Risk magazine - Mar 2018
Articles in this issue
Fed vs Fed: central bank faces traps of its own making
Fed’s balance sheet normalisation goal set to collide with its banking system resilience aims
Scrapping of Eonia revamp piles pressure on ECB
Dealers fear central bank's new rate won’t arrive in time to create swap curve by 2020
Swaps users face tense wait for Euribor all-clear
Euro swaps market would have a year to replace rate if it fails to comply with EU benchmark rules
Latvian bank collapse casts doubt on moratorium plan
Lobbyists say handling of ABLV shows flaws in EC’s pre-resolution stay concept
Canada’s banks go it alone with FRTB data utility
Local lenders reject advances of major data utilities to build own solution
JSCC to aid yen Libor transition with new OIS swaps
Market participants sceptical launch will boost liquidity enough to help move off yen Libor
BoE to authorise EU CCPs ‘at 00:01’ on Brexit day
Central bank hopes plan to preserve access for EU CCPs will be reciprocated
US clearing banks still push for leverage ratio IM offset
Potential cut in ratio and adoption of SA-CCR not enough to stop shake-out, FCMs warn
People moves: Barclays’ equities hire, Dahlgren joins Wells Fargo, and more
Latest job changes across the industry
Focus on total return futures – How innovation opens up investment opportunities
Eurex asks Edouard Pelier, head of delta one and collateral trading, equity and commodity products at UniCredit Bank, and Ziad Kerbage, executive director of the equity derivatives group at JP Morgan, why market participants should trade total return…
Basel liquidity rules block Fed’s QE exit
LCR and NSFR could produce $1 trillion shortfall in plans for balance-sheet ‘normalisation’
Month of higher vol spurs equity derivatives trading
Turmoil benefits total return futures, cross-asset arbitrage and dispersion
Quants needed: how finance can use power of quantum tech
New machines have big potential in AI, valuations and VAR, but tech giants like IBM need help from practitioners
Softened EU swap stay still threatens margin hike
Moratorium cut to two days, but pre-resolution stay could make EU a non-netting jurisdiction
Buyer beware: the FX code has not gone far enough
New standards for currency dealers have brought some big improvements, but many practices remain hazy
From BAML to UBS: how 15 banks stack up on ‘last look’
Disclosures show striking differences on pre-hedging, hold times and trade acceptance
Pillar 2 moves to centre stage for op risk capital
US banks set for sharp falls in Pillar 1 requirements, but regulator-set add-ons cloud SMA’s impact
Exchanges and FCMs clash over bitcoin clearing carve-out
Market participants say CME, CBOE should clear bitcoin futures separately
Top 10 operational risks for 2018
The biggest op risks for 2018, as chosen by industry practitioners
Euro swaptions market prepares for pricing revamp
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
In the dark: pools warn late Mifid rules still won't add up
Venues say better trade-flagging, consolidated tape needed for equity double-volume caps
One road: China’s new regulatory body begins to unify rulemaking
Micro-issues like netting and securitisation may also be in sights of powerful new committee
Utilities turn to big data to improve pricing models
Smart meters and time-of-use rates could dampen power market volatility and improve hedging
XVA: back to CVA?
Fundamental questions on CVA remain unanswered, writes mathematical finance head
Monthly op risk losses: AML failings cost banks $1.1bn
Also: Japanese crypto exchange loses ¥58 billion in hack; Deutsche, UBS, HSBC settle spoofing claims. Data by ORX News
Credit data: a tough year for South African financials
Default risk rose steadily for 36 firms during Zuma’s final months of rule, writes Credit Benchmark’s David Carruthers
Swaps data: breaking down CCPs’ $750 billion funding bill
Amir Khwaja of Clarus FT considers how initial margin, variation margin and default fund contributions can quickly add up
Multicurve modelling is about to get more complex
Research into rates pricing is becoming more urgent given recent regulatory changes
The present of futures
Fabio Mercurio introduces a new multi-curve model for pricing futures convexity adjustments
Vix curve gave warning of February volatility spike
Research by NYU’s Marco Avellaneda offers insight into short-vol strategy
