves: new CRO at LCH, changes at Natixis investment bank, and more
Latest job changes across the industry
Held in suspense: late futures orders blamed for Covid meltdown
Buy-side use of average pricing contributed to rash of failed trades and give-ups last March
Fighting financial fraud with AI
Risk and compliance professionals convened for a Risk.net webinar, How to successfully mitigate fraud – AI in action, in association with NICE Actimize to debate the use of artificial intelligence in the fight against fraud
The slow corporate embrace of CSAs
Risk.net research finds 28 of 50 large companies now have CSAs – but has the trend run its course?
Quants find new ways to identify inventive companies
Novel uses of patent and other data could help tell trailblazers from phonies
2021 brings big changes to the carbon market landscape
ZE PowerGroup Inc. explores how newly launched emissions trading systems, recently established task forces, upcoming initiatives and the new US President, Joe Biden, and his administration can further the drive towards tackling the climate crisis
Risk Awards 2021: the winners
Final winners announced: Citi wins derivatives house, lifetime award for Ken Griffin
Lifetime achievement award: Ken Griffin
Risk Awards 2021: Citadel’s three-decade run reflects founder’s convictions about when to take risk – and how to manage it
Derivatives house of the year: Citi
Risk Awards 2021: digital bets and customer-centric model paid off during pandemic
Interest rate derivatives house of the year: Citi
Risk Awards 2021: pre-spring cleaning allowed Citi to meet client needs when Covid hit markets
Equity derivatives house of the year: Citi
Risk Awards 2021: US bank vaults into the top-tier, with some help from Garry Kasparov
Currency derivatives house of the year: BNP Paribas
Risk Awards 2021: long dollar inventory and global forwards e-book helped clients navigate March crisis
Credit derivatives house of the year: Credit Suisse
Risk Awards 2021: hedging before the crisis allowed bank to offer ample liquidity when markets tanked
Structured products house of the year: Credit Suisse
Risk Awards 2021: private bank tie-up provided vital risk-sharing outlet for Covid volatility
Inflation derivatives house of the year: NatWest Markets
Risk Awards 2021: warehousing capabilities created competitive edge in illiquid CPI market
Risk solutions house of the year: Santander
Risk Awards 2021: agile approach kept complex transactions on track during pandemic
Flow market-maker of the year: Citadel Securities
Risk Awards 2021: Palm Beach bubble allowed the firm to maintain crucial roles during March panic
Sovereign risk manager of the year: Italy’s Ministry of Economy and Finance
Risk Awards 2021: Italy’s CSA agreements allow it to issue in US dollars for the first time in almost 10 years
Bank risk manager of the year: Deutsche Bank
Risk Awards 2021: a leaner, smarter lender emerges from a decade of chaos
Credit portfolio manager of the year: BNP Paribas
Risk Awards 2021: lender crushes RWAs to keep taps flowing to corporate Europe during Covid crisis
Investment house of the year: Amundi
Risk Awards 2021: when the pandemic hit, Amundi moved quickly to cut risk and raise liquidity
Hedge fund of the year: Saba Capital Management
Risk Awards 2021: credit specialist proved its worth in the Covid crisis
Quant investment firm of the year: Nordea Asset Management
Risk Awards 2021: focus on tail risk – and a little ice in the veins – helped Nordea stare down Covid
Exchange of the year: CME Group
Risk Awards 2021: changes to options strikes helped CME avoid major mishaps in volatile 2020
Clearing house of the year: Eurex Clearing
Risk Awards 2021: clearer’s Prisma margin model proves its mettle in year of market tumult
OTC trading platform of the year: Fenics GO
Risk Awards 2021: hybrid protocol jumpstarts electronification of options block trading
OTC infrastructure service of the year: Capitalab
Risk Awards 2021: valiant effort to solve swaptions discounting problem wins praise from clients
Derivatives client clearer of the year: JP Morgan
