Risk magazine
Time to move on from risk-neutral valuation?
Risk-neutral valuation could be replaced by models with a subjectivity element, writes mathematical finance head
Op risk modelling to survive move to SMA
Models will still be needed to measure forward-looking risks under Pillar 2
LCH, CME or OTC? Forex traders weigh their options
Bilateral trading costs bite but dealers lukewarm on both firms’ plans for forex options clearing
XIV hedging rule helped protect Credit Suisse
Swiss bank guarded against ETN’s collapse by requiring counterparties to provide hedges in exchange for new units
Foreign banks in US dismayed by Trump tax on internal TLAC
Coupons on IHC debt issued to foreign parents will face 10% base erosion tax under new rules
CFTC reviewing de minimis threshold for non-US swap firms
Risk of dual registration deterring use of US-EU venue equivalence deal, says official
Hackers’ jackpot: Mifid heightens cyber risk
Platforms and reporting entities develop individual solutions, but no silver bullet
Isda’s O’Malia: back-office costs are ‘killing’ swap dealers
Banks set to begin testing Isda’s common domain model for trade lifecycle processes
MUFG launches CDS franchise in US with bet on volatility
Clearing helps Japanese bank branch out into US single names
EU regulators urged to give guarantees on Brexit transition
UK banks and insurers want legal protection in case a political deal breaks down
Exchanges defend self-certification at CFTC meeting
Listing of bitcoin futures has sparked calls for more transparency on new contracts
Tranche warfare: uphill struggle for euro safe bonds
Junior tranche and regulatory impasse are key challenges for pan-eurozone sovereign bond-backed securities
Banks wrestle with conduct risk capital add-ons
Conduct risk-related additions to Pillar 2 capital raise questions over scope of UK’s Senior Managers Regime
Europe leaves IM haircutting in CCP recovery crosshairs
No explicit ban in parliamentary text; banks say method could spark exodus from stricken CCPs
No carve-outs in Fed’s revised leverage ratio proposal
Holdco leverage ratio will fall, but initial margin and custody funds still in scope
Isin service increases annual fees by 73%
Anna DSB warns venues against gaming the fee model
JP, Citi may not see capital benefit from new op risk rules
Collins floor may also prevent Morgan Stanley, State Street and Wells Fargo from realising SMA savings
EU lawmaker wants cost-benefit analysis of rejecting a CCP
Hübner says adaptation period may follow decision to deny recognition to non-EU clearing house
Confusion plagues start of Mifid swaps reporting
Firms reach inconsistent conclusions on scope of transparency requirements
Industry expects fresh guidance on Mifid swaps transparency
Firms might need time to change their systems if Esma alters May 2017 guidance significantly
Revised Basel output floor could hit US banks after all
Fall in operational risk weights could push up capital requirements for market and credit risk
FCA system failure throws Mifid data into doubt
Esma could be left with an incomplete list of instruments subject to reporting requirements
Banks begin to model climate risk in loan portfolios
Environmental stress tests and scenario analysis reveal hidden risks
Upholding values: bondholders demand resolution transparency
Banco Popular case could have wider implications for future bank bail-ins