Risk magazine - Jan 2022
Articles in this issue
Covid isn’t killing corporate entertaining – it’s dead, anyway
For a generation of bankers and vendors, client hospitality was part of life. But the party is winding down
Down but not out: US Libor trading continues amid ban
Outgoing rate hits market share lows in US swaps but little dent made in listed markets
Bank-run fund derivatives platforms hit records
JP Morgan’s Nexus has seen balances double, while AUM on UBS’s Neo have tripled
EU’s IM model validation rules may put Simm in jeopardy
Draft RTS creates validation hurdles and cross-border conflicts, industry warns
Buy side turns to extreme value theory to spot tail risks
Asset managers reappraise decades-old technique to gauge downside risks amid fears of volatile 2022
People moves: Ice rings changes, new CFTC appointees, and more
Latest job changes across the industry
The bank, the vendor, the turrets and the golf day
After DBS switched supplier, a row broke out, raising questions about entertainment and influence
Review of 2021: Default, revolt, reform
Archegos, GameStop, the last days of Libor – markets just about coped in a bleak and disorderly year
Language barrier: quants slog to teach investing bots to read
Training models to interpret text can be dull; doing it badly can be costly
SA-CCR brings little succour for FX dealers and clients
Spreads on swaps and forwards likely to widen as banks adjust to capital-intensive regime
MSCI’s temperature scores stir angst among green investors
Ratings firm says world’s biggest wind power company will produce more global warming than Shell
Clouding the issue: blurred lines divide banks and servicers
Banks clash with big three cloud service providers over data security and configuration errors
Quantum computing: kryptonite for bitcoin and cyber security
Race is on to secure new encryption algorithms for DeFi, before quantum computers become a present danger
Back in the New York groove: BNY CRO’s risk revamp
Veteran risk manager and former trader on “intelligent” risk-taking
Europe swap dealers eye London return post-Brexit
Proposed Mifid exemption paves way for BNP Paribas, SocGen and Deutsche to trade swaps on UK venues
Investors question fixes for a quant strategy that’s stalled
Banks are revamping intraday trend strategies; buy-siders aren’t sure it’ll work
EU offers reprieve for fund-linked derivatives trades
Banks hope FRTB draft allowing fund managers to supply standardised inputs will cut risk weights
Regulators moot public utility to tackle FX settlement risk
Idea floated as battery of initiatives vie to address slowing use of PvP services
SEC stock loan disclosure plan won’t make markets more equal
The GameStop saga showed that securities lending is opaque. New rules are unlikely to improve things
US mutual funds paused inflation bets in Q3
Counterparty Radar: Uncertainty over inflation appears to have dampened trading activity
Interest rate swap activity surges ahead of Fed tightening
Counterparty Radar: Managers react to fastest rise in inflation in three decades
Pimco, Capital Group lead expansion of index CDS market
Counterparty Radar: Total positions reach new high driven by growth of swaps referencing CDX NA IG
Morgan Stanley on heels of Goldman in Q3 CDS data
Counterparty Radar: Sold protection, corporate names fuel growth in US funds’ single-name books
Morgan Stanley solidifies forwards lead as Citi and BNP slip
Counterparty Radar: Non-G10 pairs regain momentum despite dip in total positions in Q3
JP Morgan flies into top FX options spot
Counterparty Radar: Renminbi/US dollar trades also keep Morgan Stanley IM in front
NSCC’s year of living dangerously
The CCP’s models are falling short time and time again, and the consequences could be disastrous
NSCC’s liquidity pool twice short of payment obligation in Q3
The CCP reported a shortfall in its qualifying liquid resources for the third consecutive quarter
Some EU banks keep underprovisioning for ECLs
Divergences between accounting and regulatory markdowns remains high at some top lenders
CME turns to Fed in rejig of liquidity pool
Central bank balances accounted for more than 70% of the CCP’s total liquidity buffer in Q3
Spanish regional bank’s CVA charge up 30-fold on SA-CCR
Banco de Crédito Cooperativo saw end-June charges balloon the most year-on-year across a sample of 120 European banks
SMFG reports highest power sector emissions intensity
Across all systemic banks, only eight dealers disclose their GHG emissions for this field
What quant finance can learn from a 240-year-old problem
Optimal transport theory offers a data-driven way to calibrate derivatives pricing models
Optimal transport for model calibration
Volatility models and SPX/VIX joint dynamics are calibrated using optimal transport theory
Nonlinear risk decomposition for any type of fund
A risk decomposition by fund manager, factor or instrument is proposed
Rising inflation may spare smaller middle-market lenders
PennantPark bets that picking the right entrepreneur can protect private credit from rising prices