Risk Awards 2021: bank avoided tech snags and margin call surprises that plagued peers during crisis
Foreign exchange prime broker of the year: HSBC
Risk Awards 2021: diligent approach to risk management brings new clients to UK bank
Hedging adviser of the year: Rothschild
Risk Awards 2021: restructuring effort helped Arqiva to slash its derivatives exposures by 40%
Research house of the year: Societe Generale
Risk Awards 2021: quant group’s tail-risk hedging strategies ‘saved the books’ of some big clients
Law firm of the year: Linklaters
Risk awards 2021: lawyers raced against time to draft fallback protocol vital to Libor transition
Risk innovation of the year: Credit Suisse
Risk Awards 2021: new analytics dash helped bank get ahead of op risk breaches during Covid crisis
Innovation in execution: Credit Suisse
Risk Awards 2021: Swiss bank’s AES platform excelled in US Treasury market during March turmoil
Technology vendor of the year: Murex
Risk Awards 2021: new models, huge volumes, remote working – but Murex hit 95% of development plans
Technology innovation of the year: Scotiabank
Risk Awards 2021: new risk engine can run nearly a billion XVA calculations per second
Rising stars in quant finance: Iuliia Manziuk and Bastien Baldacci
Risk Awards 2021: new research tackles ‘fundamental’ but largely ignored smart order routing problem
Quants of the year – Jim Gatheral and Mathieu Rosenbaum
Risk Awards 2021: rough volatility models could make the options market more efficient
Buy-side quant of the year: Alex Lipton and Marcos Lopez de Prado
Risk Awards 2021: optimal trading solution was inspired by concept used in nuclear cooling
Cherry-picking fears as banks pull negative rates commitments
As UK mulls negative rates, banks desert Isda protocol and traders warn of gaming the system
The hidden effects of stress on risk takers
Trader turned neuroscientist urges financial firms to monitor trader physiology, hire fewer physicists
Bonds fall from favour as shock absorbers for equity losses
Ultra-low rates force investors to rethink role of fixed income as diversifier
Repair the leverage ratio, revive the repo market
Domestic currency government bonds and repo should be exempted, suggests former supervisor
Union beckons for the three quant tribes
Studies may be deferred, but future for grads is bright, argues UBS’s Gordon Lee
Can CCPs zone in on improved margin buffers?
Dynamically adjusting margin add-ons could reduce cyclical funding demands
DBS chief executive on fighting tech disruptors with data
Asia Risk 25: Data and AI are top technology priorities for Singapore bank, says Piyush Gupta
BoE reassures foreign banks on post-Brexit booking models
EU banks that lost passporting rights after Brexit are unlikely to have to establish UK subsidiaries
My kingdom for the right copula
Copulas can still deliver if chosen with due attention to intuition and data, says quant fund chair
A European watchdog with more bark than bite
The European Central Bank’s soft approach could be storing up trouble for the future
EBA stress test to gird banks for long Covid depression
Real GDP projected to fall -12.9% from baseline by 2023
Four in five EU banks quizzed on credit risks in 2020
Covid panic exposed cracks in banks' credit models
At US G-Sibs, modelled RWAs outpaced standardised in 2020
Ratio of advanced approaches RWAs to regulator-set measure declined in the wake of the Covid recession
Credit risk of EU state-backed loans deteriorated in Q3
Almost 5% of public guarantee scheme loans are designated ‘stage two’
Systemic US banks drew down credit reserves in Q4
JP Morgan released $1.9 billion back into income alone
JP Morgan calls for SLR relief to be made permanent
Around 16% of the bank’s exposures were excluded from the ratio in Q4
Hedging valuation adjustment: fact and friction
Transaction costs’ impact on hedging can now be quantified
Solving final value problems with deep learning
Pricing vanilla and exotic options with a deep learning approach for PDEs
Inconsistent ESG scores force USS to make its own decisions
Pension fund needs ESG alternatives to bonds to help close its funding deficit
