Risk magazine
People moves: SocGen changes at the top, new global markets head at HSBC, compliance switch at Natixis, and more
Latest job changes across the industry
CFTC official: CCPs should war-game default auctions
Risk appetite should be factor in selecting auction participants – Wasserman
Time running out for Brexit data compliance, Bailey warns
FCA head also highlights shortfall on Mifid trading venue equivalence
CFTC seeks trading venue equivalence in Asia
As it strives for a seamless Brexit, the CFTC also nears deals with Asian jurisdictions
UK quant academics fear Brexit brain drain
Brexit hitting graduate jobs, funding and “driving European academics away from the UK”, say universities
Foreign banks expect Fed proposal imminently
New framework for tiering FBO requirements could come as early as this week
FRTB 2.0: lower capital but high running costs
Revisions to market risk rules fail to ease complexities of internal models approach
FRTB is here – now it’s up to local regulators
Each jurisdiction must produce its own version of FRTB; until then, banks are hanging back
Clients feel forgotten by Giancarlo’s swaps trading plans
Industry says wider Sef mandate ignores reality of dealer-to-client market
Tackling local compliance in an increasingly globalised world
TMF Group’s Leon Mao, head of family business and wealth solutions in Hong Kong, explores the pressing challenges of addressing both local and global regulations to minimise regulatory and reputational risk in the Asia‑Pacific region
Functional programming reaches for stardom in finance
Fans highlight more reliable code, and suitability for complex tasks and distributed ledgers
Banks hope final FRTB rules will ease NMRF burden
Internal models approach buoyed by more liberal rules on price observations and risk factor aggregation
Mifid data publishers drag feet on Esma guidelines
Four publishers yet to align post-trade data format with Q&A issued eight months ago
Giancarlo’s last stand: the race to complete Sef reforms
Part of flagship proposals could be left to his successor, putting their fate in doubt
A rush on Libor fallbacks to head off holdouts
Concerns that valuation changes will scare some off adoption may be accelerating Isda timeline
Margin or membership? Regulators react to Nasdaq default
Six supervisors – from Bafin to the MAS – downplay idea of mandatory increase in futures MPOR
Modelling interrelated shocks will improve stress tests – research
Call for regulators to ditch standard scenarios for more sensitive approach
Banks rocked by U-turn on FRTB equity risk weights
Risk managers warn of higher capital charge after Basel reverts to original 2016 treatment
SOFR, so bad: liquidity lags transition ambitions
Thin current trading may lead to poor fallback choices, and dim SOFR’s appeal ahead of Libor’s death
Prop traders sound warning over EU capital regime
Non-banks fear topsy-turvy capital requirements under new rules based on clearing margin
The interplay between stochastic volatility and correlations in equity autocallables
Study shows issues with pricing autocallables using SLV
Basel haircut floors threaten securities financing desks
Banks fear capital hit unless regulators provide exemption for stock borrowing
Unmoved, Fed stands by G-Sib surcharge
Facing down frenetic lobbying and even US Treasury, central bank doesn’t blink on surcharge
Legislative fix sought for Libor fallbacks
Federal law makes it “almost impossible” to change benchmark rates for FRNs