Risk magazine - Oct 2021
Articles in this issue
Citi reorg the final note in failed swaps clearing model
Strategic shift from OTC clearing powerhouse to client support function marks the end of an era
BSBY swap fallbacks too flimsy for BMR – FCA
Pressure piles on SOFR alternative as US, UK regulators axe their role in Isda replacement waterfall
EU banks aim to block new counterparty risk guidance
Requirement to include exposure spikes linked to swap payments within EEPE models prompts blowback
Synthetic Libor gets cautious approval as swaps fix
‘Tough legacy’ solution could mop up $2.7trn-equivalent of non-cleared sterling and yen derivatives
BlackRock to grant funds power to track climate risks
Aladdin system holding trillions of dollars to show whether funds are burning the Earth or saving it
EBA set to unveil revised hybrid stress-test framework
Firms fear new bank-run leg in 2023 exam could prove an operational headache
EC shelves report on relocation of euro clearing
Consultation revealed a deep reluctance among banks to shift clearing to EU CCPs
People moves: Citi nabs JPM and Citadel staff, and more
Latest job changes across the industry
Clear out: inside the equities takeover of Citi’s FCM
Clearing unit is being reshaped to support equities growth push
After Archegos, a bigger role for XVA desks?
Credit Suisse has stalled on call to expand XVA remit; others think it would have helped, but disagree on how
Cyber optics: are banks downplaying SolarWinds hack?
In wake of watershed breach, banks eye supply chain risk while talking down hack’s impact
Phase five margin queues spur calls for custody revamp
Custodians urged to update “antiquated technology” ahead of three-fold jump in phase six initial margin onboarding
Why new EU rules are fuelling greenwashing and how to stop it
Reporting requirements for ESG funds may not solve the problem – a list of harmful investments might
From the margins: CGBs vie to join the collateral club
Can CGBs emulate US Treasuries as initial margin on cross-border derivatives trades?
EC expected to apply output floor at group level only
‘Parallel stacks’ proposal unlikely to appear in first draft of CRR III, due next month
Currenex case may herald focus on e-FX’s ‘Wild West’ days
FX sources say “uncomfortable secrets” could emerge as attention turns to platform relationships
Don’t bank on it: Fed urged to widen access to new repo facility
Central clearing of SRF’s repos and less unease over its use could also buoy glitchy Treasury market
Climate risk: the writing is on the wall
For the EU financial sector, climate risk is inescapable, but it could be tamed
NSCC caught $5 billion short in June
Worst-case losses would have wiped out the CCP’s available liquid resources on two separate days in Q2
European banks set for 17.6% capital hike under Basel III
Output floor expected to push Tier 1 capital requirements up 7.3% alone, latest BCBS monitoring report shows
BNP Paribas leads EU banks on repo exposures
French bank increased securities financing transactions by €66bn in the first half of the year, the most among the bloc’s top lenders
Systemic US banks’ bail-in buffers rose in Q2
Morgan Stanley posts largest amount of headroom, while Citi, State Street and Wells Fargo trail behind
StanChart’s CVA charge up 19% in Q2
Higher capital requirements also at Barclays, Lloyds and NatWest, with HSBC the only outlier among top UK banks
Sonia/SOFR swaps jump ahead of ‘RFR First’ initiative
Cross-currency swaps increasingly seeing RFRs on both legs
An ‘optimal’ way to calculate future P&L distributions?
Quants use neural networks to upgrade classic options pricing model
Deep learning profit and loss
The P&L distribution of a complex derivatives portfolio is computed via deep learning
Axes that matter: PCA with a difference
Differential PCA is introduced to reduce the dimensionality in derivative pricing problems
A quant’s view on protecting stock-pickers from themselves
Ex-Citadel, Millennium risk manager says fundamental investors have much still to improve
