Risk magazine - November 2014
Articles in this issue
US bilateral margin rules: a hit parade of horrors
US regime differs on currency, threshold, eligible collateral and non-financials
Industry confronts hard choices in CCP recovery debate
CCPs have ways to boost financial strength – none straightforward
Citadel's Ken Griffin on Amazon, Bloomberg and swap market reform
"Buy-side firms say they want more liquidity and choice. Now, they have choice"
Cutting edge intro: Righting wrong-way risk
Models that describe wrong-way risk should move away from simplistic copula models, critics say.
CVA hedge losses prompt focus on swaptions and guarantees
Regulators and accountants don't agree on CVA but banks say smart hedges exist
Microfinance boom could be bubble, some fear
More lenders are vying for a small pool of creditworthy intermediaries
Conflict of interest: banks call for unity on Eonia
Traders fear swap market will be split by 0% floor disputes
Nationwide: ABS markets need more than warm words
"There does seem to be this sense in which covered bonds are innocent until proven guilty"
Negative Eonia splits US and EU banks, traders and lawyers
Collateral posters should pay when rates are negative, US banks believe
In-depth introduction: Expected shortfall
Weird or pragmatic: VAR-based back-tests for expected shortfall
Netting problems will restrict pension funds, FCMs warn
Lawyers’ reluctance to grant netting opinions is hiking capital requirements for low-risk trades