Risk magazine
Banks brace for assault course of FRTB implementation
Dealers face test of endurance to win model approval and avoid penal standardised charge
US derivatives users cheer hedge accounting rejig
Rule change ends years of uncertainty and piecemeal reform
Basel plans modelling curb for billions in credit RWAs
Proposals clamp down on IRB approach that is “usually gamed pretty easily”, says FDIC’s Hoenig
Liability-side pricing of swaps
Wujiang Lou presents a framework to compute recursive CVA and FVA via Monte Carlo simulation
Eurex margin flaws claimed in Swedish bank collapse case
CCP failed to properly capture vega, strike and wing risk, expert report claims
People: Three senior forex managers leave Citi
Citi loses three in London office; RBS head of markets departs; Serafini joins Ice; and more
European dealers wrestle with corporate CVA changes
Banks say prices already diverging; CDS market could be impacted
Why raiding CCPs’ initial margin would be bad policy
A wounded CCP should not have a claim on users’ assets, says hedge fund group
Clearing head Murray quits Deutsche for BNY Mellon
Murray will join BNY Mellon in a senior listed clearing role
Banks seek capital pill for accounting headache
IFRS 9 loan loss provisions should be offset by reduction in capital, banks argue
Industry fears grow ahead of Basel IRB consultation
Biggest share of bank capital at stake as regulators take aim at credit models
Network theory takes root in post-crisis financial markets
Developments since 2008 open up exciting possibilities, says Kimmo Soramäki
UK narrows carve-out for swap bail-in clauses
Non-EU derivatives contracts will have to be amended, say lawyers
Cross-dependent volatility
Julien Guyon introduces cross-dependent volatility models and calibrate them to market smiles
Swiss eye Saron for risk-free rate
Working group considers one rate to rule them all
Bank names obstruct single-name CDS clearing
Ice is “working through” wrong-way risk issues, may need to revamp auctions
Europe will open gates to US CCPs, says Massad
CFTC adopts substituted compliance for European CCPs; US clearers still waiting on Esma approval
Benchmark reform could hit cross-currency basis
Traders criticise fragmented development of new risk-free rates
US end-users risk tax hit in move to daily settled swaps
Changing treatment of variation margin could benefit banks, but hurt clients
Traders shocked by $712m CVA loss at StanChart
Bank’s new methodology has been used by some rivals for more than a decade
New research shows FVA is not part of P&L – Duffie
Pricing experts defend practices that resulted in huge FVA losses
Some European banks pricing in Pillar 2 CVA charge
But three dealers say it is too early to know whether corporate CVA exemption will be removed
South African banks may pool quants to tackle FRTB
Senior trader fears banks don't have quant resources to meet FRTB deadline
CCPs must be able to haircut initial margin in a crisis
Initial margin is the best source of liquidity for CCPs in a crisis, argues Irish central banker