Risk magazine
What to do about Libor?
Darrell Duffie explains why transition from Ibor-based benchmarks is necessary and feasible
Quant funds plan to ‘skip the day’ after French election
Some model-driven investors see signs of crowding in short volatility trades
Mnuchin: FSOC working on revised Volcker rule
US Treasury secretary wants revamp of prop trading ban; not repeal
Fed’s Powell joins chorus of Volcker rule critics
Governor seeks to simplify rule banning prop trading
Madness in the method: Basel grapples with G-Sib riskometer
Some experts warn the methodology to identify systemic banks could increase systemic risks
Volcker fights back as prop-trading ban comes under attack
Former Fed chair tells Risk.net that calls for total overhaul of eponymous rule are misplaced
Dealers crack down on clients with dual netting sets
Pricing adjustments for posting non-cash collateral can run to 100bp
EU regulators consider Mifid electronic trading lock-out
Moves to restrict third-country firms from offering direct electronic access blamed on Brexit
Data woes force dividend swaps out of Simm update
Dealers have different approaches to pricing dividend risk factors
FVA: the story so far
How Risk.net has covered key developments in funding valuation adjustment
Lawmakers seek to harden Mifid SI limits
European Parliament calls for guidance restricting riskless trading to be codified into law
ECB rate risk stress test renews fears over internal models
Banks alarmed by short timeline and opaque supervisory use of IRRBB stress test
Nickel-and-Dimon: why bank CEOs loathe op risk capital
JP Morgan’s Jamie Dimon and ex-StanChart CEO Peter Sands are no fans of the RWA approach
Operational Risk Awards 2017: call for entries
Practitioners, vendors and service providers invited to enter by the end of April
Blockchain smart contracts raise systemic risk concerns
Automated swaps margin payments could exacerbate systemic risks, regulators warn
Esma turns the screw on direct electronic access
Guidance thwarts narrower definition adopted by Eurex to help third-country clients
Banks calm on Eurex-LCH basis volatility
Past basis blowouts prepared banks for movements, say traders
Mixing SABR models for negative rates
Antonov, Konikov and Spector use an exact formula for the normal free boundary SABR to construct an arbitrage-free mixed SABR model
Spike in bad loans raises scrutiny of P2P credit models
Jump in delinquencies at some lenders prompts questions over modelling practices, but firms stand by their approach
Congress urged to curb Fed’s regulatory powers
House hearing revives debate on consolidating US regulatory agencies
Ice to clear single-name bank CDSs from April 10
US participants will be able to start clearing CDSs referencing Ice clearing members
New execution algos show complexity is not to be feared
Quants develop method to include both market impact and limit orders in optimal trade execution
Fast and precautious: order controls for trade execution
Algo traders propose a new optimal execution algorithm with both limit and market orders
Fed funds-linked swaps outstrip Libor for first time
Banks point to money market reform, Libor changes and Fed expectations as catalyst