Risk magazine - Mar 2022
Articles in this issue
Private equity’s insurance innovation needs a risk check
Regulators need to look closer at private equity’s rush to reinsure pension assets in Bermuda
‘Dead’ derivatives market leaves big Russia dealers unhedged
VTB and Sberbank face directional exposure to local corporates after mass unwinds by foreign banks
Credit default swaps on Russian companies face uncertain future
With CDS auctions on sanctioned companies unlikely, traders may have to rely on dealer estimates
Russia sanctions throw derivatives market into disarray
Lawyers say western banks face illegality terminations; industry groups plan deliverable ruble workaround
Ruble NDF pricing rupture alarms traders
Conflict sparks big dislocation between ruble NDF and spot, threatening hedges and clouding valuations
Russia’s foreign currency debt pile at risk of default
Sanctions could block coupon payments on $200bn of externally held foreign currency bonds
Moscow Exchange closure leaves equity swap contracts in limbo
Isda plans to issue guidance on the application of commonly used disruption event clauses
People moves: CME reshuffle, BlackRock’s new CRO, and more
Latest job changes across the industry
Apollo, KKR, Ares and the Bermudan CLO arbitrage
‘Capital efficiency’ may explain a 1,100% surge in life assets reinsured on the Atlantic island
Banks offer crypto clearing but, shhh, don’t tell
Top dealers clear crypto futures for select clients despite smorgasbord of risks
Adia wealth fund is building supergroup of quant investing
Abu Dhabi Investment Authority wants to turn systematic investing into a ‘good science’
Russia sanctions put spotlight on banks’ dirty laundry
As punitive measures against Moscow increase, so do the risks to banks from financial crime
Risk Awards 2022: the winners
JP Morgan claims top derivatives house, lifetime award for Mark Carney, BofA wins rates
Lifetime achievement award: Mark Carney
Risk Awards 2022: The calm at the eye of the storm of post-crisis regulation and climate risk management
Derivatives house of the year: JP Morgan
Risk Awards 2022: Big bet on AI is delivering results
Interest rate derivatives house of the year: Bank of America
Risk Awards 2022: Bank ducks US vol problems that plagued peers, while continuing European expansion
Currency derivatives house of the year: UBS
Risk Awards 2022: T-Pricer platform enabled bank to gain technological edge
Equity derivatives house of the year: JP Morgan
Risk Awards 2022: US dealer filled flow gaps with a little help from some robots
Credit derivatives house of the year: BNP Paribas
Risk Awards 2022: Relative value trades propel French dealer into US top tier for index and single names
Inflation derivatives house of the year: BNP Paribas
Risk Awards 2022: Bank helps clients target eurozone inflation amid global surge in consumer prices
Structured products house of the year: Citi
Risk awards 2022: Future-proofing against jack-knife market moves gives US giant the edge with clients
Risk solutions house of the year: Santander Corporate & Investment Banking
Risk Awards 2022: Multi-jurisdiction transactions saw the bank solve three-way currency conundrum and take on litigation risk
Flow market-maker of the year: Citadel Securities
Risk Awards 2022: ‘Meme factor’ and sturdy systems helped Ken Griffin’s firm cope with huge volumes – and post record revenues
Bank risk manager of the year: Deutsche Bank
Risk Awards 2022: Seasoned risk team put on a masterclass in how to manage margin risks
Credit portfolio manager of the year: Intesa Sanpaolo
Risk Awards 2022: Italy’s largest lender is one of the EU’s strongest thanks to smart securitisations
SSA risk manager of the year: European Commission
Risk Awards 2022: EC debt programme skyrockets to fund recovery package of up to €800 billion
Investment house of the year: LGIM
Risk Awards 2022: LGIM wins mandates from investors looking to limit their contribution to warming
Quant investment house of the year: Transtrend
Risk Awards 2022: Commodities long shot pays off for trend follower
Exchange of the year: Intercontinental Exchange
Risk Awards 2022: Amid Brexit and benchmark transition, Ice fulfils Abu Dhabi exchange ambition
Clearing house of the year: OCC
