Risk magazine
Regulatory arbitrage: a crime, or a warning?
It could be unwise to ignore disproportionate regulatory impacts on specific business lines
ECB mulls response to French leverage ratio exemption
Supervisor could rewrite justification annulled by EU General Court, or appeal the ruling
Oversight row could block EU firms from US clearing – Giancarlo
Europe’s planned post-Brexit CCP reforms “irreconcilable” with US rules, says CFTC chief
Leverage ratio redux: the fallout from French bank court win
EU countries could seek to benefit from exclusion of state-backed deposits from leverage ratio
CCAR ‘apocalypse’ leads to excess bank capital, says lobbyist
Head of new trade body says Fed should average capital requirements over multiple scenarios
Shut the window: EU Parliament tackles leverage loophole
EU banks may have to calculate leverage ratios daily, potentially hitting their repo market share
US swaps users want CFTC rules lifted in Libor switch
Dodd-Frank should not catch contracts amended as part of move to new rates, letter argues
Branching out: foreign banks seek shelter from Fed rules
Foreign banks stashing repo businesses within their branches, outside Fed’s full gaze
Life after London: AMF urges revived capital markets union
French regulator wants supervisory convergence, examines Mifid II impact on market transparency
Dealers slam ‘nonsensical’ treatment of forex derivatives
Proposal on US swap dealer threshold rekindles debate on definition of NDFs and window forwards
Q&A: French regulator defends bank rules for prop traders
ACPR official wants to set asset threshold for full CRR application below current €30 billion
Symphony bots march on Bloomberg
New chat system touted as sales and trading game-changer, as banks build hundreds of add-ons
French regulator: we are not the Brexit bogeyman
AMF denies pursuing relocations from UK, but calls on EU27 to build its financial markets
Amber zone in new P&L test ‘almost useless’, say banks
Analysis shows many desks would not benefit from safe harbour in Basel FRTB proposals
The swap market model with local stochastic volatility
An easy to calibrate and accurate swap market model is proposed
XVA special report 2018
After a turbulent decade, the past couple of years have arguably been a little easier for the derivatives valuation community. Overnight indexed swap (OIS) discounting is market standard for cash collateralised instruments, while funding and capital…