Risk magazine
US agencies "extremely focused" on Volcker rule, says Dept of Treasury
Overseer of Volcker rule work says five US agencies should produce a single rule – and are not planning to harmonise it with Europe's ring-fencing proposals
CVA proxying: Nomura's alternative to "flawed" EBA method
A cross-section for CVA
People: Bailey to be first head of the PRA
Bank of England veteran lands top job at new UK prudential regulator; Kengeter leaves UBS; Getco names new management team; Goldman forex head departs; LCH.Clearnet names new US chief exec
Banks fear capital swings if Basel III kills bond filter
Filter furore
South Africa's securities lenders seek collateral clarity
Security in lending?
Proxy war: Shrinking CDS market leaves CVA and DVA on shaky ground
Runaway adjustments
Profile: FSA's Jo Paisley, on data, modelling and the Bank of England
The Financial Services Authority has a Bank of England veteran heading its risk division as it is subsumed by the central bank. Jo Paisley tells Laurie Carver how the two disparate cultures can be reconciled – particularly when it comes to data
Euro's future unaffected by turmoil in Italy, say panellists
The results of Italy's election may have created uncertainty, but the eurozone's future remains intact, according to speakers at the FX Invest Europe conference
Another RWA, another dollar: Capital pressures prompt questions over pay
Basel III is forcing banks around the world to reduce their risk-weighted asset numbers. Some have set up specific teams to do so, but how will these traders fit into a remuneration system that focuses on revenue generation? By Michael Watt
Cutting Edge introduction: Wrong-way risk and the limits of correlation
Traditional models for wrong-way risk focus on the correlation between default and exposure – a blunt tool for a tail risk. Alternatives are thin on the ground, but a scenario-based approach may provide some fresh insight. Laurie Carver introduces this…
Uridashi losses put at $500 million after Nikkei rebounds
When the Nikkei slumped last May, banks were forced to sell volatility to protect positions built up through the sale of uridashi products – leaving many with losses. A rally in the index at the end of the year inflicted further pain. In total, the…
Gensler: OIS rate could be replacement for Libor
New benchmark must be based on "facts, not fiction", says CFTC chairman
Robust hedging of withdrawal guarantees
Robust hedging of withdrawal guarantees
trueEX: e-trading pioneer offering one-stop swap shop
In 1999, Sunil Hirani launched an electronic trading platform for credit derivatives, which sold for $625 million nine years later. Now he's back - and his new idea is an exchange for interest rate swaps. Peter Madigan reports
Wrong-way risk, credit and funding
Wrong-way risk, credit and funding
Family offices find an appetite for credit risk
Family wealth funds are dumping hedge fund positions and taking control of their own investment decisions. But as some move into direct lending – to replace retreating banks – they face new risk management challenges. Peter Madigan reports
CFTC braced for litigation over swap reporting showdown
Rule 1001 would route trades cleared at CME exclusively into its swap data repository. The Depository Trust & Clearing Corporation claims the rule is a ruse to skirt Commodity Futures Trading Commission rules and monetise swap data. Now the lawyers are…
Let swap platforms trade futures – Icap’s Spencer
Icap's chief executive says proposed derivatives rules are reinforcing exchange monopolies
Brokers lift the lid on swaps-to-futures confusion at Ice
When swaps become futures
Swedish DMO raises concerns over Basel III impact on bond trading
The chief economist of Sweden’s debt office fears new rules on available-for-sale securities will make government bonds less liquid
What tomorrow's hardware means for today's risk systems
The case for dynamic efficiency