Risk Awards 2022: Risk management reforms help clearing house weather meme stock volatility
OTC trading platform of the year: TP Icap
Risk Awards 2022: Interdealer broker reinvents itself with Fusion platform and Liquidnet acquisition
Derivatives client clearer of the year: BNP Paribas
Risk Awards 2022: Europe’s clearing powerhouse hoovers up mandates at home and forges a US beachhead
Prime broker of the year: Barclays
Risk Awards 2022: Focus on risk management helps UK bank win client trust – and balances – in wake of Archegos collapse
Law firm of the year: Allen & Overy
Risk Awards 2022: law firm takes pivotal role in bond market’s DLT vision
Technology vendor of the year: Bloomberg
Risk Awards 2022: Data giant delivered risk analytics, while playing key role in Libor transition
Innovation in technology: International Swaps and Derivatives Association
Risk Awards 2022: Isda takes a fintech turn with quant analysis tool Perun, leveraging data standards legacy
Rising star in quant finance: Silvana Pesenti
Risk Awards 2022: New approach allows portfolios to be optimised and aligned with benchmarks
Buy-side quants of the year: Matthew Dixon and Igor Halperin
Risk Awards 2022: New machine learning tool tackles an age-old, old age problem
Quant of the year: Hans Buehler
Risk Awards 2022: Architect of deep hedging aims to supplant orthodox models with method based purely on data
How do you solve a problem like the lira?
Asset managers diverge in their approach to managing Turkish currency turmoil as FX hedging costs soar
FRTB capital quirk for sovereign bonds bewilders banks
EU treatment of govvies under internal models is worse than standardised approaches
EU banks fear outlier status on non-modellable risk charges
Dealers face disadvantage if EU implements more granular and costly version of FRTB than US, UK
Boost for deal contingent hedging as M&As face waiting game
With M&As subject to regulatory delays, banks see renewed demand for deal contingent hedging
Can Clobs level the playing field in OTC FX options?
Electronification could be a “game changer” for smaller liquidity providers, say participants
Bookstaber: past performance is no guide to future risks
Veteran risk chief says trading gains in wake of LTCM’s demise forged love of agent-based modelling
For OTC derivatives, the pricing (still) isn’t right
Financial instrument expert Dirk Schubert on how post-GFC rules have caused prices and valuations to diverge
New GFXC chair aims to keep up reform on last look
SNB’s Andrea Maechler urges more liquidity providers and trading venues to address hold times
On Russia, finance needs to find its moral compass
The looming risk of big write-offs should prompt investor rethink
SG, UniCredit, RBI most exposed to Russia as sanctions loom
EBA data shows €47bn of exposure to Russia from five most-exposed EU banks
JP Morgan incurs eight VAR breaches, triggering capital hike
Largest trading loss in Q4 reached 207% of the bank’s VAR limit
Sanctions threaten top pension funds’ Russia assets
Top global pension funds might dump Moscow-linked holdings in response to Ukraine invasion
SOFR swaps surge past $1 trillion weekly
OIS make up the majority of SOFR-referencing swaps
Russia sanctions risk putting $105bn out of foreign banks’ reach
But international claims on the country have fallen by half since 2014
Regulation triple-whammy lops 63bp off StanChart’s CET1
January 1 saw the introduction of SA-CCR, curbs on IRB modelling and the reversal of software capitalisation benefits
Kurtosis optimisation gives portfolios a shock absorber
Hedge fund quant shows how an alternative to PCA makes risk management more robust
Deep hedging: learning to remove the drift
Removing arbitrage opportunities from simulated data used for training makes deep hedging more robust
Fat-tailed factors
Independent component analysis is proposed as an alternative to principal component analysis
Sec-lending haircuts and indemnification pricing
A pricing method for borrowed securities that includes haircut and indemnification is introduced
Benhart: banks should start revising for OCC’s climate exams
US agency’s climate chief says firms will need more data from clients if they’re to make the grade
