Risk magazine - Oct 2016
Articles in this issue
Dealers leave buy side guessing on Mifid trade reporting
Clients face tougher reporting rules if dealers don’t become systematic internalisers
EBA stress test shines light on interest income hedging dilemma
Non-maturing liabilities pose problems for banks' IRRBB hedge accounting
Margin rules push interdealer inflation swaps to clearing
Traders say 95% of the market now cleared, compared with 10% a month ago
Basel to allow IRB models for low-default portfolios
Impact studies showing significant capital increase prompted committee rethink
Negative Euribor erodes securitisation profits
Implicit floors in notes leave originators facing cost of negative rates on hundreds of tranches
Fears rise that Asia will miss March 2017 margin deadline
India, Australia, Singapore and Hong Kong have yet to publish non-cleared margin rules
FRTB sends banks around the bend
Banks uncover hidden challenges of data, computing power and need for joined-up approach
No way out: The road to FRTB compliance
Sponsored feature: Murex
Forget your passport: London outside the single market
UK-based banks seek simplest way to retain EU access post-Brexit
Land of confusion: FRTB and the calculation burden
Sponsored feature: Quaternion Risk Management
The decentralisation trap: The FRTB standardised approach
Sponsored feature: Vector Risk
Freeing up the front office
Sponsored feature: Parker Fitzgerald
March margin deadline may force clients onto new CSAs
Dealers say they lack capacity to renegotiate thousands of existing collateral agreements
Attribution of risk measures for improved risk and capital control
Sponsored feature: GFT
People: O'Hara departs as Credit Suisse global markets head
Barclays poaches another JP Morgan senior executive; Berman joins Citadel Securities; and Icap hire new regulatory affairs head
UK repo decline sparks NSFR tussle in Europe
BoE and EC concerned about repo liquidity, but Basel Committee unlikely to budge
Credit veteran tackles opacity in peer-to-peer lending
PeerIQ CEO Ram Ahluwalia shines a light on the world of peer-to-peer securitisation
Regulations, sensitivities and adjoints: Using AAD for FRTB and FRTB-CVA
Sponsored feature: CompatibL
Lining up the fundamentals
Sponsored Q&A: Asset Control, Murex, Vector Risk, CompatibL, Parker Fitzgerald and Numerix
Loan danger: CFTC sees systemic risk in margin financing
Combination with net margin posting at EU CCPs could leave clearing members on the hook
Banks seek clarity on risk retention capital charges
CMBS issuers in dark about how much capital to hold against risk retention exposures
FRTB: a work in progress
Banks cannot wait for clarification but must forge ahead
Tough times for the real masters of the universe
Rules tie the hands of bank strategic investing units as fintech opportunities grow
Margin rules lead to NDF clearing surge
Banks look to finally clear forex products, but options remain a challenge
LSE forced to rework Curve deal over merger risks
Banks demand LSE use its own cash while awaiting verdict on Deutsche Börse tie-up
Blockchain: a solution looking for a problem
While new financial technologies show considerable promise, many proposed applications are either naive or miss the mark outright
A conflict resolution strategy for capital allocation?
A recently proposed method for capital allocation has the potential to resolve internal disputes
Rise of the machines: AI begins to tackle credit risk
Self-taught technology could push humans aside from some – or all – of the underwriting process
Organising the allocation
Yadong Li, Marco Naldi, Jeffrey Nisen and Yixi Shi propose a new capital allocation method
Swaps market mutation could replace managed change
Banks are finding it harder to control the future of the swaps market – that's no bad thing
Traders blame bail-in for Deutsche CDS jump
Debt subordination behind spread widening from January; CVA desks may need to adjust hedge ratios
Taking the FRTB plunge
Banks entering chilly FRTB waters for first time facing fresh challenges
Flylets and invariant risk metrics
Kharen Musaelian, Santhanam Nagarajan and Dario Villani show how to build robust risk metrics for bond returns
SGX risk chief urges Asia lobbying push on FRTB
Asian markets could be stifled by “irrelevant” global standards, warns Koh
