Risk magazine
Vickers renews criticism of BoE systemic buffer
Blanket 3% buffer would better support ring-fencing, Vickers tells Tyrie
See the error of your VARs
Commonly-used VAR estimation method shown to underestimate risk
US elections: whoever wins, Wall Street loses
Republican nominee is no fan of bankers and a Democrat Senate would block reform of Dodd-Frank
LCH targets non-cleared market with radical new platform
Bilateral trades would be valued and margined using LCH swap curves
Repo markets left guessing by new EU reporting rules
Record-keeping obligations of SFTR already in force, but no guidance on data fields
‘Hot-start’ initialisation of the Heston model
Serguei Mechkov initialises Heston model’s parameters using probability distributions
Gap risk KVA and repo pricing
Wujiang Lou introduces a reserve capital approach to the hedging error in the BSM model
CSA reviews necessary after Sonia reform, lawyers warn
Benchmark administrator change may require amendments
DRW, Goldman, Wells Fargo back swaps regtech firm
Droit gets $16m capital boost to support growth of cross-border compliance service
A referendum on clearing
Brexit margin calls show swaps CCPs are relying on funding strength of a handful of banks
Deutsche Bank faces op risk capital hit from DoJ fine
Bump to operational risk capital under SMA could be bigger than expected, experts warn
Blueprint for FRTB: Building a future-state business strategy
Sponsored feature: Numerix
Adjusting VAR to correct sample volatility bias
David Frank proposes an adjustment to sample variance for the computation of value-at-risk
European bail-in buffers may stretch market-making capacity
New Basel capital exemptions could be too small if all EU banks have to issue bail-in bonds
Regulators struggle to conjure the right leverage ratio
Too low, and it has no effect; too high, and liquidity suffers. Time for flexibility?
Huge Brexit margin calls stoke intra-day funding fears
Calls on June 24 may have topped $40 billion; critics urge regulators to review episode
The decline of the cash empire
Alex Lipton: the last line of defence between us and punitive negative rates is paper currency
Custody Risk announces shortlist for Global Awards 2016
Shortlist for the Custody Risk Global Awards 2016 is published
Reserving judgement: the BoE’s divisive leverage ratio plan
Central bank reserves exemption may squeeze interbank liquidity, raise capital requirements
Why did the crisis cause such large op risk losses?
Huge losses from the 2008 crisis can be seen as a short option position
People: Ramambason joins StanChart as head of XVA
Head of financial markets leaves StanChart; SocGen management shuffle; Lake leaves HSBC
Esma set to backtrack on mandatory asset segregation
Maintaining the status quo would avoid disrupting securities financing and collateral reuse
Skewed views: banks, auditors split on CDS index trades
Views on risks and accounting treatment of arbitrage repack differ across the Street
Swap 4175: how a hedged loan became a €600m dispute
City of Linz v Bawag case underlines risks in municipal derivatives