Risk magazine
The FRTB’s P&L attribution-based eligibility test: an alternative proposal
Spinaci, Benigno, Fraquelli and Montoro propose two alternatives to the P&L attribution test
People moves: Deutsche Börse appoints UniCredit banker as new CEO
New fixed-income head at Mizuho; trueEX hires CTO; Deutsche fills ETF role; and more
EU shuts door on foreign electronic access providers
US FCMs could be barred from providing direct electronic access as member states bow to Esma
Degree of influence, 2017: Quants dissect initial margin
Initial margin, optimal execution and applications of machine learning were the hottest topics of 2017
Making the alternative a reality
Quant firms will have to adapt to prosper in the new datasets environment
Credit data: US retail woes are not universal
Default probabilities paint a mixed picture of the decline of American shops
Only 1% of bonds caught in first wave of Mifid transparency
Trax estimates 5% of corporate bonds will be subject to full transparency after four-year phase-in
Unlucky for some: Europe’s war on 13 Dutch prop traders
Liquidity hit feared as FlowTraders, IMC, Optiver and other non-banks face bank-style capital rules
Swaps data: forex options – candidate for a clearing mandate?
Volume stats reveal a large vanilla market and much smaller trade in barriers
Buy-side firms doubt SEC initiative will fix bond markets
Despite increased electronic trading, liquidity worsening in some corporate bonds
Basel III changes set to create big winners and losers
Capital hit for G-Sibs ranges from 28% drop to 43% jump, QIS reveals
Bank risk manager of the year: Citi
Risk Awards 2018: How US bank helped Nigeria's lenders through a dollar funding crisis
Equities flow market-maker of the year: Citadel Securities
Risk Awards 2018: Chicago firm makes big hires and pushes into new derivatives products
Rates flow market-maker of the year: Citadel Securities
Risk Awards 2018: Firm takes on dealers once again by market-making in custom swaps and off-the-run Treasuries
Risk solutions house of the year: Nomura
Risk Awards 2018: From reinsurance contracts to deal-contingent hedges, Japanese firm proves brains can triumph over brawn
FASB to vote on hedge accounting for US Libor successor
Standards body likely to approve SOFR as eligible
Basel rules risk fragmentation after key compromise
Basel Committee ready to release new accord but patchy adoption of internal model floor and FRTB expected
Icap European Sef faces axe as US, EU reach equivalence deal
Dual-registered venue no longer necessary under US-EU substituted compliance regime, say lawyers
European split on NSFR worries dealers
Squabble over derivatives liabilities factor sparks fears of unlevel playing field
Banks await Basel decision on legacy op risk losses
European banks could see big jump in capital if losses from legacy businesses are included in SMA
Quintenz: futures will allow regulated bitcoin exposure
New products allow investors to access digital currency in a monitored marketplace, says CFTC commissioner
Doubts cast on Europe’s IFRS 9 transition period
Dynamic transition viewed as too complicated for banks to use or investors to understand
SEC eyes new rules on algo trading in bond markets
Electronification of bond markets may require a regulatory response, Jay Clayton says
DTCC set to cut US Treasury clearing fees
Revised fee structure could prompt more firms to participate in clearing