Risk magazine - Jan 2018
In this month’s issue: Loan danger, as soaring Fed Home Loan Bank borrowings spark systemic risk fears; round 2 of Bloomberg vs Tradeweb, with Tradeweb taking the lead; a risk culture survey; some disgruntled Nordic and Dutch banks; and more
Articles in this issue
FHLBs: safe as houses?
Health of huge bank funder rests on home loans and money market funds
Maijoor defends late LEI relief amid industry frustration
Esma chairman says early Mifid relief would have removed incentives to register LEIs
Platforms win small on Mifid day one
Some dealers stopped quoting bilaterally on smaller bond trades
Bosses escape blame for options blow-up at Swedish bank
Court rules negligence by former managers and auditor of HQ Bank did not cause 2010 licence withdrawal
Huge capital savings at stake in STM swaps debate
Estimates show portfolio would generate 250% more capital in worst-case version of new margining treatment
LCH margin changes to ease funding stresses, say FCMs
Clearers welcome move to free up excess cash margin and remedy ‘double-dipping’ complaints
China’s Bond Connect set to remove trading obstacles
Launch of delivery versus payment and block allocation should stimulate onshore hedging as well
People news: SocGen promotes Garnier to head sales
Plus: Citi's Chen joins Deutsche; Mizuho hires corporate derivatives head; and more
Soaring Fed Home Loan Bank borrowings spark systemic risk fears
Parallels drawn with Fannie and Freddie as commercial bank borrowing from FHLBs nears $500bn
Game of Sefs: Tradeweb topples Bloomberg
Buy side’s desire for lighter-touch trading of interest rate swaps propels Tradeweb to top spot by volume
EU shuts door on foreign electronic access providers
US FCMs could be barred from providing direct electronic access as member states bow to Esma
Risk culture: banks fall short in eyes of staff
Many risk managers believe their banks have work to do on understanding, measurement and management of risk culture
Ex-Fed trader Coffey on macro risks and VAR
Myopic models are creating feedback loops, warns founder of new macro firm Avoca
‘Catching the outliers’ does not always make sense for Basel
The capital impact of Basel III on Nordic banks is disproportionate to the risks they face
North-South divide: Basel makes Nordic and Dutch banks bristle
Lobbyists confident EU policymakers can be persuaded to implement softer credit risk rules
Basel delay does not ensure global FRTB consistency
A European Parliament draft would let supervisors decide response to P&L attribution test fails
1MDB looms large in Asian banks’ war on money laundering
Banks in Asia-Pacific spurred by tougher enforcement and stricter AML rules
Swift’s CRO on Bangladesh Bank heist, cyber risk and DLT
Quraishi lays out Swift’s approach to members’ security, and technological risks and opportunities
CVA dismay: final Basel rules disappoint dealers
Minor tweaks don’t make up for removal of internal modelling, say banks
Buy-side firms ice repo clearing plans as spreads tighten
Resurgent bilateral market a headwind for services at Eurex and LCH
Russian crypto-currency will threaten AML efforts
Targeting individuals and companies could be impossible with digital currency, write academics
Funds seek ways to stay clear of factor flows
Gyrations in momentum and value are a reminder that investors can be swept up in factor reversals
Trade surveillance shouldn’t deter traders
Monitoring costs are forcing commodity players away from market participation, say consultants
Bitcoin futures pricing kindles manipulation fears
CME and CBOE insist pricing methodology is robust; critics say contracts are ripe for manipulation
Review of 2017: All sorts of volatility, bar one
Markets were oddly calm this year, while everything else was in motion
Monthly op risk losses: China bond fraud implicates leading banks
Breakdown of top five loss events. Data by ORX News
Credit data: the Trump effect on PDs
The war on coal is over, according to the US president – and the effect can be seen in banks' default estimates
Reducing noise is as important as radical change
Quants study ways to reduce noise in XVA Greeks calculations
Pathwise XVA Greeks for early-exercise products
The calculation of XVA Greeks for portfolios with early-exercise products is discussed
History suggests stock market crash not imminent – Goetzmann
Stock market bubbles have seldom burst, says Yale economist
