Risk magazine
ECB closes in on inferior collateral with new haircut scheme
European Central Bank’s new discount schedule increases haircuts levied on troublesome collateral, such as asset-backed securities; analysts expect move to discourage pledging of risky assets
Cesr outlines transparency plans for Mifid revision
European oversight committee lists advice on new financial market rules
Basel counterparty risk charge to be reworked
Several aspects of Basel counterparty risk charge up for revision, including calibration and index hedges
ECB may extend full allocation tenders into 2011
Any withdrawal of liquidity by the ECB at year-end would cause major uncertainty, say bankers
OTS pays the price of failure
The US Office of Thrift Supervision will be abolished under the Dodd-Frank Act, but is the agency being made a scapegoat for the financial crisis or will its dissolution help mitigate regulatory arbitrage and raise supervisory standards? Peter Madigan…
Safer instability
Regulators are preparing to introduce a host of new regulations to improve the resilience of the financial system. But this should go hand in hand with the use of policy tools to prevent asset price bubbles, argues Ryozo Himino
LCH.Clearnet may offer 'lite' membership to sovereigns
Clearer's plans to create a special membership category for central banks and other sovereigns could undermine CCPs' risk-mutualisation model, rivals claim
Cross-border collateral may alleviate dollar funding strains: Emeap
Executives’ Meeting of East Asia Pacific Central Banks says crisis revealed shortcomings in regional money markets; swaps deals, cross-border collateral could alleviate some problems
Two curves, one price
The financial crisis has multiplied the yield curves used to price plain vanilla interest rate derivatives, making classic single-curve no-arbitrage relations and pricing formulas no longer valid. Marco Bianchetti shows that no-arbitrage can be recovered…
Liquidity critical to OTC clearing, argue dealers
Regulators should consider liquidity when deciding which over-the-counter derivatives should be cleared, say market participants
15 minutes with: Eraj Shirvani, Isda
Isda's chairman discusses some of the changes in the regulation of the over-the-counter derivatives market
Portuguese debt office agrees to post collateral to its dealers
Agency becomes one of first developed-market sovereigns to succumb to dealer pressure as costs of one-way collateral postings grow
New York Fed names bank supervisor
Sarah Dahlgren to succeed William Rutledge at end of year
Key Basel III decisions due as oversight board gathers
Governors and heads of supervision will review recommendations brought forward from July 14-15 Basel Committee meeting
Dealer-led market may be disrupted by Dodd-Frank
Banks could lose margins and competitive edge as a result of derivatives reforms in Dodd-Frank Act
ECB insists stress tests are credible
ECB denies claims stress test scenarios were not severe enough
All eyes on EU bank stress tests - but details remain elusive
Goldman Sachs investor survey suggests 10 of the 91 banks will fail, requiring an extra €37.6 billion in capital
Smooth calibration of Markov functional models for pricing exotic interest rate derivatives
The Libor market model is widely used but often criticised for its slowness. Nick Denson and Mark Joshi develop an accurate and stable calibration procedure that allows for the effective use of a control variate
Double dip seen as most likely threat to financial system
Recent Risk.net poll finds market fears second global slowdown above other scenarios
Sigtarp hammers US housing support again
Government support for mortgage market growing despite "unconvincing" results, report finds
Goldman hit by short equity volatility position
Rumours of big losses in Goldman's equity derivatives business are borne out as second-quarter profits drop 83%.
Irish government considers sovereign annuity bonds
IAPF director insists plan is not a bailout of private sector schemes
CFTC rules increase credit risk
Proposed rules to limit leverage on margin FX trading accounts at retail forex brokers will have the unintended consequence of increasing counterparty risk, according to Josh Levy, managing director at Tactical Asset Management.
Estonia upgraded on euro accession; Ireland knocked down on banks’ weakness
Fitch lifts Estonian credit rating two notches, citing benefits of eurozone membership and strong fiscal performance; Moody’s downgrades Ireland on poor growth projections, worries over bad bank