Risk magazine - February 2016
Articles in this issue
Law firm of the year: Cadwalader, Wickersham & Taft
US law firm proposed relief to Tob programme, and won mandate to develop rule change
Banks test promise of blockchain as CCP replacement
“You can imagine a world where you don’t need clearing houses,” says senior banker
Credit portfolio manager of the year: Lloyds Bank Commercial Banking
Revamped CPM team plays key role in boosting sub-par returns
FSB’s Andresen: liquidity risks were underpriced pre-crisis
Top staffer at FSB addresses liquidity, bank risk data and securities financing risks in a wide-ranging interview
OTC client clearer of the year: Citi
Bold decision to sacrifice margin income put Citi’s OTC clearing business on firm footing
Sef of the year: trueEx
Start-up Sef enjoys a breakthrough year by offering unique post-trade tools to the buy side
Credit derivatives house of the year: Citi
Single-name CDSs still have buy-side fans and many have come to see Citi as the go-to dealer
Single-dealer platform of the year: Citi
Clients praise the US bank's Velocity platform for weathering the Swiss franc storm
Currency derivatives house of the year: BNP Paribas
French bank prospered despite Swiss franc surge, renminbi devaluation
Banks fear capital add-ons for BCBS 239 failures
Capital add-on is "a stick that's out there", says Santander's Goddard
Fixed-income trading platform of the year: UBS
Firm prices saw 'real end-users' flock to Bond Port in 2015
Asset manager of the year: Vanguard
Funds giant embraces non-bank liquidity and fungible derivatives
Trading technology product of the year (buy side): Algomi
Vendor signed up 150 buy-side clients in 2015, offering them a peek at previously hidden bond flows
Final FRTB is a game of give-and-take, say dealers
Relaxation in some areas of Basel market risk rules offset by harsher treatment in others
Interest rate derivatives house of the year: Citadel Securities
Swaps market outsider changes the way the game is played
Equity derivatives house of the year: BNP Paribas
Innovative risk-offloading trades enable the bank to power ahead of its rivals
Structured products house of the year: SG CIB
Banks needed agility as well as scale to succeed in structured products in 2015
Quant of the year: Alexandre Antonov
Numerix quant revolutionises negative rates modelling
Hedge fund of the year: Citadel
Citadel’s hedge funds dodged the Swiss franc’s surge and made money during the Greek debt crisis
Market risk technology product of the year (sell side): Numerix
Vendor praised for speedy XVA calculations
EU banks eye hard slog of contract changes to meet bail-in rule
Banks required to include clause exposing foreign counterparties to potential haircuts
Sovereign risk manager of the year: SHCP
Mexico hedged against the oil price collapse while diversifying its debt investor base
Trading technology product of the year (sell side): Droit Financial Technologies
Five banks now using start-up to navigate swaps reform minefield
Managing the secured versus unsecured basis risk: Hedging with a secure benchmark
Sponsored feature: Eurex
Deal of the year: Republic of Senegal / SG CIB / MIGA
Loan insurance from arm of World Bank helped cut CVA and KVA on a $250m cross-currency swap
Leading the way in the risk management (r)evolution
Sponsored feature: Prometeia
Clearing house of the year: LCH.Clearnet
Basis explosion – and client surge – vindicate UK CCP's strategy
Operational risk technology product of the year (buy side): CloudMargin
Clearing adds complexity for small buy-side firms; CloudMargin aims to take it away
Exchange of the year: CME Group
Chicago exchange found fixes for five-year issuance gap in US Treasury bonds
Derivatives house of the year: Citi
Strong leverage ratio gives Citi flexibility to stick with full-service model
Corporate risk manager of the year: Ford Motor Company
Natural hedges and holistic analysis help auto giant cut hedging costs
Market risk technology product of the year (buy side): MSCI
LiquidityMetrics uses buy-side questionnaire to measure liquidity in data-scarce bond market
Duffie: regulators may push swaps market off Libor
Even reformed Libor no longer a viable reference rate, says FSB adviser
Emerging markets dealer of the year: Standard Bank
South African dealer reaping rewards of local market knowledge and international reach
Bank risk manager of the year: HSBC
HSBC’s risk team helped traders minimise losses when the renminbi took a sharp dive in August
Operational risk technology product of the year (sell side): NICE Actimize
More than 400 customers are now using the ERCM platform to keep a lid on financial crime
Risk solutions house of the year: Goldman Sachs
US bank restructured huge Swiss franc swap during market turmoil
Lifetime achievement award: Bennett W Golub
CRO and founding partner has helped grow – and guard – BlackRock for almost three decades
Flip clause ruling nets Lehman estate $3 billion
Judge warns legal uncertainty remains, however
Inflation derivatives house of the year: Barclays
Barclays led the year's most talked-about trade – the Yorkshire Water swaps restructuring
Risk Awards 2016: The winners
Citi is top house; lifetime award for BlackRock's Golub; Citadel hits top spot for rates
Eonia ‘almost meaningless’, says Eurex
Thin volumes in unsecured lending market should be a cause for concern, bourse operator argues
People: Barclays ousts head of rates trading
Yarian leaves Barclays; FCA makes Bailey chief executive; Kelleher becomes Morgan Stanley president
Non-parametric local volatility formula for interest rate swaptions
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
Risk management for return enhancement
Lundin and Satchell present a non-linear asymmetric dependence method between two assets
FVA sceptics lose ground in valuation debate
Market needs to move on from theoretical argument and focus on numbers
The funding invariance principle
Youssef Elouerkhaoui shows how the choice of discounting rate is irrelevant for pricing
Banks explore spin-offs for cleared swaps desks
Non-bank dealers would escape Basel III; private equity seen as likely owners
EU banks plan to flee CME when key Emir date arrives
CCP oversight stand-off leaves banks in a bind as Feb 21 frontloading deadline nears
Swap auction frictions prompt search for new tactics
Standards may be needed to preserve benefits of credit-auction approach to big swaps
Dealer-run platforms face hard choices under Mifid II
MTF, OTF or SI: three options, but none that banks like
What credit auction friction says about the OTC market
Benefits of risk bifurcation threatened by collateral conflicts
How many ways to win in swaps?
Citadel's success – and talk of swap desk spin-offs – suggest era of greater diversity
Insurance risk manager of the year: Standard Life
UK insurer’s risk function launched reviews of business and tech risks
