Derivatives
OTC clearing rebounded at G-Sibs in 2021
Trend reverses as bilateral settlement of OTC derivatives loses previous year’s gains
Japan dealers’ derivatives exposures keep inflating
MUFG, SMFG and SMTH added almost ¥6 trillion to their balance sheets in the three months to end-September
What happens when a bank drops off the systemic risk radar?
Russia’s Sberbank skipped this year’s G-Sib assessment. But just because a bank is invisible doesn’t mean it no longer poses a risk
Global banks’ systemic footprint grew at record pace in 2021
Every indicator up on previous year, only the second time in G-Sib assessment history
CFTC chair defends under-fire crypto bill following FTX debacle
Proposed legislation addresses many of the issues that led to FTX’s failure, Behnam tells Congress
Critical divergence in prices between Spikes and Vix after the Fed’s rate hike
In these uncertain times, when rates hikes and other structural drivers are giving rise to adverse market moves, reliable indicators of 30-day implied volatility are crucial
Podcast: Piterbarg and Antonov on alternatives to neural networks
Two novel approximation techniques can overcome the curse of dimensionality
Podcast: Leveraging real‑time data feeds for faster business decisions
The markets have been on a very volatile ride in 2022, which makes low-latency data more crucial to the business
FCM client margin for swaps hit record high in September
JP Morgan reported the largest monthly increase across the 13 reporting firms
Strong dollar pushes ANZ’s CVA charges up 57%
Risk-weighted assets rose A$1.4 billion in three months; biggest quarterly increase since mid-2019
Role of the dice: how Susquehanna puts game theory to work
One of the world’s largest options traders uses game theory – and poker practice – to get results
Nomura loses $18m on derivatives CVAs and DVAs
Net result from own and counterparty credit spreads swings to negative
Futures margin breaches on track to match 2020
At least 500 seen so far this year, says JP Morgan exec – in some cases leading to 200% margin increases
UBS cuts liquidity valuation adjustments to record low
Bank lowered bid-offer fair value discount to reflect current levels of market liquidity
The Spikes® volatility index: why methodology really matters
Using reliable indicators to gauge market sentiment is crucial for investors and traders, particularly during times of uncertainty such as the September 21 Federal Open Market Committee (FOMC) Meeting
Client margin at Barclays hits record $27bn
Required funds rose 13% for F&Os and 8% for swaps in August
Pensions regulator plays down LDI risk to EU
Eiopa doubts UK gilt market chaos could occur to same degree in Europe
UK pension funds rush to dirty CSAs
Fearing margin pain once BoE gilt-buying ends, funds fast-track revisions to post gilts and corporate bonds
New investor solutions for inflationary markets
Geopolitical risks, price volatility, clashing cycles, higher interest rates – these are tough times for economies and investors. Ahead of the 2022 Societe Generale/Risk.net Derivatives and Quant Conference, Risk.net spoke to the bank’s team about some…
SA-CCR’s sacrifice: who stands to lose from new capital rules
Risk.net research shows the potential for dealers to be left at a disadvantage to their foreign rivals
Sterling interest rate ETDs plummet 28% in Q2
Investors cut open interest in futures and options contracts as crises piled up
A wealth manager’s guide to investor cash deployment
Sitting on excess cash can be the most costly investment decision your clients make. An investor with a moderate risk portfolio in a globally diverse multi-asset-class 'optimum' portfolio, can expect to see returns over cash of between 4-5% per year
Quant house of the year: Crédit Agricole CIB
Asia Risk Awards 2022
Decision science: from automation to optimisation
Despite its benefits, credit decisioning is severely lagging – average ‘time to decision’ for small business and corporate lending at traditional banks is between three and five weeks, while average ‘time to cash’ is nearly three months