Risk magazine - Jun 2024
Articles in this issue
SG trader dismissals shine spotlight on intraday limit controls
Risk experts say many banks rely on daily reports and can’t effectively monitor intraday limits in real time
Basel Committee reviewing design of liquidity ratios
Focus on LCR and NSFR after Silicon Valley Bank and Credit Suisse, but assumptions may not change
FRTB start dates must align globally, says European Commission
Lawmaker could trigger delay to market risk rules in Europe if US implementation drags on
Basel triggers new tussle on anti-Archegos rules
Critics argue new guidelines on counterparty credit risk are either unworkable, or don’t go far enough to tackle concentration and wrong-way risk
New FICC clearing model still holds fears for buy side
Sponsored access with margin segregation hasn’t reassured firms about loss mutualisation
OCC introduces new intraday risk charge covering zero-day options
Revised measures “a nightmare” to implement, says one broker-dealer
Fed green lights more capital relief trades
Five US banks authorised to issue repeat credit-linked notes backed by financial guarantees
Fed strengthens stress tests with focus on counterparty defaults
The Fed's 2024 stress test examines how banks handle complex risks, such as WWR and jumps at default. Dmitry Pugachevsky, head of research at Quantifi, discusses how the integration of these factors into XVA calculations provides a more comprehensive…
People: Citi lures JPM private bank CRO, Körner crowns Credit Suisse exits, and more
Latest job changes across the industry
Breaking out of the cells: banks’ long goodbye to spreadsheets
Dealers are cutting back on Excel amid tighter regulation and risk concerns
Basel III endgame: why moving fast might prove better for banks
Republicans are pushing for reproposal, but a rapid finalisation may prove less far-reaching
One year on, regulators still want a cure for bank runs
Broad support for higher outflow assumptions on uninsured deposits, but that won’t save insolvent banks
As risk of US Basel delay grows, Europe is in a bind over CVA
European Commission may postpone FRTB, but it’s hard to separate surgically from rest of framework
Nervous UK pension schemes want liquidity fixes – it’ll cost them
Asset managers are crafting new ways for schemes to raise cash in a crisis
Clear warning on escape hatch for optimisation trades
CCPs fear Emir clearing mandate carve-out for portfolio rebalancing could be abused
FX books bulge in quant investment field
Carry strategies attract bulk of interest; banks eye growth in volatility, intraday and emerging market replication
Caveat creator: GenAI giants’ pledges won’t pre-empt copyright suits
Tech vendors offer indemnities on generative output, but end-users need to check the fine print, warn IP lawyers
The squeezing middle: data shows Europeans taking on US foes
Dealer Rankings 2024: Barclays, BNP Paribas and Deutsche grab bigger share of the pie
Continued decline of the one-stop shop
Dealer Rankings 2024: Only two banks make the top 10 across all rankings tables – others have focused on vertical dominance
Often fluid. Not always liquid
Dealer Rankings 2024: On the buy side and the sell side, the make-up and depth of OTC mini-markets can change rapidly
Form an orderly QIS: hedge funds spur quant products to new heights
Rise of multi-strategy vehicles triggers demand for indexes once seen as competitors
FXSpotStream looks to growth products beyond spot
New chief exec Jeff Ward highlights NDFs and FX swaps as next boom area for the venue
Skylight finds an opening in consensus pricing
Service provider claims key factors differentiate its own offer from the market leader’s
How APG is navigating overhaul of Dutch pensions
Firm is helping two funds move on to defined-contribution contracts, but it won't be plain sailing
How Jupiter times factors in uncertain markets
Asset manager is seeking to avoid momentum and value drawdowns
Falling T2 balances bode well for eurozone’s stability
Impact of fragmentation would be less severe today than in 2010s, says Marcello Minenna
Japanese banks reap ¥9trn RWA savings from FRTB switch
Tokyo’s dealers fare better than overseas rivals on new CVA and market risk approaches
False start: 13 EU banks miscalculate new GAR coverage metric
Unclear instructions, late guidance and poor font choices among reasons behind diverging interpretations from EBA’s template
DVAs inflate US banks’ liabilities by $4.9bn
Credit spread retrenchment since last year’s crisis comes with flipside of larger structured-product liabilities
ABN Amro takes €1.7bn RWA add-on from credit models rejig
Just over 40% of credit risk RWAs still calculated under the A-IRB approach, down from 90% two years ago
Six Chinese banks set market risk records in Q1
Market RWAs spike 63% overall in first disclosures after rules update
Podcast: Olivier Daviaud on P&L attribution for options
JP Morgan quant discusses his alternative to Greeks decomposition
