Risk magazine
Dodgy discounts: DVA claims fly in cross-currency market
Derided pricing adjustment is being used to undercut competition, traders claim
Pricing, capital and HFT: our biggest stories in 2015
Prudential rules and swaps reform unleash waves of change
FSB's predecessor 'failed miserably' ahead of crisis – Andresen
Secretary general says FSF failed to act on known risks surrounding resolution and securitisations
Risk technology rankings 2015: Surgery, instead of plasters
Murex, Calypso, FIS take top spots as clients push for regulatory compliance
Interview: Zar Amrolia on liquidity provision
Former co-head of Ficc at Deutsche Bank believes non-banks will become essential source of liquidity for banks
Aggregators accuse Sefs of unfair pricing
Bloomberg and Tradeweb charge 'unreasonable’ connectivity fees, two platforms claim
Banks test promise of blockchain as CCP replacement
“You can imagine a world where you don’t need clearing houses,” says senior banker
Basel may soften trading book rules on emissions
Latest FRTB tweaks also include increasing granularity of commodity risk weights
Expected shortfall is jointly elicitable with value-at-risk: implications for backtesting
Fissler, Ziegel and Gneiting investigate the role of elicitability in backtesting problems and show how comparative backtests can be implemented for expected shortfall
Collateral or settlement: capital cut rests on role of VM
Questions about status of variation margin are more than semantics
Swaps CCPs hope to slash capital via margin change
Treating margin as settlement could cut leverage – CME, Eurex, Ice, LCH.Clearnet all seeking approval
Diversification benefit of operational risk
Torresetti and Le Pera explore the relevance of the diversification benefit from a theoretical and practical viewpoint
Negative swap spreads hit bank capital buffers
Portfolios of asset-swapped US Treasuries see mark-to-market losses of up to 20bp
Banks try to copy Citi and UBS clearing leverage cuts
Tactic slashes exposure for FCMs, but could undermine lobbyists
CFTC eases margin requirements for inter-affiliate trades
Bowen votes against final rule exempting non-cleared inter-affiliate trades from initial margin
US margin rules threaten clearing bottleneck
Fed estimates $2.5 billion annual cost of funding margin on bilateral trades
CFTC quizzes clearing banks over leverage-cutting tactic
Billions of dollars in client margin have already been moved off balance sheet
Custody Risk European Awards 2015: Private Equity/Real Estate Fund Administrator of the Year
Sponsored feature: RBC I&TS
Custody Risk European Awards 2015: European Ucits Fund Administrator of the Year
Sponsored feature: RBC I&TS
Basel proposal to cause ‘huge problem’ for TLAC market-making
Proposal requiring banks to deduct holdings of other banks’ TLAC debt could restrict market-making
FRTB may lead banks to take more risk, says Deloitte
Analysis shows some trading desks receive lower capital with stressed market risk charge
EU regulators split over using initial margin to resolve CCPs
Rules on CCP resolution were due last month but are now slated for February
Basel Committee 'will move' to more sensitive leverage ratio
Regulators want to switch CEM for SA-CCR, conference told
Q&A: Bafin's Hufeld concerned ECB doesn't understand German banks
Sparkassen and co-operative sectors 'look like an outlier that doesn't fit with Europe'