Risk magazine - Nov 2016
Articles in this issue
Why did the crisis cause such large op risk losses?
Huge losses from the 2008 crisis can be seen as a short option position
Final EU non-cleared margin rules softened for pension funds
No margin concentration limits for pension funds, but intragroup rules threaten US equivalence
Interview: US Treasury CRO on credit risk, Tarp and cyber threats
Ken Phelan stresses importance of credit risk management in key Treasury role
EU trading obligation threatens US equivalence
Rigid criteria and poor data could make EU regime too narrow to achieve US recognition
Sterling flash crash leads to market price confusion
Banks set their own sterling/US dollar low 4% higher than some traded rates
Using FX algos: Towards smarter execution
Sponsored feature: HSBC
Big losses force banks to rethink energy lending
Unfunded loans and exposures to suppliers worry credit risk managers
How banks weathered the money market storm
Bank funding desks tapped standalone accounts and offshore investors for cash as prime funds slumped
Netting questions linger in Asia margining rules
Hong Kong set to exempt non-netting trades from margin regime, following Australian position
Eight months needed for smooth Asia variation margin roll-out
The alternative is an unprecedented repapering exercise, writes Isda's Scott O'Malia
CCPs defend direct clearing models for the buy side
FCMs unsure if direct margin posting will deliver capital savings
People: Ramambason joins StanChart as head of XVA
Head of financial markets leaves StanChart; SocGen management shuffle; Lake leaves HSBC
LCH to revise margining after Brexit backlash
Excess intra-day margin will offset other collateral calls from November 3
Skewed views: banks, auditors split on CDS index trades
Views on risks and accounting treatment of arbitrage repack differ across the Street
Swap 4175: how a hedged loan became a €600m dispute
City of Linz v Bawag case underlines risks in municipal derivatives
Clamour grows for US Treasuries clearing mandate
HFT default could destabilise interdealer markets, participants fear
Regulators struggle to conjure the right leverage ratio
Too low, and it has no effect; too high, and liquidity suffers. Time for flexibility?
Reserving judgement: the BoE’s divisive leverage ratio plan
Central bank reserves exemption may squeeze interbank liquidity, raise capital requirements
A referendum on clearing
Brexit margin calls show swaps CCPs are relying on funding strength of a handful of banks
Huge Brexit margin calls stoke intra-day funding fears
Calls on June 24 may have topped $40 billion; critics urge regulators to review episode
The decline of the cash empire
Alex Lipton: the last line of defence between us and punitive negative rates is paper currency
See the error of your VARs
Commonly-used VAR estimation method shown to underestimate risk
Adjusting VAR to correct sample volatility bias
David Frank proposes an adjustment to sample variance for the computation of value-at-risk
‘Hot-start’ initialisation of the Heston model
Serguei Mechkov initialises Heston model’s parameters using probability distributions
Gap risk KVA and repo pricing
Wujiang Lou introduces a reserve capital approach to the hedging error in the BSM model
