Risk magazine
Complex short Vix products draw fire as vol plumbs lows
Hedging effects mean popular exchange-traded products vulnerable to big losses if volatility spikes
People moves: Hassani leaves Santander for CapGemini
Citi makes several hires; new Americas head for Barclays; ADS Securities names new COO
Extremely (un)likely: a plausibility approach to stress testing
CCP’s risk managers propose a framework for generating extreme but plausible stress scenarios
Local-stochastic volatility: models and non-models
Lorenzo Bergomi exposes a condition important to the use of LSV models in trading
Monthly credit data review: the Amazon effect and a rising Russian state
David Carruthers of Credit Benchmark looks at bank, sovereign and corporate credit risk data
Monthly swaps data review: analysing CCP and Sef volumes
Data shows strong growth at LCH and JSCC, while OIS products surge
Cyber insurers accused of lax underwriting standards
Loss data becoming more granular and diverse, but critics highlight pricing inconsistencies among underwriters
FCA moots synthetic Libor as rates fallback
Once Libor is allowed to die, replacement could be risk-free rate plus fixed credit spread
BNY Mellon’s Neal on funding, liquidity and collateral
Markets head Michelle Neal says firm has “big responsibility” after JP Morgan’s tri-party repo exit
EU prop firm capital crunch could hit market liquidity
Traders claim they would be put out of business by bank-style capital rules
Bailout obsession holds back US CCP resolution regime
Dodd-Frank leaves legal uncertainty, but proposed alternatives could be even worse
US Treasury using network theory to combat cyber threats
Targeted attacks and random threats call for different defences, financial research unit finds
Prop traders rebuffed by FCA on capital modelling
Non-banks may have to use tougher market risk approach than bank competitors
Bank cyber chiefs grope for sound risk models
Vast scope of threats makes modelling unfeasible, say practitioners
trueEX granted injunction in MarkitSERV case
Court decision means derivatives trading venue can stay open for at least another nine months
Swaps users face potential margin bill for Libor transition
New margin rules could snare legacy trades amended to reference alternative rates, lawyers warn
Mifid II cost disclosures pose risk to liquidity, warn banks
Dealers hope standardised methodology for some clients could mitigate impact
Stage fright: banks tackle IFRS 9 loan-loss volatility
Banks look to counter volatility of loss provisioning through careful calibration of loan buckets
EBA urges European banks to step up IFRS 9 preparations
Banks not yet in testing phase face 32 basis point extra capital hit, report finds
Model risk managers grapple with interconnectedness
US regulators ask banks to assess cross-dependencies of models – prompting some to employ network theory
No safety net: EU urged to accelerate bail-in buffers
Without MREL or TLAC, governments are at mercy of private buyers for failed banks
Profile: Quant boss touts benefits of tech team merger
TD Securities says combining teams has allowed rapid rollout of platform for risk and P&L management
E-trading boosts mid-tier banks in rates and credit
New technology helps Natixis and Mizuho compete with major dealers in swaps and bonds
CFTC to review swap data reporting regulations
Rule changes could be proposed as early as fourth quarter of 2017