Risk magazine
Hidden floor: dealers tackle negative rate CSA headaches
Banks pushing clients to remove costly interest rate floors in collateral agreements
Metro Bank aspires to IRB for credit risk
CRO Aileen Gillan discusses UK bank’s approach to culture, conduct and credit risk under Basel II
Strength turns to weakness for old OTC market
Non-cleared notional falls $36 trillion as costs and complexity grow
Living wills and LVAR could help kill liquidity risk
When used with living wills, a new method may help banks quantify liquidation costs
US banks fret over Fed's domestic internal TLAC concept
Lobbyists fear authorities have already reached a verdict on domestic internal TLAC
Careless whispers have a cost
CFTC redefines insider trading for the swaps market
Fed data dependency backfires
Past year has seen huge change in formation of rate expectations
Mortgage investors grapple with negative swap spreads
Collapse of US swap rate creates problems for valuation models
Deconstructing correlation
Peter Austing introduces an analytic or semi-analytic valuation of basket options
Basel Committee’s CVA shocker ignores trade-offs
Ditching own models for CVA risk is too binary and eliminates possibility of further dialogue
Risk management for whales
Rama Cont and Lakshithe Wagalath introduce a liquidation-adjusted VAR
CCAR as a powerful business and risk management tool
Firms should use stress testing to challenge assumptions
EU regulators warn on US resolution rules
Questions on US TLAC bills for foreign subsidiaries and bankruptcy-based resolution
Trust in clusters: a new approach to stress testing
Search for plausible stress scenarios leads Natixis risk managers in a new direction
Fed under pressure to rethink TLAC rules
US becomes the first G20 nation to propose total loss absorbing capacity rules, but deems existing debt ineligible for inclusion
Emir countdown raises cost questions for the buy side
Firms fear wider spreads, lower liquidity after May 21 frontloading date
Economists question cost benefits of derivatives clearing
New research finds no compelling economic rationale for central clearing
People: Top quant Lipton leaves Bank of America after 10 years
Return to academia for derivatives pricing expert
Manipulation threat to FRTB data pooling
Concerns over the governance of submitted data and costs could spawn rival initiatives
New US tax rules could hamper ETN market, dealers warn
IRS’s forthcoming Section 871(m) rules could inadvertently capture legacy ETNs
CFTC clamps down on insider trading in derivatives
Bank traders who leak information about derivatives trades to hedge funds could face charges, CFTC officials say
Banks battle to preserve ‘good value’ IRB models
Improving credit risk modelling assumptions could soften Basel's push for input floors
Dealers commit to provide liquidity for Libor alternative
Transition will be gradual with bilateral swaps adopting new rate before CCPs
Capital buffers for CCPs ‘the way forward’, says CPMI chair
ECB board member Benoît Cœuré calls for minimum capital requirement and stress testing of CCPs