Risk magazine
Firms aim to convince Basel on merits of op risk insurance
Lack of recognition in new SMA capital charge could cause market to shrink, worry insurers
Buy-side forex trading curbed as margin rules take effect
Prime brokers will cut off access to dealers if they fail to agree revised CSAs
When time is of the essence, shortcuts are still handy
‘New age’ quants might not like it, but speed can be traded for accuracy in spotting investment opportunities
Stable linear-time optimisation in arbitrage pricing theory models
Gordon Ritter proposes a stable mean-variance optimisation for APT models
Interest rate models enhanced with local volatility
Lingling Cao and Pierre Henry-Labordère implement Dupire's local volatility in interest rate models
Voice-to-text software touted as Mifid II quoting fix
Quotes given over phone can be transcribed and broadcast, claim ‘soft turret’ firms
Dealers grapple with netting valuation adjustments
Some banks are expressing netting uncertainty as a fair value adjustment to CVA
Banks prepare for bumpy ride as margin deadline looms
Banks and funds may have limited set of counterparties on September 1
Banks fear costs from loss of AAD under simpler FRTB rules
Trading book regime may force use of more expensive and time-consuming ways of computing risk sensitivities
Dealers warm to all-to-all CDX trading
Liquidity providers new and old want to build on Bloomberg Clob activity
Year-end deadline for fixing CCP recovery plans 'not realistic'
Some central counterparties are unable to maintain a continuous 'cover two' standard
Cat bonds can help combat the systemic risks of CCPs
Bonds could pre-fund CCP default funds and higher margins during market stress, authors argue
New accounting rules expected to hit US banks hardest
FASB’s Cecl rule could mean loss provisions for loans are three times higher compared with IFRS 9
Esma buys time to fix broken client clearing chains
Two-year clearing delay for small firms might allow indirect model to be built
Mind the Gaap: US banks brace for $50–100bn capital hit
New loan loss accounting regime could shrink US banks' Common Equity Tier 1 ratios by 25–50bp
TLAC subordination requirements loom in Europe
EC favours excluding derivatives from MREL and taking French approach to subordination
Barclays names Portney as investment bank CFO
Ex-clearing exec had also been equities CFO in long JP Morgan career
EBA connected counterparty plan raises compliance jitters
Guidelines would cut the large exposure due diligence threshold to 2%, versus the 5% Basel standard
Dealers predict ‘softening’ of NSFR in Europe
Some banks' pricing already assumes rule will be watered down
Data muddle fears follow EC adoption of key Mifid RTS
Industry wants to avoid the emergence of multiple identifiers and is worried ISINs will not be adopted globally for derivatives
UBS saves Sfr295m in capital via swaps margin change
FDIC vice-chair has warned of hidden dangers in new approach
Barclays loses top clearing exec
Industry has seen string of departures from senior clearing roles over past year
EU non-cleared margin rules tipped for February
Regime likely to begin earlier than mid-2017, say regulatory sources
Sense and sensitivities: Isda Simm is not so simple
Three industry experts argue initial margin calculations for uncleared trades won't work without centralised calibration of sensitivities