Derivatives
Asia Risk Congress 2017: The new XVA challenge
Video interview: Fabio Mercurio, Bloomberg
People news: SocGen promotes Garnier to head sales
Plus: Citi's Chen joins Deutsche; Mizuho hires corporate derivatives head; and more
Core-periphery model of bank networks called into question
Researchers find multiple, asymmetric cores in interbank market, posing different systemic risks
Clearing conundrum – Forging a solution for the bilateral market
Central clearing has had a beneficial effect on the over‑the‑counter derivatives market, but for some products the road to a cleared model has not been smooth. Capital, operational and margin costs of the non-cleared market have increased, while…
Derivatives close-out netting nears approval in India
Legislation expected early next year will clarify that local banks can use technique, say lawyers
EBF to update European master agreement
Derivatives and repo docs to be amended in light of new regulations, giving users an EU law option post-Brexit
Monitoring regulatory changes to stay one step ahead
Winners' Circle Q&A | Droit Financial Technologies
Citi and JP Morgan back MarkitSERV rival
Big dealers revealed as first bank clients of swaps start-up truePTS days after legal settlement
European split on NSFR worries dealers
Squabble over derivatives liabilities factor sparks fears of unlevel playing field
JP Morgan urges clients to compress over G-Sib fears
Bank trying to mitigate impact of draft Federal Reserve rule change on clearing business – others are said to be doing the same
Energy Risk Asia Awards 2017: The winners
Societe Generale takes finance house and research gongs; Citi picks up derivatives award
Local volatility from American options
De Marco and Henry-Labordère provide an approximation of American options in terms of the local volatility function
Citi hits hurdle in bid to apply China close-out netting
Chinese derivatives counterparties refuse to amend documentation to apply a netting opinion
Goldman swaps assets drop $140bn after margin change
Move follows guidance from US regulators; no word from Goldman on capital impact
Banks prepare for battle with Fed over G-Sib rules
Proposals would kill client clearing business, FCMs claim – but postponement is a chance to fight back
Industry mulls auction-based Libor swaps transition plan
Stanford’s Darrell Duffie proposes solution for switch to referencing alternative risk-free rates
Hong Kong regulator to monitor investor IDs on Stock Connect
SFC move designed to clamp down on misconduct and promote city as China risk management hub
Monthly swaps data review: basis swaps galore
Data shows how less well-traded OTC instruments performed through September
Asset price bubbles and risk management
The purpose of this paper is to review the literature on asset price bubbles to study the impact that the existence of bubbles has on standard risk management methodologies.
MTF bilateral trading protocol offers Mifid arbitrage
Nordic banks to use protocol to benefit from longer deferral period
NSFR consultation: industry awaits derivatives fix
Possible fixes under consultation don’t go far enough, say banks
Industry renews push for triBalance clearing exemption
Dealers using Emir review to request carve-out for optimisation trades
The bald truth about collateral haircut modelling
HSBC’s Wujiang Lou says parametric modelling of haircuts has many advantages over historical VAR
Broker rankings 2017: survival of the biggest
Having a larger firm to stand under as compliance costs soar could be the best bet for the year ahead