Risk magazine/News
US swap trading overhaul may reinforce market split, users warn
New rules on trade execution likely to halt any unifying shift of liquidity to order books
CCAR gives op risk modelling a new lease of life
OpRisk North America: Fed’s annual stress tests are rehabilitating ‘black box’ op risk modelling
UBS hoping for capital relief for past op risk losses
OpRisk North America: Swiss bank has taken action to prevent a repeat of costly missteps
Precise cyber modelling ‘a pipe dream’, expert says
OpRisk North America: Cyber risk models should aim for accuracy, not precision
OCC forms working group to tackle fraud
OpRisk North America: Rise in cyber fraud prompts US regulator to reassess guidance to examiners
European FRTB capital charges hang by a thread
EU Council mulls introducing only reporting requirements in CRR II, or a very low scalar
CECL vs CCAR: banks fear loan-loss reserves mismatch
Lifetime loan loss estimates will look much worse under CCAR stress scenarios than accounting measure
CFTC set to partner with SEC on CDS supervision
Move could open the door to single-name clearing mandate, say experts
Libor concerns prompt switch to Sonia swaps
Move by some UK LDI managers has steepened Sonia-Libor basis
FCMs warn CCPs not to compete on margin
Equity moves in February exceeded margin posted against some cleared products
CFTC commissioners lash out at EC clearing proposal
Push to expand oversight of US CCPs is “clear breach” of 2016 equivalence deal, Quintenz says
Esma investigating Mifid trade data publishers
European regulator warns approved publication arrangements could be breaking the rules
Banks make new push on FRTB’s P&L test
Industry calls for series of changes as regulators prepare new consultation, says Nomura’s Epperlein
Treasury official calls on Fed to review FBO rules
Senate bill aims to relax US Sifi threshold but offers no relief for foreign banks
Latvian bank collapse casts doubt on moratorium plan
Lobbyists say handling of ABLV shows flaws in EC’s pre-resolution stay concept
Podcast: Mercurio on Libor, fraud and writing models on a plane
Post-Libor environment and financial crime detection to drive future research, says top quant
European legislators to exempt CCPs from new bank rules
Support in Council and Parliament suggests leverage ratio, NSFR exemptions will be in final text
US clearing banks still push for leverage ratio IM offset
Potential cut in ratio and adoption of SA-CCR not enough to stop shake-out, FCMs warn
Market players struggle to access Mifid trade-report data
Approved publication arrangements break the spirit of new transparency rules, says lawmaker
Fixed-value euro money funds set to disappear
EC’s dim view of share destruction leaves stable euro fund values impossible with negative yields
Mifid drives ETF trading on to platforms
Best execution rules push Tradeweb ETF volumes up 32%, but smart order routers may alter trend
Giancarlo undercuts SDRs' push for dual-sided reporting
CFTC chairman says US single-sided reporting regime is ‘the better approach’
EU market abuse rules could trip alternative data users
Regulators might treat some new datasets as inside information, lawyers say
Podcast: Callegaro, Fiorin and Grasselli on quantization
High-dimension problems can be solved with discretisation techniques