Risk magazine - March 2015
Articles in this issue
Big plans for derivatives termination stays – the BoE view
Stays will extend to buy-side, repo, and securities lending, says BoE’s Gracie
Eurozone cannot survive on a diet of fudge
Greek political upheaval sets up a lose-lose confrontation for the eurozone
KVA: banks wrestle with the cost of capital
As the bank capital burden grows, dealers are trying to price in the associated costs
Corporates eye cross-currency swaps as Euribor sinks
Cheaper swaps are encouraging some companies to chase lower debt costs
Currency manager calls for Swiss franc liquidity inquest
Evaporation of liquidity on January 15 caught traders by surprise
VAR limits: dislocations put focus on other lines of defence
Wild moves in the Swiss franc and US Treasuries blindsided VAR models
People: Barclays reshuffles quant team
Piterbarg departs, replaced by Marco Naldi; Traiana's Coyne-Solinger saga climaxes; BAML shakes up structured credit team; Tradition hires John Wilson
Tucker: regulators knew reforms might create 'bumpy' markets
Prudential rules sought to bring about new market structure, says ex-BoE deputy governor
Cutting edge introduction: Hidden models for hidden costs
NYU quants use Bayesian techniques to sequence trades, considering trading costs and multiple assets
Calypso Technology: No FCM, no problem
Ex-RBS clearing head maps out a world without FCMs
Top five US swaps clearers have 73% of the business
Full year of clearing data highlights market's reliance on handful of banks
What links Schumpeter, market structure and Basel III?
Regulators are hoping higher capital levels will translate into healthier markets
Goodbye Sonia flat: banks rethink swaps with bond collateral
Higher discount rate can cut payouts to in-the-money clients by millions
Lehman vs Moore in swaps safe harbour showdown
Lawyers cool on Lehman's chances, but warn victory would harm swaps market
