Risk magazine - Sep 2026
Cover:
Michael Falzoni, Happiness
Watercolour on 640gsm watercolour paper, 20 x 20 cm
www.michaelfalzoni.com
Instagram: @michaelfalzoniart
Articles in this issue
CME aims to offer client UST cross-margining internally in 2027
CCP has filed initial proposal with SEC; wants to offer more products than joint FICC programme
Tradeweb streamlines bilateral swap unwinds
After sterling IRS termination, platform eyes electronic credit checking and CSAs
CME offers basis traders a leg up
New Treasury Link service ‘levels playing field’ in strategy dominated by high-speed players
Issuers wrap prediction market bets for European clients
Structured notes from Marex and Otala offer prediction market exposure to European firms shut out of the raw contracts
Hedge funds return to JGB flatteners after brutal stop-outs
Funds bet repatriation of assets by Japan’s pension funds will driver further long-end yield compression
AI trained on fundamentals says which stocks will crash in sync
Neural net models correlations without a returns history and could improve stress testing
Jackpot for JGB asset swaps after hedging rush
Multi-leg trade turned profitable as corporate cross-currency hedging flows helped push yen swap rates above JGB yields
Physical risk now drives credit decisions
Insights into how physical climate risk is factoring into financial decision-making, from a single loan to a global book of business
People: CRO switches at Wells and Barclays, further SG shake-ups, and more
Latest job changes across the industry
As LLMs spread, quants confront ‘lexical risk’
Users are finding the uncertainty in GenAI models is hard to measure
PRA struggles to follow Fed’s FRTB modelling moves
Market risk experts say minor differences in US rules add up to more incentives for IMA adoption
Forward volatility: a model-free framework for hedging options risk
A model-free approach to extracting, hedging and managing forward volatility risk
More dealers enter OTC market – but are there enough?
Dealer Rankings 2026: Data shows bigger list of sell-side names in many markets; also suggests largest buy-side firms may be short of options
EU’s plan to get competitive faces big legislative hurdles
Large and controversial legislative package may be too amorphous to deliver results quickly
XiNG provides the platform for Citi’s growth
Citi’s best-in-class risk management platform, XiNG, provided the foundation for the firm being named Risk’s 2026 Derivatives house of the year
What happens when AI gets good at your risk management job?
Risk executive Alex Golbin asks how to build a valuable career in risk as agentic AI takes on more analysis
Tokenisation: a load of old bull for London’s financial markets?
Focusing on tech in context of digital transformation risks repeating 1980s Taurus debacle
The ECB’s geopolitical stress test needs a price
Only a market can say how much it should cost to insure against losses from a geopolitical risk event, and none exists, argues academic
Treasury buyback risks a (collateral) chain reaction
Rebalancing of bond tenors could stretch collateral links to breaking point, argues economist
Op risk data: KKR crushes antitrust fine record over pre-merger filing fails
Also: Dealers pay up for Mexican bond-rigging scandal; missing AML checks at UBS. Data by ORX News
Repricing inflation risk in choppy energy markets
Barclays’ Samy Ben Aoun outlines a method for modelling the sensitivity of inflation swaps to energy shocks
Continuous verification holds key to keeping AI on track
Decision-by-decision testing will help users trust AI judgement calls
Intraday pricing: fixed income’s next frontier
With firms looking to price fixed income securities on an intraday basis, specialist pricing providers such as LSEG help address cost, complexity and time-to-market challenges
Major US banks’ equity collateral surges to record $140bn
Stocks overtake Treasuries as fourth-largest OTC collateral type
Liquidity risk spikes at Eurex, JSCC, NSCC
New highs for stressed payment obligations set at three CCPs
JP Morgan leads US banks to highest derivatives exposure in a decade
BNY, Goldman and Wells Fargo at all-time highs
Citi, Goldman and Wells Fargo drive $74bn AFS securities surge
AFS share at US G-Sibs rise for 12th straight quarter as Treasury holdings climb to record high
OCC initial margin hits record $223bn after 38.1% surge
Client net requirements nearly double in Q2 as ECC and HKSCC also set new highs
Beyond the black box: interpretability of LLMs in finance
Mechanistic interpretability identifies and locates modifications in computational mechanisms
Reconciling P- and Q-calibration with path-dependent volatility
A mixed approach designed to improve calibration robustness is presented
