Risk magazine - Jan 2017
Articles in this issue
Brexit or Bremain: looking for clues in bubble analysis
Crisis analysis model suggests rates and credit markets see danger
Basel still pushing for capital model floors
Bank treasurers call plan to underpin internal models with standardised floors “unmanageable”
Isda Amend faces rival in CSA repapering effort
AcadiaSoft to launch new tool in January, but protocol approach attracts wider criticism
Mixed views on Dodd-Frank rollback
No need to dump central clearing and electronic trading mandates, market participants say
Relative values: JPM’s $260m China interns fine tops November losses
Megan van Ooyen from SAS rounds up the top five op risk losses for November
UK banks under pressure to use IFRS 9 in stress test
Banks unable to calculate impairments under extreme scenarios must answer to regulator
Stretched margins: growing pains for Simm
The standard initial margin model could become more strained as its use expands in 2017
Europe’s banks fret over US stress tests
CCAR could expose weaknesses in capital planning at foreign banks
Banks and clients clash over novation MVA charges
Some banks swallowing new margin funding costs, others forcing clients to pay up
Now in 3D: buy side turning to new liquidity risk metrics
Industry moving away from outdated ways to visualise key risk
Synth City: how synthetic dividends could save autocallables
New indexes promise higher coupons and lower dealer hedging costs
Bank CDSs straining under TLAC
UK and Swiss bank Opco CDSs losing relevance as a hedging tool, experts warn
ANZ's CVA loss flags challenge for regional banks
Many smaller dealers thought to be out of step with market practice and new capital rules
Doom loop reloaded: CRR II goes soft on sovereign debt
EC dilution of Basel liquidity and market risk rules could create new regulatory arbitrage
European buy-side firms face clearing crunch
Large buy-side firms will be subject to Europe’s clearing mandate from December 21, but their smaller peers risk being left behind
October redemptions largest yet for hedge funds
Industry experiencing crisis of negative investor sentiment
Lawyers disagree over iHeart CDS trigger
Isda DC to consider whether non-payment of debt held by an affiliate is a failure-to-pay event
Banks still fretting over softened US TLAC rules
Fed grandfathers existing debt, but leaves TLAC requirements largely unchanged
Systemic risks in CCP networks
Barker, Dickinson, Lipton and Virmani propose a credit and liquidity risk model for CCPs
Crunching mortality and life insurance portfolios with extended CreditRisk+
Jonas Hirz, Uwe Schmock and Pavel Shevchenko present a summary of actuarial applications of the extended CreditRisk+ model
Fed economist advocates combining internal models with SMA
SMA could act as a floor for calculating op risk RWAs, suggests Filippo Curti
EU banks fear fresh blow on Basel credit risk capital rules
Possible revision to standardised approach would favour US banks for corporate exposures
Review of 2016: turn and face the strange
Post-crisis reform has caused upheaval, but gave recent years a sense of direction; in 2016, that was missing
China M&A boom presents unique hedging headaches
Crackdown on ‘fake’ deals adds to risk in contingent hedges
EC umbrella plan dismays foreign banks
EU intermediate holding company proposal complicates legal entity structures and Brexit planning
Why the leverage ratio distorts market-making
Darrell Duffie argues the rule hurts market efficiency for very safe assets
Why liquidity risk is the silent clearing killer
A quant paper shows feedback effects can amplify CCP margin requirements in stressed markets
FRTB’s risk factor framework is more punitive than it seems
Regime’s constraints may mean risk factors drop in and out of modellability far more frequently than dealers think
Fears that bumper coupon could skew iHeart CDS payouts
Market pushes for change to auction date amid fears of reduced single-name and index CDS payouts
Margin model keeps testing the limits of industry co-operation
Simm supporters say it is a work in progress, but more participants may slow that progress
Pricing in the dark: how dealers lost their information edge
Asset managers may have an information advantage over dealers in bond pricing
Don’t keep up with the Kardashians
Dealers may have gifted the buy side an information edge
Risk technology rankings 2016: no bank is an island
Murex, FIS and Calypso take the top spots in this year’s rankings, as banks’ technology needs inspire more collaborative approaches
People moves: Jain joins Cantor
FCA hires Foulger; new CRO for HSBC; Goldman's senior shake-up; equities chief for Credit Suisse
