Risk magazine - Feb 2023
In this issue: IRRBB test will make many banks outliers; LCH Japan plans cause a stir; the Risk Awards; and much more
Cover detail: Elizabeth Wold, Don’t Sleep ‘Till Tomorrow,
Oil, acrylic, charcoal on hemp, 101.6x76.2 cm, 2020,
www.anne-mariebainbridge.co.uk, am.b@btopenworld.com
Articles in this issue
Clock ticking on UK plan for regulatory reforms
Changes to SMCR and short-selling rules least likely to be completed before next election
Ion cyber outage continues as banks use workarounds
ABN Amro, Macquarie, RBC among firms hit; ransom deadline tomorrow, but service may be down for days
Ion: after the hack, the clean-up
Some clients now using Ion systems again, but synchronising data with CCPs could take days
LCH scoops up Ice Clear Europe’s CDS clients
“A sizeable majority” of European CDS users are shifting their business to CDSClear in Paris
Rival TTF futures a threat to liquidity, fear energy traders
Plans by Ice and EEX to dodge EU price cap risk fragmenting the gas market
More EU banks will fail new IRRBB test as rates push upwards
Half of all EU banks could cross outlier threshold for new test of net interest income
ECB group sounds alarm on ‘sluggish’ Euribor
Money market participants question robustness of key eurozone rate after methodology changes
Treasury traders remain wary about adopting algos
Yet proponents insist US government bond market is ‘ready for disruption’
FX Smart Clearing at LCH ForexClear: solving SA-CCR capital challenges
LCH ForexClear explores how, with the standardised approach to counterparty credit risk increasing the capital requirements of banks’ FX portfolios, its FX Smart Clearing solution can reduce capital burden and achieve additional savings for members
People: Credit Suisse’s FX revamp; Barclays hires co-heads; and more
Latest job changes across the industry
All outliers now: Europe’s unflattering IRRBB test
Banks, fearing overreaction from supervisors, urge European Commission to reject NII-based assessment
LCH Japan plan signals new fight for global clearing model
UK-based clearing house faces “uphill struggle” against JFSA location policy on yen derivatives
Wanted: radical ideas for inflation modelling
Hedge funds echo Mervyn King’s calls for a new approach to inflation modelling post-2022 crisis
Ukraine nuclear scenarios: black enough for you?
A nuclear strike on Ukraine would open the door to the pit; our readers guessed how markets would fare, with surprising results
Risk Awards 2023: The winners
BNP Paribas takes top derivatives prize, lifetime award for Stephen Kealhofer, Nomura wins rates
Financial firms rethink after cyber insurance premium spike
Brokers say there are signs pressure is easing, but quantum hacking threat could transform market
Hedge funds doubt tall tales around UK short-selling review
FCA has never used powers to ban short-selling, but reporting tweaks would be welcome
Markets Technology Awards 2023: This year’s model
Vendors are offering greater modelling flexibility. What if that’s not enough?
Why central banks shouldn’t ignore stablecoins
Rapid growth of stablecoins could impair monetary policy transmission
It’s not easy being green: why the FX market is lagging on ESG
And what’s being done to fix it
Navigating the volatility and complexity of commodity markets
Commodity markets have experienced significant challenges since the Covid-19 pandemic, the conflict in Ukraine and the subsequent sanctions imposed on Russia. These unprecedented events have caused fluctuations in supply and demand, disrupted global…
Finma cools off UBS’s VAR model overhaul
Estimated $1.3bn RWA benefit temporarily offset by regulatory add-on
RBC, JP Morgan become top MMF repo dealers
BNP Paribas slips to third place after 10 months in top spot
CCPs’ largest members account for almost half IM
Analysis of 30 clearing services shows wide dispersion in concentration risk – with LCH and JSCC leading the pack
UK life insurers pass BoE stress test with 64% hit to surplus capital
Sector deemed resilient, but plausibility of some management actions questioned
BofA’s DVA losses inflated to $193m in Q4
Latest hit is largest since 2020, but still leaves positive result for 2022
OTC share of EU gas derivatives surges to 25%
Energy price cap may supercharge flight from ETDs and affect CCPs’ ability to manage risks, Esma warns
Transforming risk controls for next-level decision-making
In an exclusive Risk.net panel session, convened in collaboration with ServiceNow, experts discussed the unique challenges facing risk and resilience practitioners, and the utilisation of frameworks and risk quantification for optimal decision-making…
Collateralised exposure modelling: bridging the gap risk
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
Pricing in the gap risk of mini-futures
Mini-futures need to be priced and hedged taking sudden jumps into account
Leveraging data science for next-generation risk and P&L
Alexei Tchernitser, director of analytic solutions at Quantifi, discusses the impact data science has had on next-generation risk, and profit and loss (P&L)
Podcast: Zetocha on mini-futures (not those) and illiquid options
Julius Baer equity quant revels in solving problems for the trading desk
ANZ defies ‘white label’ trend with algo expansion
Instead of relying on large LPs, Australian bank aims to offer six new FX algos of its own by February
