Risk magazine
People news: SocGen promotes Garnier to head sales
Plus: Citi's Chen joins Deutsche; Mizuho hires corporate derivatives head; and more
Pathwise XVA Greeks for early-exercise products
The calculation of XVA Greeks for portfolios with early-exercise products is discussed
Core-periphery model of bank networks called into question
Researchers find multiple, asymmetric cores in interbank market, posing different systemic risks
FHLBs: safe as houses?
Health of huge bank funder rests on home loans and money market funds
Risk culture: banks fall short in eyes of staff
Many risk managers believe their banks have work to do on understanding, measurement and management of risk culture
Transneft quits OTC market after settling $1bn swaps case
Russian market participants edgy after settlement leaves disclosure duties unclear
Soaring Fed Home Loan Bank borrowings spark systemic risk fears
Parallels drawn with Fannie and Freddie as commercial bank borrowing from FHLBs nears $500bn
Ex-Fed trader Coffey on macro risks and VAR
Myopic models are creating feedback loops, warns founder of new macro firm Avoca
Bosses escape blame for options blow-up at Swedish bank
Court rules negligence by former managers and auditor of HQ Bank did not cause 2010 licence withdrawal
‘Catching the outliers’ does not always make sense for Basel
The capital impact of Basel III on Nordic banks is disproportionate to the risks they face
Maijoor defends late LEI relief amid industry frustration
Esma chairman says early Mifid relief would have removed incentives to register LEIs
Quant analyst Antonov to swap Numerix for Standard Chartered
New role in London only second for Numerix veteran
Buy-side firms ice repo clearing plans as spreads tighten
Resurgent bilateral market a headwind for services at Eurex and LCH
History suggests stock market crash not imminent – Goetzmann
Stock market bubbles have seldom burst, says Yale economist
Swift’s CRO on Bangladesh Bank heist, cyber risk and DLT
Quraishi lays out Swift’s approach to members’ security, and technological risks and opportunities
CLS’s Nagia on overcoming the challenges of forex clearing
As CLS expands into cleared derivatives, its CRO must navigate uncharted risk territory
1MDB looms large in Asian banks’ war on money laundering
Banks in Asia-Pacific spurred by tougher enforcement and stricter AML rules
Blackstone-Hovnanian CDS deal revives credit rules debate
Rumoured triggering-for-financing arrangement sparks calls for more legal protection for sellers
Industry slams ‘unhelpful’ last-minute Mifid LEI relief
Esma’s six-month respite “too little, too late” to avoid no-trade lists on January 3
North-South divide: Basel makes Nordic and Dutch banks bristle
Lobbyists confident EU policymakers can be persuaded to implement softer credit risk rules
EBA steps up bonus cap pressure on Dutch prop traders
Dutch regulator told to “pay attention” to pay rules EC plans to scrap for non-banks
Basel delay does not ensure global FRTB consistency
A European Parliament draft would let supervisors decide response to P&L attribution test fails
Machine learning is not just for the buy side
Sell-side quants develop machine learning technique to optimise margin costs
Evolutionary algos for optimising MVA
Alexei Kondratyev and George Giorgidze apply two evolutionary algos to MVA optimisation