Risk magazine
Why not having AAD needn’t be the end of the world
Optimisation method offers quicker and more focused way of making XVA calculations
Operational risk modelled analytically II: classification invariance
In a simple model, Vivien Brunel establishes the properties of an operational risk model under the requirement of classification invariance
Risk optimisation: the noise is the signal
Benedict Burnett, Simon O’Callaghan and Tom Hulme introduce a new method of optimising the accuracy and time taken to calculate risk for an XVA trading book. They show how to make a dynamic choice of the number of paths and time discretisation focusing…
The P&L attribution mess
FRTB model approval regime dogged by confusion and controversy
Banks take flexible approach to pricing netting risks
Dealers are adjusting CVA prices, depending on their view of the legal netting opinion
Banks fear FRTB internal model approval gridlock
UK regulator said to have concerns about the high volume of simultaneous approval requests
Eurozone must lead search for doom-loop fix
Basel Committee working on sovereign risk, but eurozone has most at stake
Banks must embrace their digital destiny
Alexander Lipton believes the time is right for advanced digital banks to take the industry forward, and quants can lead the charge
MVA: swaps scale new heights in complexity
Banks are turning their attention to calculating a new derivatives valuation adjustment
Lloyds' CVA head exits for JP Morgan
Julian Keenan leads Asia credit portfolio trading at the US bank
Downgrade fears push South Africa banks to join CCPs
FirstRand, Barclays Africa and Standard Bank eye direct LCH membership
Capital hawks advocate bail-in flexibility for Italy
As stress-test results loom, experts say tackling legacy loans should take priority over bail-in purity
DTCC’s Murray Pozmanter on repo clearing and HFT
Buy-side clearing a top priority following suspension of interbank GCF repo
Doomed loop: Europe gets creative on sovereign bond risks
Political and prudential risks in huge bond-holdings force experts to consider new ideas
LCH nixes US repo clearing, Weisbrod departs
David Weisbrod, CEO of LCH’s US businesses, left the company last month
US-European rift deepens on leverage ratio
FDIC rebuffs European calls to allow netting of client clearing margin in leverage exposure measure
Opened interest: foreign firms eye China's rate swap market
However regulatory and operational challenges set to slow growth
Experts question CPMI-Iosco cyber guidance
Speedy settlement and resumption of services after cyber attack could be counterproductive
People: Trio of senior execs depart UBS investment bank
UBS reshuffle; Icap chief exec departs; Green leaves Lloyds for Scotiabank
Props stopped: non-banks struggle to crack US swaps market
Teza, TransMarket, Virtu among firms held back by regulation and old market practice
Smart contracts to slash time and costs, say technologists
Blockchain to deliver lucrative benefits to derivatives market, London conference hears
Netting risks create pricing and operational headaches
Oversight of legal risks is not always robust
Technology holds the key to easing KYC, says FCA director
UK regulator promotes the use of financial technology to smooth compliance wrinkles
JP Morgan clients suffer in interbank repo basis blowout
Suspension of DTCC service leaves market "in uncharted territory"