Risk magazine - January 2016
Articles in this issue
Banks try to copy Citi and UBS clearing leverage cuts
Tactic slashes exposure for FCMs, but could undermine lobbyists
CFTC quizzes clearing banks over leverage-cutting tactic
Billions of dollars in client margin have already been moved off balance sheet
Carney: leverage ratio could limit clearing benefits
European officials should look at the impact of the leverage ratio on clearing, the Bank of England chief tells MEPs
EU regulators split over using initial margin to resolve CCPs
Rules on CCP resolution were due last month but are now slated for February
FRTB may lead banks to take more risk, says Deloitte
Analysis shows some trading desks receive lower capital with stressed market risk charge
Negative swap spreads hit bank capital buffers
Portfolios of asset-swapped US Treasuries see mark-to-market losses of up to 20bp
US margin rules threaten clearing bottleneck
Fed estimates $2.5 billion annual cost of funding margin on bilateral trades
CFTC eases margin requirements for inter-affiliate trades
Bowen votes against final rule exempting non-cleared inter-affiliate trades from initial margin
Diversification benefit of operational risk
Torresetti and Le Pera explore the relevance of the diversification benefit from a theoretical and practical viewpoint
Swaps CCPs hope to slash capital via margin change
Treating margin as settlement could cut leverage – CME, Eurex, Ice, LCH.Clearnet all seeking approval
Interview: Zar Amrolia on liquidity provision
Former co-head of Ficc at Deutsche Bank believes non-banks will become essential source of liquidity for banks
Collateral or settlement: capital cut rests on role of VM
Questions about status of variation margin are more than semantics
Basel may soften trading book rules on emissions
Latest FRTB tweaks also include increasing granularity of commodity risk weights
Expected shortfall is jointly elicitable with value-at-risk: implications for backtesting
Fissler, Ziegel and Gneiting investigate the role of elicitability in backtesting problems and show how comparative backtests can be implemented for expected shortfall
Risk technology rankings 2015: Surgery, instead of plasters
Murex, Calypso, FIS take top spots as clients push for regulatory compliance
Dodgy discounts: DVA claims fly in cross-currency market
Derided pricing adjustment is being used to undercut competition, traders claim
How FVA saved the cross-currency swap
Funding benefits have slashed pricing for some uncollateralised trades
Hedging error measurement for imperfect strategies
Jack Baczynski, Jonathan da Silva and Rosalino Junior present an index for measuring hedging errors
Cutting Edge introduction: No more shortfalls?
Academics develop expected shortfall backtest to compare standardised and internal models
Risk software survey 2015: speed, compliance and valuation
Regulatory change drives innovation, with valuation, centralisation and speed taking centre stage
Morgan Stanley loses three in forex and one quant
Morgan Stanley loses four staff in US; Barclays forex head departs; Citadel adds CDS trader; and more
