Risk magazine
Public interest loophole casts doubt on EU banking union
Bondholders face fresh uncertainty about European use of bail-in, critics warn
Buy side backs trueEX in tussle with Markit
Asset managers worry legal dispute could force trueEX out of business
People: FCA to get new head of operational risk
New head of US rates trading for Barclays; TP-Icap shakes up senior management
Large corporates unconvinced by Emir reporting gift
Corporates ask for opt-out from Emir reporting changes proposed for their benefit
Banks tap equities and FX staff for fixed-income fizz
BAML, HSBC, RBC, StanChart among banks transferring e-trading know-how
PRA urges insurers to act on ‘silent cyber’ risks
Watchdog urges underwriters to embrace cross-policy stress-testing to identify exposure to claims from non-specified risks
All MVA needs is a first-mover
Fair value adjustment for initial margin should be reflected in accounting statement
The price is still wrong: banks tackle bond CSA discounting
Diverging Eonia and European repo rates spur banks to look at valuations of swaps with bond collateral
Accounting for initial margin under IFRS 13
Chris Kenyon and Richard Kenyon show why initial margin should be part of the fair value of a derivative
Trading lightly: cross-impact and optimal portfolio execution
A liquidity model for basket of correlated securities is presented
Mnuchin makes life harder for quants
Proposed CCAR changes make KVA calculations even more complex
XVA reaches far and wide
Sponsored Q&A: CompatibL, Murex and Numerix
Russian central bank slams ruling in $1bn Sberbank swaps case
Lawyers say shock court judgement in ruble options dispute “puts hundreds of contracts at risk”
Op risk managers not sold on SMA alternative
Proposed forward-looking approach would permit internal modelling, but penalise banks if losses exceed estimates
Fed weighing VM capital cut for cleared swaps
Powell implies support for practice that saved UBS $300m in capital
Fed paper reignites debate on bank capital ratios
US industry association criticises official analysis suggesting optimal Basel ratios of up to 26%
Buy side unimpressed with Mifid II cost transparency rules
Clients question value of receiving dealers’ swaps profit margin data
LCH limits substitution to tackle quarterly collateral flight
CCP clamps down on bond-for-cash switches driven by reporting and quarter-end repo spikes
A 10% leverage ratio does not justify waiving the Volcker rule
Former Fed manager Christopher Laursen warns against prop trading, even for well-capitalised banks
Fed examiner calls on banks to rethink KRIs
Most banks fail to establish explicit link between KRIs and identified risk exposures
US dealers wade into European CCP relocation debate
CFTC hearing warns of increased margining costs and a pre-Brexit client onboarding crunch
Focus on Basel output floor calibration misses the point
Until all the final standardised approaches are known, the floor has little meaning
Banks move to model smaller op risk losses
Credit Suisse is using scenario analysis to model the risks associated with internal fraud losses