Risk magazine
Heston model: shifting on the volatility surface
Stochastic volatility model combining Heston vol model and CIR++
Russia limits swap reporting scope
Dealers cheer decision to limit affected counterparties
Focus on risk culture is ‘remaking’ the banking system
Banks and regulators face new risk culture challenges
Path-consistent wrong-way risk
A copula-based model for wrong way risk
BoE researchers flag potential flaws in CCP default funds
Paper proposes refinements to 'cover two' standard
EU stress tests see €46bn trading loss for G-Sibs
Estimated losses are lower than in last crisis, analysts say
Markit venture is first casualty of US swap flop
Clearing credit hub closes, with Markit citing disappointing Sef volumes
Esma gets tough on trade identifiers in new Emir fix
Previously suggested process for UTIs now "should" be followed
Buy-side firms slam broker Sefs over lack of anonymity
Name give-up a way of shutting market to non-dealers, critics claim
Custody Risk announces shortlist for European Awards 2014
Custodians, fund administrators and service providers recognised
Giant bond funds could trigger next crisis – GLG’s Mawby
Giant daily dealing bond funds and ETFs could cause the next crisis, GLG’s top fixed income manager says
CCP resolution guidelines ‘a missed opportunity’
CPMI-Iosco and FSB guidance should be more proscriptive, says industry
HFT firms ‘learned a lot’ from Knight Capital loss
Automated risk systems vital, says Tower Research Capital CRO
Deutsche Bank CRO: derivatives becoming loss leader
Core rates products may only be offered to “key clients”
Citadel ‘nervous’ about lack of Sef competition
Firms warn dominance of Bloomberg and Tradeweb may not be healthy
OCC’s Taylor: US creates ‘headroom’ for leverage rethink
Tougher leverage ratio in US prompts early review
Failure to improve culture will be punished – Dudley and Tarullo
Senior Fed officials speaking at New York Fed workshop
Investors have ‘no incentive’ to use swap futures, says Wallin
Real money firms have enough collateral to stick with swaps, buy-side exec argues
Buy-side firms seek margin flexibility via CSA changes
Collateral transformation facilities being lined up but are not being used
BlackRock overhauls scenario analysis approach
New approach introduced six months ago, as event risk increases
Pension plans urged to take more risk
‘Under-risked’ plans will not hit 7.5% return targets, warns Paamco CEO
Esma kicks off NDF clearing consultation
NDFs in 10 currencies to be authorised for clearing in Europe
Buy-side CROs: to each investment strategy, a unique tech response
Chief risk officers from boutique and institutional investment firms talk about their risk management and reporting platforms
Recovery rules would force CCPs to accept operational losses
Operational losses to be borne solely by CCPs, says CPMI-Iosco