Risk magazine - Jul 2025
Cover detail: Susanne Herbold
Freak Out! 3.0, Acrylic, oilpastel on canvas,120 x 80 x 2 cm
Contact: Anne-Marie Bainbridge, www.anne-mariebainbridge.co.uk
Articles in this issue
Was a big US bank close to collapse in 2023?
PNC’s Bill Demchak says it was. And the data suggests he was talking about BofA
Traders hedge on Jane Street manipulation claims
Market-makers side with Sebi, while bankers accept arbitrage explanation. Most want more details.
Academic warns of systemic risk from AI-powered trading
Strategies generated by LLMs exhibit “very strange, correlated trading behaviour”, says Lopez Lira
Derivatives players divided over 24/7 trading
For some, round-the-clock markets are inevitable. Others see “enormous risks”
Japan regulator calls on laggards to keep Basel promise
After EU and UK delays – and amid fears of US divergence – Japan is keeping a close eye on its peers, says Shigeru Ariizumi
European Commission already preparing next FRTB move
As EC runs out powers to delay rules again, proposal for temporary capital relief is on the agenda
FICC’s new clearing model sparks praise – and intrigue
Some think collateral-in-lieu concept could be applied to a wider range of trades, beyond MMF repos
For Esma to triumph as supervisor, it must stop being Esma
Europe’s markets watchdog may soon have sweeping new powers, but experts say it will have to shed its reputation as slow, expensive and process-driven if it is to succeed
The price is tight: UK insurers battle for buyouts
Insurers get creative as traditional pension buyout levers come under pressure
Bank of England floats ‘quasi-IMA’ in FRTB standardised method
Dealers welcome new route to capitalising residual risk, but it could fragment global ruleset
Taco trades and fake news fatigue
Is another era of ‘will he, won’t he’ numbing rates and FX traders to its jeopardy?
Will the UK’s FRTB time warp turn into a horror show?
UK regulator’s proposed transition year in 2027 could double banks’ implementation work
Fed succession planning: will Trump stick to the script?
The race to succeed Jerome Powell as head of the world’s most powerful central bank has already begun
EU firms want clarity on new active account operational test
Final Esma rules reduce burden, but require firms to prepare for higher onshore clearing volumes
Can vendors and CTAs escape the CFTC’s clutches?
Withdrawal of Sef perimeter advisory may provide greater flexibility for new breed of crypto tools
Why margin transparency is always somebody else’s problem
As Esma pushes for clearing clients to receive better information, no-one wants to provide it
Can behavioural science curb rogue traders… and compliance costs?
Instead of using surveillance to catch endless bad apples, experts urge banks to clean the barrel
OTC books grew in 2024 but remain below peaks
Dealer Rankings 2025: US fund and insurer books were larger in 11 of 16 markets
From fringe to forecast: why bitcoin now moves like a currency
LMAX data finds crypto prices react to macro market events as quickly as EUR/USD
Basel III overhaul triggers credit RWA reshuffle at EU banks
A-IRB down by a third, F-IRB more than doubles and standardised approach up by a quarter
CVA risk charges spike 73% at EU banks under Basel III
Crédit Agricole leads surge, as basic approach dominates CVA capital calculations
Seven banks fall short of full capital buffers in DFAST 2025
DB USA posts largest gap, with four G-Sibs also dipping below their full requirements
Danske shrinks CVA capital charges 44% after hedge revamp
Credit protection buying spree helps cut capital requirements to lowest level since 2014
Quantum path integrals for default intensity models
A method to price credit derivatives via default intensity approximation is presented
Optimising broker evaluation through intraday modelling of execution cost
A method to assess brokers’ performance via their market impact is presented
