Risk magazine
Doing well by doing good
Drug approval swaps and megafunds can channel capital towards world’s greatest problems, writes MIT’s Lo
EU lawmakers delay FRTB capital charges
Leaked paper potentially pushes market risk capital charges beyond Basel’s 2022 deadline
CECL fans and foes cross swords on Capitol Hill
Dispute over economic impact rages on despite agreement on capital relief
HM Treasury’s Brexit surprise
Statutory instruments throw up unwieldy divergence in Mifid II and Emir rules
Leaked EU paper softens French blow to Mifir equivalence
Council draft ditches national licensing but introduces conditions on equivalence for some services
CLO scare: could rated tranches see losses?
Structures are more solid, but loans are dicier, and recovery rates may be disintegrating
Brexit set to jack up banks’ capital costs
Split into UK and EU arms will reduce netting benefits and capital flexibility
Clearing houses urge CFTC to act on non-default losses
US clearing members divided on whether NDLs are CCPs’ responsibility or a mutual risk
Basel turns its attention to operational resilience
New working group will focus on business continuity in the age of cyber threats
Banks warned on holes in EU’s proposed Brexit relief
Potential EC, French and German no-deal relief is expected to be short-lived and incomplete
Podcast: Dominique Bang on his stochastic local vol model
New approach delivers quick and accurate computation of prices
Local stochastic volatility: shaken, not stirred
Dominique Bang introduces a novel LSV approach to term distribution modelling
CME abandons buy-side direct clearing initiative
CCP shutters plan after feedback from regulators and market participants
New directions – Diversification of alternative risk premia strategies
Despite a difficult year, investors remain keen to use alternative risk premia strategies. However, current approaches may be less diversified than they appear, especially given cross-contamination in cash equity factors. According to Nomura, a more…
BlueCrest seeks direct membership at LCH’s SwapClear
Investment firm to make leap away from clearing broker reliance
The machine shines in Hong Kong A-share fund
Strategy run by ChinaAMC (HK) combines machine learning with human judgement to outdo rivals
FDIC suspends resolution plans for deposit takers
Requirement for opcos of bank holding companies could be tailored or scrapped entirely
Basel’s archaic op risk taxonomy gets a makeover
Industry moves to revise out-of-date categories that feature risks such as cheque fraud
Risk Markets Technology Awards 2019 winners' review
This year’s Risk Markets Technology Awards reveal a sector in flux. The judging panel of practitioners and Risk.net editorial staff recognised a mix of incumbents and insurgents that were able to demonstrate they had responded to the market’s changing…
Risk Markets Technology Awards 2019: Vendors enter the pick-and-mix era
Modular tech and micro-services – plus new risk and regulatory needs – are creating openings for insurgents and incumbents
Risk Awards 2019: The winners
BNP Paribas wins derivatives house; lifetime award for Craig Broderick; CME takes clearing house award
Equities flow market-maker of the year: Citadel Securities
Risk Awards 2019: Risk management overhaul helps market-maker navigate February 5 volatility
Currency derivatives house of year: BNP Paribas
Risk Awards 2019: French bank hits options windfall in Turkey during currency crash
Streaming liquidity provider of the year: XTX Markets
Risk Awards 2019: Non-bank market-maker doubles direct relationship presence in forex