Risk magazine - Jan 2019
This month: a new, collaborative mood is taking hold of the credit modelling industry; a threat to the Ion throne; more Brexit brouhaha; the year in review; and much more
Articles in this issue
Credit risk quants are hitting the tech gap
An appetite to cut the costs of IRB is constrained by tougher regulatory scrutiny
Natixis’s €260m hit blamed on big books and Kospi3 product
Rivals say French dealer grew business too quickly – with leveraged version of Korean index one source of pain
NatWest kick-starts Brexit swaps transfer
Bank follows Barclays and UBS with plans to continue serving EU clients as ‘no-deal’ looms
Repo rate hits 7.25% on year-end volatility
US Treasury issuance on December 31 said to have fuelled last-minute dash for cash
Euro term rate likely to be OIS-based, says RFR group chair
Committed quotes “the most viable methodology”, but some insist rate creates new risks
Fallback decision will lift yen OIS, says Japan RFR group chair
Move should kick-start dormant Tonar OIS market – key requirement to building a term rate
Isda seeks consensus on CDS clean-up
Credit definitions amendments expected in Q1 to stamp out manipulated triggers
Risk premia strategies do not reward downside
Study says alt premia approaches do not compensate for exposure to rough markets; hints at data mining
People moves: SocGen adds in prime services, Deutsche fills new rates hole, HSBC makes model move, and more
Latest job changes across the industry
Pooled resources offer way to keep credit models afloat
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
A threat to the Ion throne?
Banks need connections to e-trading venues; they don’t want the other services that come with them
Brexit set to jack up banks’ capital costs
Split into UK and EU arms will reduce netting benefits and capital flexibility
Basel’s archaic op risk taxonomy gets a makeover
Industry moves to revise out-of-date categories that feature risks such as cheque fraud
Fed’s MBS exit surprises some with muted rates vol
Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared
AIIB risk chief on steering China’s World Bank rival
Martin Kimmig on the Asian Infrastructure Investment Bank’s challenge of overcoming patchy credit data
Industry lukewarm on proposed ‘quick fixes’ to Priips rules
Many fear performance scenarios will remain misleading and expose providers to mis-selling claims
HSBC and the risk-advisory robot
Bank has amassed 10-petabyte pool of client data to spot hedging, financing and payments needs
Q&A: Japan RFR group head on term rates and Tonar liquidity
MUFG’s Matsuura discusses term benchmark options, cross-currency swaps and Tibor’s future
For US banks, billions in regulatory manna
The unwind should help mid-tier banks, but the G-Sib impact is a complex balancing act
How quants at Value Partners pick Macau’s casino winners
Hotel data on ‘high rollers’ helps group make casino investment calls, as quant influence grows
Shipping and energy firms revisit hedging on IMO 2020
Upcoming shipping rules set to impact fuel prices across the energy complex
A tale of two CCPs
Nasdaq and Ice breaches carry warnings for the market
Ice Clear Europe posts $1.2bn margin breach in Q3
In total, 55 margin breaches reported at end-September 2018
Nasdaq default came at time of mass margin breaches
CCP's clearing members incurred 49 margin breaches as of end-September
IFRS 9 hits standardised banks harder than IRB peers
Capital wallop over eight times greater for SA banks than IRB
Bond trading dominates EU bank market risk
Traded debt position risk accounts for 60% of market risk capital requirements
Two stress tests give conflicting verdicts on UK banks
Under the BoE’s severe stress scenario, the average drop to UK banks’ CET1 capital ratios was 740bp, compared with 570bp under the EBA’s adverse scenario
Solvency II special measures boost EU insurers’ capital ratios
Median insurer's SCR ratio would be 24 percentage points lower without LTG and transitional benefits
Op risk data: SocGen hit with $95m money laundering fine
Citi, JP Morgan settle Sibor rigging claims; Europe matches US on AML fines. Data by ORX News
Does credit risk need an expected shortfall-style revamp?
Quants propose tail risk-sensitive measure for counterparty credit risk
Counterparty trading limits revisited: from PFE to PFL
The potential future loss is proposed as a replacement for PFE
Citizens: tearing up the rule book
Super-regional’s CRO streamlines RBS-era lending rules to speed up credit approvals
