Risk magazine
Basel set to decide on capital relief for accounting changes
Phase-in to IFRS 9 and Cecl needed to avert "a dramatic overnight drop in regulatory capital", say auditors
Ice hires ex-Barclays OTC clearing chief in rates push
Ex-Barclays and Lehman banker Ray Kahn joins exchange group to focus on interest rate derivatives business
IASB revives IFRS 9 project to recognise portfolio hedging
Banking book behavioural complexity could still stymie attempts to facilitate macro hedging
LSE-backed Libor replacement faces data wrangle
Proposed secured rate based on data from NEX, which has a competing offering
Intesa Sanpaolo takes $235 million hit for AML failures
Megan van Ooyen from SAS rounds up the top five operational risk losses for December 2016
Banks seek to standardise cross-currency settlement dates
Talks under way to exchange principal amounts on IMM dates to allow for greater netting
Reputation model reveals how banks drag each other down
Network study shows bottom-line impact of bad news elsewhere
BGC staffs up as challenge from TP Icap looms
New York-based BGC has made a series of senior hires in recent months
LEI reporting initiative defended, despite high lapse rate
Operators of legal entity identifiers hope Mifid II will spur greater adoption
Risk technology rankings 2016: no bank is an island
Murex, FIS and Calypso take the top spots in this year’s rankings, as banks’ technology needs inspire more collaborative approaches
Fund admin providers see strong demand for illiquid strategies
Three-quarters of survey respondents administering $4.4 trillion collectively get weekly illiquids enquiries from managers
Don’t keep up with the Kardashians
Dealers may have gifted the buy side an information edge
Pricing in the dark: how dealers lost their information edge
Asset managers may have an information advantage over dealers in bond pricing
Margin model keeps testing the limits of industry co-operation
Simm supporters say it is a work in progress, but more participants may slow that progress
FRTB’s risk factor framework is more punitive than it seems
Regime’s constraints may mean risk factors drop in and out of modellability far more frequently than dealers think
Crunching mortality and life insurance portfolios with extended CreditRisk+
Jonas Hirz, Uwe Schmock and Pavel Shevchenko present a summary of actuarial applications of the extended CreditRisk+ model
Why liquidity risk is the silent clearing killer
A quant paper shows feedback effects can amplify CCP margin requirements in stressed markets
Systemic risks in CCP networks
Barker, Dickinson, Lipton and Virmani propose a credit and liquidity risk model for CCPs
Fears that bumper coupon could skew iHeart CDS payouts
Market pushes for change to auction date amid fears of reduced single-name and index CDS payouts
People moves: Jain joins Cantor
FCA hires Foulger; new CRO for HSBC; Goldman's senior shake-up; equities chief for Credit Suisse
Why the leverage ratio distorts market-making
Darrell Duffie argues the rule hurts market efficiency for very safe assets
EC umbrella plan dismays foreign banks
EU intermediate holding company proposal complicates legal entity structures and Brexit planning
Bank CDSs straining under TLAC
UK and Swiss bank Opco CDSs losing relevance as a hedging tool, experts warn
China M&A boom presents unique hedging headaches
Crackdown on ‘fake’ deals adds to risk in contingent hedges