Risk magazine
Floor trader confusion holding back new swap market-makers
Non-banks fear rules restrict non-cleared swap trading
Details of vital FRTB model test still up for grabs
Banks argue valuation adjustments should be left out of the model approval process
Dealers wake up to MVA impact of new funding rules
NSFR will force dealers to term-fund initial margin at a time when margin volumes are climbing
Securitisation losses rattle peer-to-peer lenders
Marketplace lending hit by downgrades, legal worries and questions over structure of deals
Basel shadow banking rules leave industry in the dark
The step-in risk concept may need a total overhaul to be fit for purpose as the UK goes its own way
Goldman vs LIA: derivatives profits were masked, court hears
Prosecution cites Risk article that first described practice of inflating client valuations
Markets losing faith in STS securitisation plans
Participants consider issuing lookalike deals without the risk of regulatory penalties
Credit veteran rewrites the alphabet of risk modelling
Scott Aguais helps banks go from point-in-time to through-the-cycle, and back again
Esma grasps at solution to Mifid data woes
UK to stay in data aggregation project despite Brexit
Supervisors split over flexibility in CCP resolution
European regulators square off over predictability of spillover losses
Brexit gives banks a taste of life without AFS bond filters
Liquidity buffer valuations now key concern during stress events
Indecent exposure: Fed limits threaten swaps liquidity
Unworkable due diligence rules may prompt G-Sibs to cut single counterparty exposures below 5%
Senior quant Green swaps Lloyds for Scotiabank
Green to lead development of new XVA pricing model at Canadian lender
FCA asks prop traders about capital impact of sterling fall
Regulator seeks info on currency make-up of capital base, and capital adequacy
Time to gear up for MVA
Banks must be prepared for the looming rise of non-cleared margin requirements
Deriving derivatives
Andrei Soklakov shows how to incorporate traditional investment ideas and clients’ views into structured product design
Non-cleared market is changing – not dying
Non-cleared swaps market faces challenges, but it is adapting, writes Isda’s Scott O’Malia
CCPs and Brexit: don’t forget the rest of the world
Losing equivalence with the US could be more serious than arguments over the location of euro clearing
The growing pull of public cloud for banks and regulators
Adoption by the FCA for Mifid II data reporting indicates public cloud satisfies regulatory, security and reliability requirements
Connecting the dots: how DTCC manages contagion risks
DTCC CRO Andrew Gray offers a template for managing the risk of interconnectedness
MVA transfer pricing
Wujiang Lou extends liability-side pricing theory to initial margin
CVA desks suffer Brexit double whammy
Cross-gamma losses estimated at more than $25m for each dealer
Not so fast, François: EU clearing land grab is complex
ECB cannot (yet) make post-Brexit demand for euro clearing to leave London
Hedge fund H2O suffers $160m loss after Brexit shock
UK-based firm’s four macro funds hit by equity index and sovereign debt losses