Risk magazine - Sep 2018
In this month’s issue: Banks tiptoe forward with data for sale; time running out for cash-constrained risk management fintechs?; David Harding bucks his own trend; Libor reform threat to modelling under FRTB; and much more
Articles in this issue
Bank data: gold mine, or minefield?
The urge for dealers to sell their financial data is being counterbalanced by fears over client reactions
Brevan Howard is first non-bank caught by margin rules, sources say
Non-cleared exposures thought to exceed $1.5 trillion
World Bank completes first SOFR bond hedge
The largest SOFR swap trades to date were executed on August 13
Esma: Eonia can be used in CSAs after 2020
Swaps users can avoid repapering before BMR deadline but may face basis risks
LCH-Eurex basis falls 80% as insurers head to Frankfurt
Fixed rate available at Eurex has dropped from 1.35bp to 0.25bp in past two months
Time running out for EU Brexit temporary permissions regime
UK clearing houses may need to eject EU member positions if BoE scheme is not reciprocated by year-end
UK Treasury never analysed impact of risk weights for EU debt
Risk weight move seen as political threat to EU sovereign issuance to force Brexit equivalence deal
Goldman, Morgan Stanley push for CCAR changes
Balance sheets will shrink in a crisis, not grow, trading houses argue
Formosa swaptions trade under pressure from new Taiwan rules
Limit on investment by insurers is hitting issuance of Formosa bonds and related options
Banks can’t get a straight answer on BCBS 239 compliance
Regulators sidestep questions on whether ‘material compliance’ amounts to full compliance
Buy side using two-way prices in bid to hide trade intent
Number of trades done via ‘request-for-market’ protocol leaps 510% in past year
People moves: BAML makes changes in derivatives clearing, Mattatia joins MSCI, RBS hires new CRO, and more
Latest job changes across the industry
Banks look to spin money from their own data
Big banks are tiptoeing forward with datasets for sale despite a host of internal obstacles
Libor reform threatens risk modelling under FRTB
Dearth of liquid products and historic data threatens banks with capital hit under new market risk rules
Poor Mifid data could condemn OTC market to the dark
Many derivatives likely to fail first full liquidity test and escape EU transparency obligations
Own goal: Mifid II reduces transparency in some EU markets
New rules replace voluntary arrangements in ETFs and Nordic bonds, fragmenting post-trade data
A call to arms – How machine intelligence can help banks beat financial crime
The revolution in artificial intelligence promises new leads in banks’ fight against dirty money. Alexander Campbell of Risk.net hosted a live online forum, in association with NICE Actimize, to investigate the applications of this emergent technology
Risktech start-ups: survival of the fittest?
A new breed of vendors could change the face of risk management, if they can hang around long enough
Risktech start-ups struggle to clinch big-bank contracts
Light on cash, risk management fintechs face an extended gauntlet most won’t survive
Interdealer broker rankings 2018: shuffling the pack
With industry facing structural pressures and Brexit uncertainty, list of top brokers has been shaken up
Preparing for the initial margin phase-in
Requirements for the mandatory exchange of initial margin are expected to be time‑consuming and laborious to implement. David White, head of sales at triResolve, discusses the lessons learned from in‑scope firms, obstacles to achieving compliance and how…
Banks ask Fed to delay CECL impact on stress testing
Fed asked not to implement CECL into CCAR until 2021
Stress tests expose climate risks in loan books
Efforts to quantify the risk of global warming are changing the way banks manage credit portfolios
Staying alive: the EU’s stubborn CVA exemption
Delayed Pillar 2 capital charge could help US banks take EU market share in corporate hedging
Q&A: EU’s Hübner on Brexit and future of equivalence
Top EU lawmaker discusses improvements to equivalence, contract continuity and clearing relocation
To be resolved: the FDIC and the future of bank failure
Will Jelena McWilliams finally nail down the FDIC’s role as a resolution authority?
Leverage ratio redux: the fallout from French bank court win
EU countries could seek to benefit from exclusion of state-backed deposits from leverage ratio
Global banks eye China’s structured products surge
Following a government crackdown on local products, foreign banks look to open joint ventures onshore
Direct streaming gains foothold in US Treasuries market
Cost savings drive dealers away from Clob model into alternative venues
From AI to cheese: funds seek fixes for trend following
Firms turn to machine learning, hybrid products and new markets to boost returns
Winton’s David Harding on turning away from trend following
Founder explains decision to scale back weighting of strategy that made firm’s name
BlueMountain hunts for mispricings in rates markets
As QE rolls off, Colin Teichholtz sees rich pickings for relative-value fixed-income strategies
‘Trump digs coal’ – but is that enough?
Are Trump's efforts to support US coal levelling the playing field for fuel sources, or flogging a dead horse?
Financial risks don’t go on holiday
Better mapping of financial system would help avoid seasonal surprises, argues Andrew Lo
Counterparty credit exposure won't spark the next Lehman
Curbing of riskiest exposures and shedding of assets means banks in far better shape 10 years on
EU banks slash default risk estimates for corporates by 30%
Probabilities of default fall on average across 39 countries
European banks blitz non-modelled credit risks
Across 14 G-Sibs, IRB assets fell 10% over three years, while standardised assets dropped 20%
Top four EU banks have shed €1.5 trillion in assets since 2013
Barclays, HSBC, BNP Paribas, and Deutsche Bank slim the most in five years
Societe Generale defers €1.35 billion of trade profits
French dealer holds back far more than rival dealers
US big banks shrink systemic footprints in Q2
JP Morgan moves down into 3.5% capital surcharge bucket under Fed G-Sib methodology
US banks see fewer daily trading losses than foreign units
IHCs suffered losses on 54% of trading days compared with 44% for US BHCs
Op risk data: South Africa’s VBS Bank in $100m fraud loss
Top five events also include John Hancock, Deutsche Bank settlements. Plus PPI roundup. Data by ORX News
Credit data: zeroing in on supply chain risk
Data highlights the risks posed by economic protectionism, writes David Carruthers of Credit Benchmark
Swaps data: the race to replace Libor
Sonia swaps and SOFR futures are growing fast, says Amir Khwaja of Clarus FT
Is AD the answer to quicker MVA calculation?
Quants propose faster technique for Simm-MVA based on algorithmic differentiation
Efficient Simm-MVA calculations for callable exotics
Algorithmic differentiation are used to simulate sensitivities to calculate MVA
PNC’s risk chief on life as an in-betweener
Regulatory relief has bypassed the 'super-regionals', says CRO
