Risk magazine - Volume 25/ Number 4
Articles in this issue
Cross-default dilemma
Cross-default debacle
Beware of data leverage
Beware of data leverage
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Constant maturity asset swap convexity correction
Constant maturity asset swap convexity correction
LEI debate focuses on governance issues
The LEI vision
Each: CCPs seek safety in numbers
Each and everyone
A regulatory Catch-22: bail-in plans collide with Basel's NSFR
The funding squeeze
New CFTC block trade proposals spark row over 67% threshold
Attack the block
Banks look to cut corners on CVA computation
Cutting CVA corners
China's credit default swap market slow to grow
China launched its version of the credit default swap market nearly 18 months ago – yet activity has almost ground to a halt due to a combination of inflexible rules, lack of standardisation, and an approach to the concept of credit default that is…
US dealers breathe easier as global uncleared margin rules take shape
The extraterritorial scope of US margin rules would have left US banks’ overseas swaps business in tatters, but an international working group looks set to deliver a reprieve by endorsing similar rules
People: Bänziger leaves Deutsche as Fan, Faissola take new roles
Deutsche's Bänziger to go, while Fan becomes securities co-head; BoE's Tucker gets CPSS role; Ashley shakes things up at Nomura; unhappy Goldman trader adopts scorched earth policy
Liquidation cost: why mark-to-market values are wrong
The cost of liquidation
Regulators look out for clearing dodges
Out of the clear?
Credible capital: regulators prepare to tackle RWA divergence
Credible capital
Cutting edge introduction: exploring constant maturity asset swaps
Exploring constant maturity asset swaps
Ever heard of the WGMR?
Working Group on Margining Requirements is keeping a low profile
Bank capital
In depth: bank capital introduction
