Risk magazine - urn:uuid:incisivemedia:risk:august:production
Articles in this issue
Incentives remain in banking book vs trading book choice
Regulators have attempted to address a flaw within Basel II that gave banks an incentive to hold assets in the trading book. But Basel 2.5 may have gone too far, and made it more attractive to place assets in the banking book instead. By Giovanni Pepe
Regulators should keep internal models
The Basel Committee on Banking Supervision is looking closely at the use of supervisor-approved internal models by banks, but the alternatives, such as a leverage ratio, are not a realistic option, argues Uwe Gaumert
Basel faces challenge on charge for interest rate risk in the banking book
Rates expectations
Profile: Standard Chartered's Feder on Singapore benchmark changes
A charter for change
CME vs LCH.Clearnet: Clients may face CCP-specific pricing, warn FCMs
The two biggest clearing houses for interest rate swaps, CME and LCH.Clearnet, have different margin models – which may affect the prices charged to clients by clearing members. It could also affect the contest between the two venues. Joe Rennison reports
Danske Bank RWA spat worries modelling experts
Model-bashing
Tax questions cloud prospects for CME swap future and Mac swaps
Early users of CME’s deliverable swap futures contracts fear the products will be taxed as loans in some situations. And with features of those contracts being used in other new instruments, it could become an issue for the entire industry. Tom Osborn…
Rates volatility buoys hopes for currency forwards desks
Going forwards (checking backwards)
Unclear on substituted compliance
The US Commodity Futures Trading Commission’s final cross-border guidance, published on July 12, provides answers to some long-running puzzles, but also generates a host of new questions. Critics say the rules are rushed and full of ambiguities – not…
Cutting Edge introduction: Accuracy or speed?
Accuracy or speed?
Simple, but sensitive: challenges face standard uncleared margin model
Simple, but sensitive
SABR spreads its wings
SABR spreads its wings
Hybrid smiles made fast
Hybrid smiles made fast
People: Credit Suisse appoints Munich Re CRO
Guldimann takes new role at Credit Suisse as Munich Re's Oechslin arrives; Barclays hires Morzaria from JP Morgan; Min Park joins Standard Chartered; new European inflation trading head at Citi; Axe leaves LCH.Clearnet
Inventory limits behind collapse in equity repo rates
Delta-one desks say their arbitrage business has been cut back – contributing to an unprecedented collapse in implied equity index repo rates. Inventory pressures created by bank regulation are being blamed. Matt Cameron reports
The great unwind: Buy-side fears impact of market-making constraints
Some buy-side firms are already calling it the great unwind – the migration out of the huge bond portfolios buy-side firms have built up in recent years, as rates eventually rise. But with dealers less able to play the role of liquidity provider, it…
What's the difference between issuers and borrowers?
Look beyond loans
