Risk magazine
EU sparks hopes of securitisation margin reprieve
Optimism over EU Council amendment, but Parliament will still have to approve
How to save op risk modelling
Drop loss categories and correlations and adopt simple loss distribution, advises AMA expert
EBA highlights ‘cliff-edge Brexit’, cyber and NPL challenges
High NPL levels and low profits also challenge European banking sector, EBA report says
Basel concession strengthens US opposition to NSFR
Lobbyists say change to gross derivatives liabilities measure shows the whole ratio is flawed
Hostage situation: venues slam cost of European Isin utility
Trading venues bemoan commercial terms of service vital to Mifid II swaps reporting
Basel heading for ‘rotten’ compromise, warns EU lawmaker
US commitment to FRTB is essential to persuade Europe to adopt a 72.5% output floor
Credit data: reasons to like Europe and G-Sibs
Bank estimates offer alternative view on probability of default risk
ETFs under scrutiny over liquidity risk
Secondary market trading in funds could freeze up in times of stress, supervisors fear
Banks eye synthetic securitisation to cut IFRS 9 loan-loss spikes
New structures would help mitigate estimated 44% increase in loan-loss provisions from revised accounting framework
Swaps data: CCP and Sef volumes still growing
First three quarters show strong growth in interest rate swaps, forex NDFs and index CDSs
EU proposals feed hopes of forex forward VM relief
Expectations rise of forbearance after Council of the EU proposes buy side VM exemption
Local volatility from American options
De Marco and Henry-Labordère provide an approximation of American options in terms of the local volatility function
Esma guidance on swaps transparency still leaves questions
Volatile instrument attributes removed from transparency determination, but further issues remain
SEC approves DTCC’s $74bn liquidity facility
Proposal faced opposition from smaller broker-dealer members of US Treasuries CCP
Sifi snafu: Deutsche's cautionary tale
Subjecting big firms to tougher regulation is sensible in principle but difficult in practice
CFTC flags global progress on swaps reporting standards
Common transaction identifiers close to completion, with product identifiers not far behind
Esma navigates a Brexit maze over equivalence
Regulator offers share-trading reprieve for EU firms without relaxing rules for UK
FCMs hail new compression techniques
Advances by vendors and increased competition set to unlock more trades for tear-ups
People: Andreasen quits Danske for new role at Saxo Bank
Also: Goldman welcomes Wecker; moves at BNP Paribas; LCH’s new chief; and more
No plans to scrap systemic insurer rules, says IAIS chair
A US regulator claims Europeans asked IAIS to chart own course after FSB moved to ditch G-Sii list
DTCC’s Bodson on blockchain, SDRs and repo clearing
Risk30: swap data reporting will move to a distributed ledger platform in early 2018
Kicking the can: global insurance deal highlights divisions
IAIS hails “unified path” on insurance regulation, but Europe frustrated by US exceptionalism
The fraught search for a Libor fallback
Banks and buy side disagree over how to prepare for Libor’s death
Banks apply machine learning to CCAR models
ML models benchmarked against traditional iterations to avoid ‘black box’ perception