Risk magazine - Jul 2018
In this month’s issue: why tech exoskeletons could soon be all the rage; Symphony and the new chat; the return of board risk committees; the latest SOFR news; and much more
Articles in this issue
‘People who bought this swap also bought Apple’
Dealers hope personalisation algos will help them cut sales costs, but data gaps could be a problem
Amber zone in new P&L test ‘almost useless’, say banks
Analysis shows many desks would not benefit from safe harbour in Basel FRTB proposals
trueEX sues 11 banks over swaps ‘conspiracy’
Platform alleges market-makers acted to preserve dominance of bank-owned Tradeweb
Eonia death will hit valuations and OIS market – expert
Working group hears end of Euribor by 2020 would threaten financial stability
Regulators need to adopt AI for monitoring, experts say
Growing bank usage of artificial intelligence means authorities must hasten adoption themselves
Bitcoin futures growth could prompt bank ratings downgrades
Fitch, S&P, Moody’s contemplate impact of bitcoin futures on credit ratings
French regulator: we are not the Brexit bogeyman
AMF denies pursuing relocations from UK, but calls on EU27 to build its financial markets
Clearers diverge on SOFR swaps discounting
CME switches to new rate for clearing; rival LCH stays with Fed funds
People moves: SocGen hires new strategy head, RBS loses CFO, and more
Latest job changes across the industry
Rise of the cyborgs: tech remakes the front office
Dealers “have no choice” but to change, says UBS’s Orcel – and plenty of changes are coming
Symphony bots march on Bloomberg
New chat system touted as sales and trading game-changer, as banks build hundreds of add-ons
Hunt for toxic flow hits one of banking’s old problems
Wider use of mark-out tools helps banks spot ‘bad’ trades – and also stirs debate on pay
New frontiers
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
The special one: a eurozone G-Sib waiver for BNP Paribas
Experts say French bank’s G-Sib buffer could fall to 1%, saving €3 billion in regulatory capital
Has op risk capital peaked for US banks?
Analysts expect steady fall in biggest banks’ $1.4 trillion in RWAs
Bank boards: goodbye to the prawn sandwich brigade?
Focus on personal liability makes risk committees a more effective challenge, say banks
Bank risk committees: desperately seeking risk managers
Most boards still lack career risk specialists despite tighter governance requirements
OK, computer? Hurdles remain for machine learning in credit risk
Concerns over cost, applicability and oversight give pause to banks’ use of ML techniques in credit risk
Libor transition raises basis risk fear
Shift to secured benchmark could cause dislocation between bank funding and lending rates
Libor transition calls for modelling overhaul, quants warn
All pricing, risk and valuation models will need to be changed to reflect the new rate
Seeing red: EU banks swamped by stress test demands
Banks’ stress test submissions receiving tens of thousands of error messages from local supervisors
Implementing Basel III – the view from Europe
EU approach to new credit risk framework must recognise local market structures, say banking experts
A fool’s gold (or data) mine
Quants are building statistical toolkits to avoid the pitfalls of data mining
Climate risk joins ethics in driving lending decisions
Barclays, BNP Paribas and others are analysing risk of climate change-related losses
US carbon trade surviving below the radar
State-level carbon trading markets are thriving without federal support
If regulations don’t bend, they’ll break
Financial regulation should be adaptive, not reactive, argues Andrew Lo
Op risk data: SocGen suffers twin blow with Libor, Libya losses
French bank takes top two slots in monthly loss data roundup. Plus review of H1 losses. Data by ORX News
Credit data: default risk still growing for Italy’s banks
Despite a drop in the bad loan ratio, default estimates continue to rise, writes David Carruthers of Credit Benchmark
Swaps data: the big get bigger in cleared swaps
First half of 2018 sees strong growth in cleared OTC derivatives volumes, writes Amir Khwaja of Clarus FT
A real-life stress test for CCP margin
Thanks to standardised reporting, we can track how clearing houses’ risk profiles have changed over time
JSCC reinforces default funds
Member firm contributions swell ¥135.5 billion across derivatives clearing services
CME reports two margin breaches in Q1
Shortfalls totalling $79 million were by far the largest for the CCP since public reporting started in 2015
Foreign banks outperform US peers on CCAR
IHCs report 11.1% average post-stress capital ratio
UK banks ramp up market risk
Market RWAs up £18 billion in first quarter
BIS renews claims of capital 'gaming'
Modelled capital requirements for identical portfolios can differ by up to 4%, study shows
EU insurers embrace infrastructure bonds
Solvency II-compliant infrastructure investments concentrated in handful of firms
Swaptions vol modelling tweak opens up pricing possibilities
Nomura quant proposes local volatility model that can directly calibrate to swaption smiles
Emerging market corporate bonds as first-to-default baskets
Modified Merton model offers insights on EM corporate debt
The swap market model with local stochastic volatility
An easy to calibrate and accurate swap market model is proposed
JP Morgan data scientist on mining and machine learning
Asset management arm looks to trawl internal data for investment edge
