Risk magazine - Jan 2025
Cover: Robert Bennett, Untitled, Acrylic on canvas
Contact: rjbarts88@gmail.com
Articles in this issue
How UBS sold off non-core equity assets at lightning speed
More than 40 auctions have been completed since Credit Suisse acquisition, with a little help from a T-Rex
Bloomberg offers auto-RFQ chat feed – but banks want a bigger prize
Traders hope for unfettered access to IB chat so they can build their own AI-enhanced trading tools
Euro swap spread volatility challenges Bund’s hedging role
German Bunds face scrutiny as euro swap spreads turn negative, forcing traders to rethink hedging strategies
European Commission in ‘listening mode’ on potential FRTB changes
Delay or relief measures on the table after UK postpones start of Basel III to 2027
EBA to address double-counting caused by new capital floor
Existing EU capital add-ons for model risk would duplicate new Basel floor on internal models
Capital neutrality key to completing Basel III, says Quarles
Former Republican Fed vice-chair thinks Hill or Bowman could help revive stalled prudential rules
Barr’s Fed exit likely to delay, but not destroy, Basel III
Market risk, op risk and leverage ratio all in the sights of Barr’s potential successors
Strengthening technology resilience and risk controls against multidomain disruption
The consequences of multidomain disruption and best practice strategies to enhance digital resilience
People: New leader for LCH, Pham lands CFTC top job, and more
Latest job changes across the industry
Basel stops short on wrong-way risk
New guidelines a step in right direction, but experts warn they won’t prevent another Archegos
The Emir error reports that cost banks millions
Dealers lambast onerous EU requirement to notify clients of all errors and omissions
FCMs call for more oversight of self-clearing CCP members
Clearing firms worry that PTFs and market-makers joining CCPs en masse will increase systemic risk
Clearing members ponder the purpose of CME’s mystery FCM
Some think licence will be used to boost crypto clearing capacity, but many questions remain
Stuck in the middle with EU: dealers clash over FRTB timing
Largest banks want Commission to delay implementation, but it’s not the legislator’s only option
Complex EU active account reporting could drive trades out of UK
Draft Emir rules might not force large volumes to move to EU, but will make compliance difficult
Does no-hedge strategy stack up for mag seven mavericks?
At Amazon, Meta and Tesla, the lack of FX hedging might raise eyebrows, but isn’t necessarily a losing technique
Iosco pre-hedging review: more RFQs than answers
Latest proposals leave observers weighing new clampdown on pre-hedging
Regis-TR and the Emir Refit blame game
Reporting overhaul was marred by problems at repositories, prompting calls to stagger future go-live dates
Rostin Behnam’s unfinished business
Next CFTC chair must finish the work Behnam started on crypto regulation and conflicts of interest
Trump 2.0 bank supervision: simpler but no soft touch?
Republican FDIC vice-chair Travis Hill wants more focus on financial risk instead of process
Transforming stress-testing with AI
Firms can update their stress-testing capability by harnessing automated scenario generation, says fintech advocate
The key traits of resilient E/CTRM systems
An Energy Risk Europe panel explored whether E/CTRM systems are meeting the evolving demands of traders
RBC’s CVA risk charges swell 42% in first year under FRTB
Bloating RWAs contrast with declines at peers employing new standardised approach
Initial margin requirements hit record highs at major CCPs
Tumultuous third quarter sees $94bn surge across 14 CCPs
Default and credit spread risks drive Canadian banks’ FRTB charges
New Basel III disclosures give first glimpse into market risk mix after internal models retirement
SGX suffered five-hour op failure from CrowdStrike outage
First major service disruption at CCP’s Central Depository service in nine years
Margin breaches skyrocket at JSCC amid market volatility
August turmoil led to record initial margin shortfalls at six clearing divisions
Yen rise spurs Japanese rates market surge
Traders are moving on an expectation of increased yen volatility in 2025
UBS’s Iabichino holds a mirror to bank funding risks
Framing funding management as an optimal control problem affords an alternative to proxy hedging
Funding arbitrages and optimal funding policy
Stochastic control can be used to manage a bank’s net asset income
Overcoming Markowitz’s instability with hierarchical risk parity
Portfolio optimisation via HRP provides stable and robust weight estimates
