Risk magazine
Cutting edge introduction: Hidden models for hidden costs
NYU quants use Bayesian techniques to sequence trades, considering trading costs and multiple assets
Discounting change magnifies HSBC FVA loss
UK bank's funding charge jumps 75% to $460m
VAR limits: dislocations put focus on other lines of defence
Wild moves in the Swiss franc and US Treasuries blindsided VAR models
Calypso Technology: No FCM, no problem
Ex-RBS clearing head maps out a world without FCMs
Eurozone cannot survive on a diet of fudge
Greek political upheaval sets up a lose-lose confrontation for the eurozone
Goodbye Sonia flat: banks rethink swaps with bond collateral
Higher discount rate can cut payouts to in-the-money clients by millions
CME price limits caught out by Swiss franc surge
Exchange bins month-old rule after it led to huge spot-futures basis
EU court to rule on UK challenge to ECB's clearing policy
Verdict due on March 4 in first of three UK complaints about eurozone clearing
Two measures for the price of one
Harvey Stein combines risk-neutral and real-world measures into risk methodology
KVA: banks wrestle with the cost of capital
As the bank capital burden grows, dealers are trying to price in the associated costs
Trading book fears grow as rules enter home straight
Hedging threatened by treatment of liquidity and diversification, critics claim
Repo and securities lending face swap-style stays
Regulators and industry to meet in London on March 2
Big plans for derivatives termination stays – the BoE view
Stays will extend to buy-side, repo, and securities lending, says BoE’s Gracie
Price is sole factor in best execution – Pimco
Portfolio manager calls for tougher oversight of market-makers
CVA switchback will hit bank capital ratios, EBA says
One bank faces 3% hit to equity ratio if EBA proposals accepted
Credit derivatives – looking forward in a time of change
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Multiperiod portfolio selection and Bayesian dynamic models
Kolm and Ritter present a multiperiod, multi-asset selection model with transacion costs, kept computationally tractrable
Banks blame regulation for FCA's clearing worries
UK regulator warns client clearing could become a “missing market” but defers study
JP Morgan warns on swaps clearing
Bank says client clearing returns are "incompatible" with current capital rules
Currency manager calls for Swiss franc liquidity inquest
Evaporation of liquidity on January 15 caught traders by surprise
Clearing houses face privacy law concerns
US reporting requirements could force CCPs to break national privacy laws
Hedge funds eye actively managed synthetic CDOs
Active deals seen as “the next step” after last year’s revival of static CDOs
Banks claim trading book rules will hit hedges
Regulatory measures of risk would leap 133% for some positions, warns ING
UBS takes Sfr4.2bn of client collateral off balance sheet
Accounting change cuts futures clearing leverage exposure