Risk magazine - Mar 2016
Articles in this issue
Bank market-making is more limited, but also more robust
Liquidity is a concern, but lower capital requirements are not the answer, writes SNB's Rime
Accounting puts brake on move to daily settled swaps
New margin approach threatens hedge accounting status, could hurt effectiveness
Non-banks push direct liquidity streams in US Treasuries
Dealers could save millions in broker fees and transaction costs, non-banks claim
Dealer algos strike back in swaps market showdown
Auto-quoting starting to take root as incumbents try to keep pace with Citadel
People: Barclays’ Staley taps JP Morgan for CRO and COO
Morgan Stanley loses risk analytics head; Portney leaves JP Morgan; Goldman shuffles London office
Banks launch drive to crush outsized XVAs
Novations and profit-sharing form part of push to trim derivatives valuation adjustments
Johnson-Omega performance measure
Alexander Passow presents a portfolio performance measure that combines the omega measure with Johnson distributions
From FVA to KVA: including cost of capital in derivatives pricing
Youssef Elouerkhaoui presents a general derivatives pricing framework including cost of capital
Giving the Omega ratio a new lease of life
Johnson-Omega could change the way financial firms measure portfolio performance
The limits of the leverage ratio
Data from 30 European banks shows even 6% ratio would miss regulators’ stability target
Regulation, risk-taking and responsibility
Supervisors “need firms to be profitable”, writes BoE’s Fisher
KVA pushes accounting standards to the limit
Radical changes needed if banks are to account for cost of capital
Beyond Libor: what reform plans mean for swaps users
Big bang still an option in plans to propagate new benchmarks
Libor reform: the sound of silence
Moves to push swaps off Libor have generated surprisingly little noise
