Risk magazine - Jun 2016
Articles in this issue
NSFR to hike hedging costs for end-users, industry warns
Costs could increase by 10–15%, House Agriculture Committee hears
Trust in clusters: a new approach to stress testing
Search for plausible stress scenarios leads Natixis risk managers in a new direction
Regional banks may benefit from Basel CVA surprise
Basel Committee decision removes potential source of competitive advantage for large dealers
David Rutter: gambling on blockchain and a Treasuries revolution
Former BrokerTec chief says technology can transform the financial markets
Basel CVA bombshell widens gulf with bank accounting
Dealers face conflicting incentives and capital hike after internal models are blown away
'Cherry-picking' claims fly in CSA rate floor negotiations
Traders accused of self-interest in negative rate floor discussions
Enria: new legislation can help bolster AT1 market
The EBA is also reconsidering its advice to the European Commission on the treatment of CVA risk
Dealers disagree over charge for CCP counterparty risk
Fed stress tests push US banks towards charging CVA for cleared derivatives
Barclays taps blockchain for equity swaps, options, swaptions
Regulatory capital savings offered by instant settlement of smart contracts on distributed ledgers
DTCC coaxing HFTs to become clearing members
US Treasuries CCP concerned about contagion risk threat to existing members
BoE: Libor reform needs swaps market support
“The dependence on term Libor fixings remains an unnecessary vulnerability,” writes BoE’s Salmon
Distributed ledger innovators imagine a world without CSDs
CSDs counter they fulfil functions blockchain cannot, and regulatory changes are needed to disintermediate them
Brexit fears stall regulatory preparations
Dealers waiting until August to implement key FRTB decisions
Manipulation threat to FRTB data pooling
Concerns over the governance of submitted data and costs could spawn rival initiatives
Interview: ECB’s Benoît Cœuré on CCP capital and stress testing
"I would be very much in favour of the concept of a Pillar 2 for CCPs", says CPMI chair
Pressure grows for more opt-outs from Basel for smaller banks
Key MEP urges broader exemptions for regional banks as FRTB looms
BoE's Sonia fixation complicates secured rate transition
Bank's continuation of Sonia could jeopardise shift to secured rate as Libor replacement
Banks battle to preserve ‘good value’ IRB models
Improving credit risk modelling assumptions could soften Basel's push for input floors
CFTC clamps down on insider trading in derivatives
Bank traders who leak information about derivatives trades to hedge funds could face charges, CFTC officials say
Dealers commit to provide liquidity for Libor alternative
Transition will be gradual with bilateral swaps adopting new rate before CCPs
People: Top quant Lipton leaves Bank of America after 10 years
Return to academia for derivatives pricing expert
Deconstructing correlation
Peter Austing introduces an analytic or semi-analytic valuation of basket options
Risk management for whales
Rama Cont and Lakshithe Wagalath introduce a liquidation-adjusted VAR
Living wills and LVAR could help kill liquidity risk
When used with living wills, a new method may help banks quantify liquidation costs
Basel Committee’s CVA shocker ignores trade-offs
Ditching own models for CVA risk is too binary and eliminates possibility of further dialogue
Fed data dependency backfires
Past year has seen huge change in formation of rate expectations
Careless whispers have a cost
CFTC redefines insider trading for the swaps market
