Risk magazine - May 2016
Articles in this issue
Fed to use CCAR to push BCBS 239 compliance
"The stick they're wielding right now is around CCAR," says SunTrust executive
FDIC’s Hoenig: don’t impose TLAC, let equity 'do its job'
FDIC vice-chair says TLAC should reflect individual bank business models
Blockchain tech for derivatives CCPs – friend or foe?
Distributed ledgers can benefit – and won't replace – CCPs, says Nasdaq Clearing president
Corporates fear price rises if Basel curbs credit risk models
Trade finance exposures would move to standardised approach
Isda chair on twin threats facing OTC market
Capital a “sword of Damocles”, says Litvack; cleaner CSAs will fix valuation woes
JFSA calls for more dynamic approach to bank regulation
Isda AGM: Regulators need to rely less on uniform rules and work more closely with banks, says Mori
Standardisation ‘a must’ for uncleared swaps
Isda AGM: Standard products and contracts key to product's future, say trading execs
LCH and dealers clash over loss allocations
Isda AGM: CCP equity should not be spared, say clearing members
XVAs: a gap between theory and practice
Hull and White see splits on FVA, MVA, KVA as irreconcilable
MUFG head criticises internal modelling restrictions
Isda AGM: Mitsubishi UFJ Group CEO also sounds warning on sovereign risk weights and CVA
Industry calls for US Simm model approval guidance
Isda AGM: US banks in the dark over uncleared initial margin model approvals
Regulators have 'keen interest' in FRTB liquidity effect
Isda AGM: Japan central banker says regulators should analyse liquidity impact of capital rules
Cold comfort for dealers at crunch FRTB meeting
Banks and regulators make little headway on P&L variance test
Banks seek to counter FRTB internal model add-on
Parallel shifts and trading desk reshuffles mooted as fix for non-modellable risk factors
LCH-JSCC basis rockets for cleared yen swaps
Cost of receive-fixed swaps at JSCC jumps fivefold in a week
Basel plans would weaken leverage ratio
Adoption of 'risk-sensitive' SA-CCR will allow more leverage, argues FDIC vice-chair
Banks to ramp up credit risk if Basel scraps internal models
Lobbyists warn banks will add more high-yield debt if forced to follow standardised approach
Accounting – a quant's job?
Quants have a new interest - developing accounting frameworks
Capital and funding
Quants propose KVA and FVA accounting framework based on Solvency II regulation
Japan struggling with negative rate impact on swaps
Dealers facing issues with collateral interest payments and loan mismatches
Loan classification under IFRS 9
Vivien Brunel proposes a method to classify non-defaulted loans in accordance with IFRS 9
Expected shortfall and VAR: cracking the marginal allocations
A new method to estimate marginal VAR and marginal ES is presented
Algorithmic execution: Harnessing technology to manage risk
Sponsored feature: HSBC
Strong banks, weak stocks: should regulation share the blame?
Analysts say regulatory risk plays a part in weak bank valuations and wobbly prices
Sympathy for the Dimon
A lack of confidence is hobbling bank stocks – and the implications go beyond valuations
People: Societe Generale loses two senior markets execs
Fields and Escoffier depart SG; Deutsche hires Citi EQD head; Nicola White joins Citadel
