Risk magazine
Reduced-form capital optimisation
A linear approximation to an allocation technique provides a solution for banks’ capital managment
CFTC’s equivalence plan divides clearing houses and clients
US end-users prefer alternative compliance, but foreign CCPs want exempt status
Looking forward to backward‑looking rates
Interbank offered rates are critical in the world of contracts and derivatives, acting as reference rates in millions of financial contracts and with a total market exposure in the hundreds of trillions of dollars. Bloomberg explores why offering…
Floating start date for 2020 stress test alarms EU banks
Regulator proposal could lead to less reliable market risk data, critics warn
Harnessing AI to achieve Libor transition
Chris Dias, principal at KPMG, explains how the vast increase in accuracy that artificial intelligence (AI) offers when dealing with large volumes of complex agreements is crucial to exploring the market opportunities and mitigating the risks of the…
Libor transition and implementation – Covering all bases
Sponsored Q&A
Ice, CME shore up clearing house recovery planning
Introduction of VMGH and tear-ups comes amid impasse over CCP recovery and resolution rules
Buy side seeks non-cleared margin relief for SMAs
Sifma AMG calls for $50 million IM exchange threshold to be set annually
EU seeks to offer reassurance on Brexit clearing exemption
Commission can act quickly to stave off no-deal market disruption, insists official
Watchdogs ask EC to delay repo haircut floors. Will it?
EBA says hedge funds will skirt the rules, but Basel and FSB want haircut minimums in place
Isda set to launch fallback spread consultation
Lookback and mean/median study to launch this month, with results tipped to move the basis market
CLO investors find silver lining in Libor’s demise
A backward-looking SOFR rate will reduce the asset-liability mismatch that sank CLO equity in 2018
FCA chief calls for EU to extend Brexit clearing exemption
Bailey also urges EU to grant equivalence determinations for UK trading venues
Industry expects US FRTB proposals by year-end
Fed likely to co-ordinate progress with EU, which may also accelerate its timetable
House of the year, Australia: ANZ
Asia Risk Awards 2019
When regulators become nationalists
EU’s new treatment of bank software assets is partly a response to global competitive pressures
People moves: Deutsche hires new treasury unit head; markets role for Barclays’ Pecot; Penney leaves HSBC, and more
Latest job changes across the industry
Enria: no reason for EU to deviate from Basel output floor
ECB supervision chief urges lawmakers to implement contentious Basel III model constraints
An old fight over margin protections rears its head
CFTC rules on margin and loss limits for separate accounts are being torn up for asset managers
Span 2: a fine balance
Switching margin model means walking a tightrope of competing interests amid regulatory scrutiny
Structured products – The ART of risk transfer
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
A look under the hood of Span 2, CME’s new margin engine
VAR-based framework has new ways of netting contracts and setting volatility floors and more
Revealed: FRTB impact three times higher than expected
Undisclosed Isda study finds capital hike outweighs previous Basel Committee estimate
CME no longer looking back to Lehman
Changes to rates margin model move CCP into line with rivals