Risk magazine - September 2015
Articles in this issue
Ice credit swap futures off to a slow start
Credit investors see "no need" for contract; Ice hopes other players will see appeal
Markit unveils new CDX index rules
Up to 10 new names from under-represented sectors could be added to high-yield CDX index
‘Smart’ derivatives can cure XVA headaches
Cryptocurrency technology could revolutionise derivatives valuation and collateralisation, say Massimo Morini and Robert Sams
Corporates fear end to Emir's hedge exemption
Counting all trades towards clearing threshold ‘would be a nightmare’
Liquidity events becoming more common, buy-siders claim
US Treasury market has seen eight intraday moves exceeding five standard deviations since 2012
Wrong-way risk done right
Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
The free boundary SABR: natural extension to negative rates
Antonov, Konikov and Spector adapt the popular SABR model to a negative rates environment
Corporates use XVA caps to limit unwind charges
Veolia caps CVA and FVA unwind costs in trades with 10 banks
Q&A: BoJ's Nakaso on QE, JGB liquidity and Basel III
Coherence of new Basel rules needs study, says BoJ deputy governor
Regional swaps booking replacing global hubs
Banks complain of mixed supervisory messages, but regionalisation trend is clear
Q&A: JFSA's Shirakawa on Basel III buffers
"Clarification is now urgently needed" on counter-cyclical buffers, says JFSA deputy commissioner
CME guaranty fund cut could lure new clearing members
Regional banks and prop shops eye direct membership, but FCMs see few benefits
Hidden price pressures grow in euro swap market
Clients face wider bid/offer spreads, as dealers struggle to find liquid hedges
The rise of KVA: how 10 banks are pricing the capital crunch
Risk survey shows new add-on is gaining acceptance and could reshape the swaps business
Competition is saving end-users from euro swaps price hikes
Swap dealers are often described as a cartel; right now, they are not acting like one
Custodial sentence: G-Sib charge hits 'riskless' business
Treating custody deposits as wholesale funding increases risk, critics say
People: Deutsche Bank loses two senior fixed-income traders
Zar Amrolia leaves Deutsche for XTX Trading, while Michelle Neal goes to BNY Mellon; Brevan Howard hires former RBS traders; HSBC appoints new head of forex options
Cutting Edge introduction: Sticky SABR
Quants develop a hassle-free model that can handle negative interest rates
Veolia: taking XVAs by the horns
Veolia's Damien Vancraeyneste, on capping costs and challenging banks’ calculations
Interdealer brokers need to change, say critics
“I’m just a good guy and I buy you a beer” is no longer enough
In-depth introduction: Japan
Senior officials at the BoJ and JFSA speak to Risk.net about QE, Basel III and more
Square Global Markets – Delivering added value
Sponsored Q&A: Square Global Markets
Challenging economic pessimism: an optimistic note
A contrarian, upbeat view of the long-term economic outlook
Risk Interdealer Rankings 2015: Competition heats up
Rankings tell a story of increasing competition
