Risk magazine - Jul 2016
Articles in this issue
Hidden floor: dealers tackle negative rate CSA headaches
Banks pushing clients to remove costly interest rate floors in collateral agreements
CCAR as a powerful business and risk management tool
Firms should use stress testing to challenge assumptions
Metro Bank aspires to IRB for credit risk
CRO Aileen Gillan discusses UK bank’s approach to culture, conduct and credit risk under Basel II
SEC prepares Dodd-Frank buy-side stress tests
Asset manager stress tests aim to measure fund liquidity and contagion risks
Compliance burden jeopardises EU securitisation revival
Parliamentary rapporteur undermines STS with investor due diligence plan
Strength turns to weakness for old OTC market
Non-cleared notional falls $36 trillion as costs and complexity grow
Start-up UST trading venues face clearing hurdles
Gaps in central clearing are stifling the emergence of all-to-all trading venues for US Treasuries
Three months left: dealers fret over slow start to Simm tests
Banks "still working like mad" in race to implement standard margin model
Dealers renew push for standardised CSAs
Banks hope LCH platform will help cut costs and complexity as non-cleared margin regime looms
US model risk rules put lions back in their cages
Impact of Federal Reserve and OCC model risk guidance is being felt well beyond US banks
European regulators resist Basel risk models clampdown
EU authorities express concern over move to less risk-sensitive capital requirements
Delay US non-cleared margin rules, industry tells Congress
“This puts the US banks at a huge disadvantage relative to the European banks,” says CME’s Duffy
Interview: Iosco’s Andrews stresses CCP resilience and recovery
CCP resolution spells regulatory failure; guidance to follow on PFMIs and CCP stress-testing
Brexit spurs rethink of political risk at global banks
Some banks are reserving capital against political risks, such as Brexit
Funding flap: dealers slam NSFR impact on derivatives
Banks fume over “extremely punitive” funding costs from liquidity rule
Standardised CSAs: no longer a matter of choice
Dealers again seeking simpler terms after 30% drop in non-cleared notionals
Banks reject Basel’s IRB data shortage claim
Internal models remain more accurate than standardised approaches, say industry responses
People: HSBC appoints markets head to new digital role
Credit Suisse loses European prime derivatives head; SocGen CRO retires; Citadel Securities hire from Barclays macro sales desk
US regulators favour September margin deadline
September 1 roll-out would threaten bilateral swap trading chasm between EU and US
Blockchain creators call for new reference data paradigm
Derivatives trade identifiers to leverage off cryptographic hashes
EU moves to resolve bank bail-in debate
Council urges EC to clarify implementation of MREL and TLAC
On derivatives and quants
Alexander Lipton on how the role of quants is adapting to the new financial environment
Banks ‘hurting, but not dead’ after Brexit shock
Last-gasp hedges may have eased the pain of Brexit for some banks
Brexit clauses put brakes on big UK property loans
Collapse in sterling expected to see in-flight deals renegotiated
‘Lottery ticket’ call options saw big losses on Brexit
Emerging market trades dropped more than 80% after 'leave' vote
The beginning of the end for footloose modelling
US model risk guidance has drawbacks, but is a step towards better management of model risk
Hedge fund H2O suffers $160m loss after Brexit shock
UK-based firm’s four macro funds hit by equity index and sovereign debt losses
Not so fast, François: EU clearing land grab is complex
ECB cannot (yet) make post-Brexit demand for euro clearing to leave London
MVA transfer pricing
Wujiang Lou extends liability-side pricing theory to initial margin
Deriving derivatives
Andrei Soklakov shows how to incorporate traditional investment ideas and clients’ views into structured product design
CVA desks suffer Brexit double whammy
Cross-gamma losses estimated at more than $25m for each dealer
Non-cleared market is changing – not dying
Non-cleared swaps market faces challenges, but it is adapting, writes Isda’s Scott O’Malia
Time to gear up for MVA
Banks must be prepared for the looming rise of non-cleared margin requirements