Risk magazine - October 2015
Articles in this issue
Clearing brokers send balance sheet allocations to Basel
Data from several clearers submitted to illustrate impact on bank leverage ratios
FVA – what's wrong, and how to fix it
Albanese and Andersen elaborate on controversial Risk article
Q&A: Visco of Bank of Italy on bank reforms and supervision
Splitting off prop trading would ‘complement’ EU resolution regime
Banks hope for Mifid reprieve on fixed-income research
Intervention by France, Germany, UK could bring about “more considerate treatment”
Citadel shut out of Tradeweb as it makes US Treasury move
Firm is first non-bank on Bloomberg, but primary dealer catch means it cannot join Tradeweb
End-users and banks seek radical change to Emir reporting
Corporates willing to write off sunk costs in move to single-sided regime
Intraday Volatility Forecast for Dax, Euro Stoxx 50 and Euro-Bund
Sponsored feature: Deutsche Börse
Client list reveals HFT dominance on BrokerTec
Barclays and JP Morgan only banks on list of top interdealer firms for US Treasuries
UK banks won't face FRTB capital hike – BoE official
Policy expert says most trading risks already captured under Pillar 2 framework
Mifid II delegated acts shelved until November – FCA
FCA official says 14 elements of Mifid II will be held up; research row blamed
Chinese corporate hedging costs soar after PBoC forex clampdown
New rule leads to 400bp price hikes as companies hedge renminbi fall
Double standards: CFTC margin rules redefine key concepts
When is a US person not a US person? The CFTC has the punchline
LDI funds cool on zero-coupon swaps as price jumps
Clients complain of six-fold hike after rates volatility hits dealers' par swap hedges
Expected shortfall’s silver lining
Despite continuing to insist that replacing value-at-risk with expected shortfall in the Basel Capital accord is wrongheaded and potentially dangerous, David Rowe argues that the shift may have an important silver lining
Dealers fret over Basel CVA revisions
Punitive standardised approach may replace modelling
The fast and the furious: HFT in US Treasury markets
Dealers: we're 'sitting ducks' in Treasury market overrun by HFTs
Agile, shared growth approach to managing risk in the current volatile market
Sponsored feature: Absa Corporate and Investment Banking
Cutting edge introduction: Expanding collateral options
Two RBC quants propose a way to value CSAs with more than two currency posting options
Collateral option valuation made easy
Vladimir Sankovich and Qinghua Zhu develop a method to value cheapest-to-deliver option embedded in CSAs
A non-linear PDE for XVA by forward Monte Carlo
Vladimir Piterbarg considers a non-linear partial differentiation equation that appears in a number of XVA-related contexts, including a one-way credit-support annex, credit value adjustment with risky closeout, option pricing with differential borrowing…
The benefit of a dynamic approach in making hedging decisions
Sponsored feature: Commerzbank
People: Deutsche adds new financial institutions co-head
Celeste Guth joins Deutsche as co-head of the financial institutions group; UBS shakes up US rates; Wetjen heads to DTCC
Albanese: crushing capital costs
Having tackled FVA, Claudio Albanese is now focused on capital optimisation
Copycat living wills may see dealers avoid US fines
Banks share law firms in bid to avoid sanctions, say lawyers
Q&A: CFTC’s Massad on cross-border conflicts
Regulator seeks to avoid repeat of CCP stand-off for trading rules
Risk South Africa Rankings 2015: The results
Falling rand and concerns over US rates contribute to difficult year for banks
HFT's Treasury market penetration a clear concern
Dominance of opaque shops poses concentration risks
Bank rankings 2015: Slaves to the rhythms
Interesting trends have emerged as regulatory change starts to bite
Bank rankings 2015: The results
This year's results highlight interesting changes in the market
In-depth introduction: US extraterritoriality
Confusion over Commodity Futures Trading Commission approach to cross-border supervision
