Risk magazine - Nov 2024
Cover:
Michael Falzoni, Cozy Fantozy
Watercolour and ink on paper. 15 x 30 cm
www.michaelfalzoni.com
Instagram: @michaelfalzoniart

Articles in this issue
Basis swaps surge amid US repo concerns
Fed funds-versus-SOFR swap volumes nearly triple as declining Fed reserves impact funding rates
Barclays and HSBC opt for FRTB internal models
However, UK pair unlikely to chase approval in time for Basel III go-live in January 2026
JPM sees upside in blurring lines between QIS and SMAs
Hedge funds are combining their strategies with bank indexes to create new products
Hedge funds pile into short volatility QIS options
New twist on capturing vol premium remains popular despite mixed performance in August vol spike
EU bonds favoured over swaps as hedge for European debt
Hedge funds are increasingly using the bonds to hedge Bunds and OATs as swap correlations decline
BofA sets its sights on US synthetic risk transfer market
New trading initiative has already notched at least three transactions
Foreign banks want level playing field in US Basel III redraft
IHCs say capital charges for op risk and inter-affiliate trades out of line with US-based peers
Banks assess hurdles to EU bond futures’ prospects
EU bond futures are getting closer to launch, but obstacles around issuance, liquidity and demand cloud the outlook
Risk Awards 2025: The winners
UBS claims top derivatives prize, lifetime award for Don Wilson, JP Morgan wins rates and credit
Knives out: court cases cleave apart creditor expectations
Diverging court rulings show pitfalls and potential of challenging controversial restructuring transactions
Canada benchmark shaken by T+1 hedge fund influx
Shortened settlement cycle swept hedge fund trades into Corra, making the rate more volatile
The wisdom of Oz? Why Australia is phasing out AT1s
Analysts think Australian banks will transition smoothly, but other countries unlikely to follow
An AI-first approach to model risk management
Firms must define their AI risk appetite before trying to manage or model it, says Christophe Rougeaux
CFTC’s Mersinger wants new rules for vertical silos
Republican commissioner shares Democrats’ concerns about combined FCMs and clearing houses
CCPs’ skin in the game drops to historic low
Clearing members bear increasing load, analysis of 15 clearing houses shows
UBS logs three VAR breaches on legacy Credit Suisse positions
Bank risks higher capital charges amid market volatility and exit-related costs
Commerzbank wager swells UniCredit’s modelled RWAs by 62.5%
Total return swaps on German shares inflate VAR and SVAR components
Morgan Stanley’s CVA capital charges surge 42% in Q3
Jump in simple approach output drives RWAs to highest since 2020
Mizuho faces steepest capital squeeze from Basel floor
Fully floored RWAs would cut core capital ratio by 244bp, the sharpest drop among Japanese megabanks
Quants mine gold for new market-making model
Novel approach to modelling cointegrated assets could be applied to FX and potentially even corporate bond pricing
Market-making in spot precious metals
A market-making framework is extended to account for metal markets’ liquidity constraints
Choosing trading strategies using importance sampling
The sampling technique is more efficient than A-B testing at comparing decision rules