Risk magazine
Relative values: JPM’s $260m China interns fine tops November losses
Megan van Ooyen from SAS rounds up the top five op risk losses for November
Risk retention ‘substantially diluted’ for STS proposal
Parliament compromises to pass STS securitisation proposal, but industry is still pessimistic
VM showdown a clash banks could not win
Clients clinging to hard-won CSA terms, in face of dealer calls for standardisation
Mixed views on Dodd-Frank rollback
No need to dump central clearing and electronic trading mandates, market participants say
Isda touts CSA standardisation in margining countdown
But scale of challenge becomes clear in early tussles between dealers and clients
Docs shock: how dealers are tackling the VM deadline
Scale and complexity of negotiations raise fears many will be unable to trade from March
Isda Amend faces rival in CSA repapering effort
AcadiaSoft to launch new tool in January, but protocol approach attracts wider criticism
People: Deutsche’s Leake heads to Goldman
Gill departs CME; Mizuho bolsters quant ranks
Could a phase-in save FRTB?
Regional banks fear they will run out of time to implement FRTB, but a phase-in could set a welcome trend
Thinking differently about FRTB
Sponsored feature: Numerix
FRTB survey: internal model approval tops list of bank fears
Two years on from its devising, chunks of the new market risk framework remain 'unworkable'
Why risk aversion should be built into product structuring
Irrational behaviours that creep into product structuring can be controlled mathematically
Beat equal weighting: a strategy for portfolio optimisation
Yong (Jimmy) Jin and Lie Wang propose an estimation method for optimal portfolio weights under parameter uncertainty
Elasticity theory of structuring
Andrei Soklakov presents a product design theory that incorporates Bayesian information processing and risk aversion
OTC market resisting swap futures threat
Swap futures yet to break out, but backers see margin, accounting and Citadel as tailwinds
Implementing and capturing value from BCBS 239
Sponsored forum: Intralinks
R3 banks disagree over DLT implementation
Blockchain consortium confident it can raise $150 million by next summer
Market expects Holdco CDS switch for iTraxx index
TLAC-driven issuance changes likely to see UK and Swiss holding company CDSs included in iTraxx Financials
VM regime threatens explosion of small margin calls
Transfer threshold designed to avoid small payments is unworkable, critics claim
Basel still pushing for capital model floors
Bank treasurers call plan to underpin internal models with standardised floors “unmanageable”
EU could impose negative rate shocks via IRRBB rules
Banking Book Risk Summit: EBA guidance on shocks is “outdated”, says ECB official
Bank treasuries grapple with IRRBB data requirements
Banking Book Risk Summit: Data from recent zero rates era not a reliable behavioural indicator
M&A mania: deal-contingents re-emerge but risks remain
Price of forex hedges plummets as dealers flock to offer high-risk, high-reward product
IFRS 9 to drive regulatory capital volatility, experts warn
Banking Book Risk Summit: Expected credit loss accounting will be subjective and confusing