Risk magazine - November 2015
Articles in this issue
Buy side mulls new Eurex direct clearing model
Agency-style arrangement may cut clearing costs, but regulators wary
Russia to de-link derivatives reporting and netting
Corporates may be drawn into reporting regime, however
Southern Europe securitisation markets thrown lifeline in EC plan
New rules ease treatment of ABS from countries with low credit ratings
Esma delays EU clearing of Nordic currency swaps
Lawyers flag fears that EU banks would lose customers in non-EU member Norway
RMB fall forces Chinese corporates to rethink hedges
Exporters dump forwards; others hedge for the first time
Banks and platforms brace for Mifir privacy reporting wrangle
Mifid II reporting could breach third-country privacy laws
Bail-in divisions put bank swap ratings in doubt
Europe's fragmented resolution rules threaten Moody's framework
Banks forlorn over new Basel counterparty risk charge
Standardised risk charge delivers few benefits, and plenty of trouble
Trading book QIS: residual risk is 'killing everybody'
Residual risk add-on more broadly applicable than first thought under Basel rules
Cutting edge introduction: Jumpy wrong-way risk
Quants propose easy approximations for modelling wrong-way risk in CVA frameworks
Lack of average pricing holding back Clobs, says buy side
Sefs, FCMs and CCPs not interested in finding a solution, however
CCAR leaves modelling teams short of time and staff
Fed stress tests are a "perfect storm of pressure"
FVA for general instruments
Alexander Antonov, Bianchetti and Mihai develop a universal and efficient approach to numerical FVA calculation
Jumping with default: wrong-way risk modelling for CVA
Fabio Mercurio and Minqiang Li investigate CVAs in the presence of wrong-way risk
Risk budgeting and diversification based on optimised uncorrelated factors
Meucci, Santangelo and Deguest introduce a risk decomposition method based on minimum-torsion bets
To breach or not to breach: Mifid II and the reporting wrangle
Rules double down on existing clash with national privacy laws
Deutsche Bank loses Fan ahead of investment banking overhaul
Deutsche's Fan exits; Credit Suisse investment banking co-head retires; Sweden's prudential regulator hires new director general
And so, farewell: David Rowe's final risk analysis column
After 16 years as our risk analysis columnist, David Rowe looks back at a recurring challenge
