Risk magazine - Nov 2019
In this issue: repo market madness; deadline debacles over FRTB; a third way for cyber security; an approaching cat risk storm; and much more
Articles in this issue
Plumbing problems in the repo market
On September 17, three banks may have sucked up nearly a quarter of money market fund cash
LCH to cut jump-to-default margin for cleared CDS
Move could bring margin for cleared CDS closer to bilateral trades, but mismatch remains
French banks cry foul over EBA’s 2020 stress-test plan
Assumptions about the cost of household sight deposits are “not plausible”, critics say
FRTB costs force banks to weigh IMA desk by desk
Risk USA: Some desks “may not be able to pass these more rigorous standards”, says Morgan Stanley FRTB lead
Morgan Stanley, JP clear first cross-currency swap at Eurex
Two more banks onboarding; CCP hoping to extend service to clients in 2020
Barclays, IBM test quantum computing for settlement
New research suggests quantum machines will dramatically improve settlement efficiency
Machines can save 20% on routing orders, UBS says
Machine learning is navigating the labyrinth of venues, figuring out how best to land the trade
US clearers move to dole out losses besides default
ICC wants members to chip in on investment and custodial losses; the OCC, on the whole op risk enchilada
People moves: new global co-heads at Citi, Tran takes Asia-Pacific role at Crédit Agricole, RBC Capital Markets hires in sales, and more
Latest job changes across the industry
All clear? Structural shifts add to repo madness
Many things contributed to 10% repo, among them a FICC programme and a surge in overnight funding
Double trouble: don’t blur FRTB deadlines, warns ECB
Ignoring reporting model deadline could muddy capital approval cut-off
HKEX outage zapped key hedge; now banks push for rule change
Dealers seek shutdown of CBBC market if futures go dark
Robo-raters help banks vet vendors for cyber risk
Specialists tout service for monitoring third parties amid tougher rules on outsourcing risk
Climate change spells death of certainty
Global warming threatens to upend everything risk models take for granted
Cat risk: why forecasting climate change is a disaster
Forecasters are poles apart on climate-driven catastrophes; insurers fear worse ahead
Frandt or foe? FCMs hit back at Esma buy-side clearing salvo
Esma pushes dealers to publish standardised fee schedules amid clearing capacity fears
At bounding MarketAxess platform, a new CRO parses risk
Clarity and communication are basics to Oliver Huggins at one of the biggest US bond platforms
Europe’s new default rules: a defined benefit?
EBA’s single definition of default will have multiple effects for credit risk management, say consultants from PwC
Hong Kong eyes SOFR solution for term fixing
New ‘proxy’ Honia could help change discount rate from Hibor to OIS for local swaps, says HKEX
UK financials pilot £4bn Sonia bond switch
Lloyds, Santander UK and Nationwide follow ABP with legacy bond transition
Structural snags frustrate STS for synthetics
Curbs on excess spread and collateral stymie route to ‘high-quality’ signifier
Keeping watch: EBA stress-testing head plans overhaul
Top-down approach, dynamic balance sheet and multiple shock scenarios all possible for 2022
Cultural appropriation: private equity goes quant
Machines are helping venerable shops find under-the-radar performers and factors that drive them
Buy side builds bots to cut trade costs
With margins under pressure, investment firms are looking to accelerate automation push
Better risk reporting doesn’t need an IT upgrade
By revisiting certain calculations, new insights into risk and profit drivers can be gained, says data scientist
Swiss banks ask, how about a magic trick?
Banks pull off an accounting trick – with the help of their regulator
LCH leads top CCPs on operational failures
London-based clearing house said core systems were down for over seven hours in 12-month period
PRA grants Barclays £1bn op risk capital relief
Op RWAs fall to £42.5 billion in Q3
ECB exposes LCR window-dressing
Banks use collateral swaps and term deposits to improve key liquidity ratios
Post-Brexit vote, large US banks have curbed UK exposures
US G-Sibs shed $171 billion of claims on UK private sector between Q1 2016 and Q1 2019
At large US banks, credit loss reserves up 12% in Q3
JP Morgan took $1.5 billion of provisions in the third quarter alone
Post-crisis rules roil US cross-currency basis – IMF
EU leverage ratio causes basis spikes at quarter-ends
Op risk data: Rogue trading costs Mitsubishi $320m
Also: QR code scam costs ING customers; Australia banks hit with Pillar 2 add-ons. Data by ORX News
Credit data: US slowdown starts to bite for high yield
Credit quality in the US is turning, while the UK is sliding sharply, writes David Carruthers
Swaps data: CCPs – a systemically important market infrastructure
Disclosures show heavy concentration of initial margin in top three clearing services, writes Amir Khwaja
Quants bring ‘triptych’ of variables to risk measurement
Risk and portfolio managers at La Francaise and LFIS are squeezing more information out of stress tests
A triptych approach for reverse stress testing of complex portfolios
Pascal Traccucci et al present an extended reverse stress test triptych approach with three variables
In the balance redux
Mats Kjaer developes a dynamic balance-sheet pricing model for valuation adjustments
The greening of Natixis’s balance sheet
Green weighting factor will be used to adjust the credit RWAs of loans
