Risk magazine - Sep 2017
The September issue of Risk asks if the Secured Overnight Financing Rate is up to replacing Libor; plus we have a special Risk30 analysis of today’s regulatory environment, along with the broker rankings, a wide-ranging look at preparations for Mifid II, and much more.
Articles in this issue
A silver lining to the repo clouds
Central clearing of buy-side trades could further buttress the repo market
US regulators approve VM route to capital savings
Guidance tips balance in debate over interest payments in settled-to-market swaps
VM change helps Barclays cut derivatives by $113bn
Three factors slashed size of book by 25%, including move to treat margin as settlement
FRTB: proxy risk factors may trigger model failures
Swapping non-modellable risk factors for proxies may make it harder to pass P&L attribution test
Banks warned off machine learning for model risk
Banks acknowledge they “cannot hide behind a complex tool” to assess interconnectedness
Tradeweb’s Mifid bilateral trading plans draw fire
New process will class privately executed trades as on-venue to satisfy trading obligation
New EU bank rules threaten Eurex, LCH investment policies
CCPs with EU bank licences currently run leverage ratios of less than half the minimum
People: Nex loses TriOptima COO as reboot continues
HSBC names management team for ring-fenced UK retail entity
Libor’s sunset sees US repo market cast a longer shadow
Concern over structural deficiencies as SOFR chosen to replace key benchmark
Regulators struggle to balance global and local
Global banks merit global rules, but local banks can end up as collateral damage
In the balance: global regulation walks a tightrope
FSB evaluation could maintain international standards or accelerate their decline
FRTB to create winners and losers on the buy side
Wider spreads could hit returns, but some funds eye opening in exotic and securitised markets
Day of the Mifids: what happens on January 3?
Continued ambiguities in the rules could hit European market liquidity at the start of 2018
This tangled web: banks seek to contain systemic model risk
Network studies are being used to identify model dependencies and concentrations
Compliance fears slow use of synthetic swaps to cut IM
Dealers want firmer guidance on whether technique to slash margin costs contravenes clearing mandate
Broker rankings 2017: survival of the biggest
Having a larger firm to stand under as compliance costs soar could be the best bet for the year ahead
Brokers brace for Mifid II squeeze
Further consolidation is forecast for the interdealer broker industry as Mifid II looms
In a bind: how CCAR constrains US bank strategy
Fed’s stress tests are forcing banks to cut loan portfolios and trading assets
Heads in the cloud: banks inch closer to cloud take-up
Regulatory guidance helps clear the way for greater adoption of cloud computing
Banks tweak Euro Stoxx autocalls to cut concentration risks
Changes to popular structured products aim to help dealers reduce hedging costs, but will investors make the switch?
Adjusting to the P&L attribution test in FRTB
Consultants offer tips on eligibility framework for new internal models approach
Asset managers grapple with implications of cost transparency
Regulatory push for openness heightens concerns about impact on trading
Final US position limits rule will take ‘at least a year’
CFTC expected to draft a narrow list of contracts in scope
Ferc’s Collins defends manipulation rule
US energy market watchdog is “serious” about its surveillance role
Monthly credit data review: energy sector firing on all cylinders
Bank-sourced credit data shows rising confidence about oil and gas firms
Monthly swaps data review: credit volumes peak in June
Global cleared credit derivatives volumes reached $1 trillion before ebbing in July
Haircutting non-cash collateral
Wujiang Lou develops a parametric haircut model to conduct sensitivity tests and capture market liquidity risk
Calibrating Heston for credit risk
Marco de Innocentis and Sergei Levendorskiĭ describe a faster and more accurate method for market-implied calibration of the Heston model
Bank of the West’s Pollino on being loud about insider fraud
Cyber-security officer applies ‘broken windows’ theory to financial fraud prevention
