Risk magazine - Sep 2016
Articles in this issue
Sense and sensitivities: Isda Simm is not so simple
Three industry experts argue initial margin calculations for uncleared trades won't work without centralised calibration of sensitivities
EU non-cleared margin rules tipped for February
Regime likely to begin earlier than mid-2017, say regulatory sources
Mind the Gaap: US banks brace for $50–100bn capital hit
New loan loss accounting regime could shrink US banks' Common Equity Tier 1 ratios by 25–50bp
UBS saves Sfr295m in capital via swaps margin change
FDIC vice-chair has warned of hidden dangers in new approach
TLAC subordination requirements loom in Europe
EC favours excluding derivatives from MREL and taking French approach to subordination
Firms aim to convince Basel on merits of op risk insurance
Lack of recognition in new SMA capital charge could cause market to shrink, worry insurers
Cat bonds can help combat the systemic risks of CCPs
Bonds could pre-fund CCP default funds and higher margins during market stress, authors argue
Year-end deadline for fixing CCP recovery plans 'not realistic'
Some central counterparties are unable to maintain a continuous 'cover two' standard
Banks fear costs from loss of AAD under simpler FRTB rules
Trading book regime may force use of more expensive and time-consuming ways of computing risk sensitivities
People: Barclays loses veteran OTC clearing head Kahn
Barclays loses Kahn, gains JP Morgan's Portney; NIBC hires new CRO; Nomura finds new EM head; and more
Dealers grapple with netting valuation adjustments
Some banks are expressing netting uncertainty as a fair value adjustment to CVA
Banks prepare for bumpy ride as margin deadline looms
Banks and funds may have limited set of counterparties on September 1
Voice-to-text software touted as Mifid II quoting fix
Quotes given over phone can be transcribed and broadcast, claim ‘soft turret’ firms
When time is of the essence, shortcuts are still handy
‘New age’ quants might not like it, but speed can be traded for accuracy in spotting investment opportunities
Buy-side forex trading curbed as margin rules take effect
Prime brokers will cut off access to dealers if they fail to agree revised CSAs
L’exception française: why French banks dominate US repo trading
French banks are exploiting a quirk in the leverage ratio rules to expand repo trading
Interest rate models enhanced with local volatility
Lingling Cao and Pierre Henry-Labordère implement Dupire's local volatility in interest rate models
Stable linear-time optimisation in arbitrage pricing theory models
Gordon Ritter proposes a stable mean-variance optimisation for APT models
Can US money funds rely on French banks for repo liquidity?
Foreign dealers may be here today, gone tomorrow
CFTC relief caps day of swaps margin mayhem
Banks unable to face up to 50% of counterparties due to custodian bottlenecks
Under construction: Renovations for CECL begin
Sponsored content: SAS
FRTB standard rules cause worries about duplication
Sensitivity-based approach means “we have to do everything twice”, complains one head of trading
Brokers woo new clients, try not to upset old ones
Broker rankings 2016: Swaps market still bifurcated, but boundaries are blurring
Interdealer brokers consolidate to survive
Four of top five firms in this year's rankings are involved in deals
A culture of excellence
Sponsored statement: Square Global Markets
