Risk magazine
Quant Congress Europe: BM&F Bovespa uses close-out model to cut margin
Netting and optimal execution effects may help other CCPs reduce margin requirements, says NYU maths professor Marco Avellaneda
Quant Congress Europe: Test models as you build them, says BAML expert
With the 'London Whale' modelling failures still casting a shadow over the industry, BAML model risk head advocates ongoing testing
Quant Congress Europe: No consensus on FVA accounting
Industry undecided on whether own cost of funds or an industry average funding spread should be used
Quant Congress Europe: Quants “waiting for Godot” since crisis
Top Bank of America quant, Alex Lipton, says subject still needs overhaul
OTC volumes shrink as category two clearing begins in US
Clearing volumes dip as hundreds of new firms are caught by US clearing rules, but activity rebounded on June 11
Bond investors attack design of new Tier I capital
Traditional bond buyers worry about tail risks in CRD IV-compliant capital instruments, but analysts are predicting up to €200 billion of issuance
AIFMD regulation more suitable for some strategy ETFs, says EC official
EC asset management head proposes regulation of some strategy ETFs under the Alternative Investment Fund Managers Directive, instead of Ucits
European OTC client-clearing docs arrive after nine-month delay
Complete agreement proved impossible, but participants see new legal template as a good base for negotiations, Isda says
Fails could jump as category two clearing starts in US, FCMs warn
Hundreds more firms will be required to start clearing in the US today, and FCMs are warning there could be an increase in rejected trades as a result
Year-end ‘congestion’ looms for European trade reporting
Buy-side must prepare to meet their FX reporting obligations in Europe, which will be more challenging than in the US, webinar participants warn
OTC Derivatives Clearing Summit: Capital burdens could weigh on swap futures
Lower margin levels for swap futures could drive up risk-weighted assets for dealers, and erode the product's advantage, panellists argue
OTC Derivatives Clearing Summit: Clearing incentives "are not there" - Goldman's Frankel
Regulators want capital and margin rules to encourage central clearing, but analysis suggests costs may currently be higher in the cleared world
Banks tout alternative to calculate CCP default fund capital charge
Dealers push for a more risk-sensitive model, but regulators may opt to incorporate a new non-internal modelled approach into the existing hypothetical capital method
OTC Derivatives Clearing Summit: Some non-US dealers leaving buy-side trades unreported
Citadel and Fortress have found some foreign banks unwilling to accept Dodd-Frank reporting rules, conference hears
OTC Derivatives Clearing Summit: Bank examiners will push dealers away from bespoke trades, says Fed
Supervisors should ask dealers to prove they are favouring standardised products, says Fed official
OTC Derivatives Clearing Summit: SEC, Fed promise reform progress
Supervisors respond to buy-side fears of multiple regulatory masters
ACI to develop new spot FX standards
Industry association plans to complete project by year-end to bring greater clarity to the definition of spot FX across currencies and geographies
IASB eases fears over hedge accounting for CCP novations
Standard-setter decides trades can still qualify for hedge accounting when voluntarily novated to a CCP, but experts warn wider stance on novation could cause trouble
Risk’s OTC clearing survey
In this video, Nick Sawyer talks to Risk’s editor, Duncan Wood, about clearing mandates in the US and a new Risk survey on client clearing
FX prime brokers forced to terminate double give-up trades
Prime brokers have had to cancel four-way agreements for trades involving two buy-side firms, on the basis that a no-action letter issued by the CFTC on April 30 did not cover this type of business
EC recognises member state fears that FTT will hurt clearing
Tax liability could send CCPs "directly into insolvency" warn Czech officials in leaked document
People: Regan quits Asia CRO role at JP Morgan
US bank loses new regional CRO after just three months; HSBC unifies inflation trading business under Mirfendereski; Min Park replaced at Credit Suisse; forex hires at Bank of Montreal
Into the unknown: Risk OTC client clearing survey
Into the unknown