Risk magazine - urn:uuid:incisivemedia:risk:april:production
Articles in this issue
Q&A: Mark Branson on the too-big-to-fail problem, modelling and Basel III
Switzerland went first – and furthest – on post-crisis banking reforms, making its industry a test case for the impact of the new regime. But it has not yet solved the too-big-to-fail problem, Mark Branson, chief bank supervisor at Eidgenössische…
Swap regulations hold key to future of OTC algorithmic trading
The arrival of central limit order books in the interest rate swap market has opened the door to algorithmic trading – but only a little. Its future depends on how the over-the-counter market evolves. By Peter Madigan
Basel trading book review triggers fight for modelling freedom
Regulators have embarked on a wholesale review of the way trading book exposures are capitalised. The industry responded, and continues to lobby – but is it getting anywhere? Laurie Carver reports
Chip and win: Banks expand use of GPUs
As computational demands on banks have increased, some have turned to powerful graphics processing units, but these were initially applied at the transaction pricing level. Now, they are starting to cover portfolio valuations and other enterprise-level…
CDSs, CVA and DVA – a structural approach
CDSs, CVA and DVA – a structural approach
Double trouble: UK banks face threat of twin ringfences
The post-crisis years have been punctuated by calls for big banks to be broken up. Nothing quite that dramatic is happening, but ring-fencing proposals in Europe – and a de facto fence around foreign banks in the US – are nudging the industry towards a…
Breaking break clauses
Breaking break clauses
China and the challenge of creative destruction
If China is to continue its remarkable economic success of the past 30 years, it needs to tolerate and even encourage disruptive figures such as Steve Jobs. David Rowe argues that it is unclear whether the existing power structure is prepared to do so
Sefs: Dead on arrival?
Bloomberg is threatening to sue the US Commodity Futures Trading Commission over uneven margin rules that it fears will drive the market away from swaps and into new futures contracts. Peter Madigan reports
Late nights and illegality – but start of clearing in US goes well
The days either side of the first US clearing deadline saw last-minute decisions by clients and regulators, operational niggles and some illegality
Cutting Edge introduction: CVA for CDSs
Counterparty risk is generally thought of at a portfolio level, but understanding how a particular payout interacts with credit and debit valuation adjustments could help banks make business decisions. Laurie Carver introduces this month’s technical…
The black art of FVA: Banks spark double-counting fears
Dealers broadly agree that funding costs and benefits should be priced into uncollateralised trades, and some banks have started recognising this in their financial statements. But there is no standard practice, and there are fears of double-counting. By…
Futurisation debate shifts to block trading rules
Different block trading thresholds for economically equivalent swaps and futures could hand exchanges a decisive advantage in the ongoing futurisation fight. But some market participants argue the disparity is fair, as do some regulators. Joe Rennison…
Legal clouds hang over RWA-driven netting push
New capital requirements are making it more difficult for banks to trade with counterparties that are not covered by a netting opinion. That is spurring attempts to expand coverage, but can leave banks and lawyers on uncertain ground. By Lukas Becker
People: JP Morgan creates regional CRO roles
Credit portfolio manager, Holderness, to be CRO for Europe; Lloyds lands Coutte to head rates; inflation market veteran Mirfendereski takes rates strategy role at HSBC; promotion for Miell at BGC Partners; Citi loses head of European OTC clearing
Sefs find liquidity comes at a cost
Banks have been reluctant to pick winners and losers from the array of new derivatives trading platforms being set up, but with Citi and Morgan Stanley taking equity stakes in two venues at the end of last year, it looks like some dealers are finally…
CFTC: O'Malia on a mission to fix Dodd-Frank flaws
With the end of the agency's marathon Dodd-Frank Act rulemaking in sight, CFTC commissioner Scott O'Malia wants to go back and fix what he sees as mistakes. By Peter Madigan
