Risk magazine - Nov 2022
In this month’s collection: Building trust at Capitolis; SA-CCR scuffle over advantage fears; what the midterms could mean for the markets; and much more.
Cover: Rob Bennett, Untitled. Contact: rjbarts88@gmail.com
Articles in this issue
Revival of off-balance-sheet financing merits close scrutiny
Banks need more diverse funding sources, but new structures must be vetted carefully
Margin for non-cleared European energy trades to jump 80%
Annual recalibration of Simm could catapult some energy firms over relief thresholds
EBA to scrutinise banking book models amid macro turmoil
Banking regulator raises concerns as bankers doubt their IFRS 9 and IRRBB models
UK pension funds rush to dirty CSAs
Fearing margin pain once BoE gilt-buying ends, funds fast-track revisions to post gilts and corporate bonds
Gilt volatility to live on in IM and capital models
Even if sterling rates vol subsides, it will impact interest rate and cross-currency swap costs for years
Brokers slam CME over ‘conflict of interest’ in FCM plan
Clearing members question how CME could be quasi-regulator as well as direct competitor
Credit Suisse’s new markets strategy builds on the old one
GTS is scrapped, but blueprint of connecting wealth management to markets remains intact
UMR and the growth of client clearing
Following the implementation of phase six of the uncleared margin rules (UMR) this September, buy-side firms in-scope are carefully considering how to allocate capital and collateral more efficiently. Uchenna Uduji, ForexClear business manager, discusses…
Chill winds blow for Capitolis’s equity swap platform
Fintech’s effort to revive off-balance-sheet funding runs into market and regulatory turbulence
SA-CCR’s sacrifice: who stands to lose from new capital rules
Risk.net research shows the potential for dealers to be left at a disadvantage to their foreign rivals
Pension funds face intraday margin calls from anxious clearers
Some banks stick with T+1 margin posting, but others balk at funding cost and counterparty risk
Trends in global credit markets: the rise of credit default swap clearing in a shifting landscape
As macroeconomic and geopolitical turmoil continues, credit market participants are increasingly looking to clearing for its risk management capabilities and post-trade efficiencies. With a major shift in the clearing landscape under way, Michael Amakye,…
US midterm election scenarios: a fright after Halloween
Republican control of Congress could deal “a sharp shock to markets”, analysis suggests
How requests for quotes could amount to ‘insider information’
Lawyers say Esma’s incoming pre-hedging guidance could make firms liable for multimillion-euro fines
As interest rates surge, bankers fret over last year’s models
IRRBB modellers trying to predict client behaviour have little relevant data to fall back on
‘Perfect’ VKO trades knock the smile off vol
Dealer hedging of options which profit from ‘spot down, vol down’ may have amplified rare dynamic
Gamma zero: an overlooked signal of volatility is flashing red
Markets are most erratic when option hedging exposures are flat
Quants search for way to size crypto bets
Standard models say as much as 4% of a diversified portfolio could go into digital assets
Cyber incident reporting: convergence is key
FSB working group chair advocates common reporting framework and taxonomy
Navigating the complex world of equity options data
In an exclusive Risk.net webinar, convened in collaboration with Cboe Global Markets, experts discussed the expanding world of equity options data, the rise of retail investment within it, and the technological challenges and opportunities associated…
ABN Amro has EU’s biggest trading volume, new indicator shows
Bank’s activity in secondary market is 2.4 times Deutsche Bank’s
UBS cuts liquidity valuation adjustments to record low
Bank lowered bid-offer fair value discount to reflect current levels of market liquidity
Barclays frees up £4.5bn RWAs after overissuance clean-up
The bank unwound hedges that safeguarded its buyback of mis-sold US notes
Credit Suisse’s LCR down 20% in October as depositors flee
Sub-group liquidity requirements breached as chatter around bank’s solvency spurred cash outflows
Barclays, Deutsche, Credit Suisse take $437m hit on leveraged loans
Higher interest rates eroded value of facilities stuck in pre-syndication during Q3
Top US banks set aside $6bn for credit losses in Q3
Quarterly provisions highest in two years
Macroeconomic exposures of style indexes: what you don’t know could hurt you
Melissa Brown, managing director of applied research at Qontigo, reveals how changes in the macroeconomic environment can influence portfolio risk across a range of investing styles
A new approach to marking volatility of illiquid options
Julius Baer quant’s arbitrage-free solution overcomes challenge of sparse data
Alternatives to deep neural networks in finance
Two methods to approximate complex functions in an explainable way are presented
Sculpting implied volatility surfaces of illiquid assets
From the stock cumulative distribution function an arbitrage-free volatility surface is derived
Interpolating commodity futures prices with Kriging
A futures price’s term structure is built to account for trends and seasonality effects
Podcast: the right way to wrong-way risk and climate risk in XVA
MUFG quant thinks outside the box on risk management
Singapore’s UOB bucks trend to seek FRTB model approval
Despite data challenges, bank is opting for IMA to enhance risk management
