Risk magazine - Feb 2018
Articles in this issue
Now casting: options traders needed for disaster movie
Gamma deserves share of spotlight in volatility drama
Market mayhem hurts relative-value vol trades
Losses estimated at close to $500 million as US index volatility spikes
XIV hedging rule helped protect Credit Suisse
Swiss bank guarded against ETN’s collapse by requiring counterparties to provide hedges in exchange for new units
No carve-outs in Fed’s revised leverage ratio proposal
Holdco leverage ratio will fall, but initial margin and custody funds still in scope
Basel set to hammer Japanese megabank capital ratios
Sharp increase in risk weights for unrated corporates could lead to 30% jump in RWAs
Revised Basel output floor could hit US banks after all
Fall in operational risk weights could push up capital requirements for market and credit risk
VM rules sound death knell for forex swaps in Europe
Market participants claim instrument was a “mythical creature” that never really existed
Goldman discloses ‘speed bumps’ for forex clients
Past behaviour may subject clients to a 200-millisecond hold period, as US bank tries to avoid losses
People moves: Six reshuffles, Citi’s Planquart joins TP Icap, and more
Latest job changes across the industry
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
Trump tax reform sours US banks’ CCAR outlook
Tax changes hit bank capital ratios; Goldman, AmEx could fail Fed’s annual tests
Confusion plagues start of Mifid swaps reporting
Firms reach inconsistent conclusions on scope of transparency requirements
FRTB: banks grapple with hard-to-model risks
Swiss, UK bank efforts to comply with regulators’ risks-not-in-VAR rules may be undone by transition to FRTB
Cloud set to replace in-house tech for banks
‘No other way’ to meet demands of FRTB, XVA and other changes, claim proponents
Banking union: big bang or damp squib?
Eurozone needs package of interrelated measures to prevent project going backwards
Tranche warfare: uphill struggle for euro safe bonds
Junior tranche and regulatory impasse are key challenges for pan-eurozone sovereign bond-backed securities
Op risk modelling to survive move to SMA
Models will still be needed to measure forward-looking risks under Pillar 2
Banks begin to model climate risk in loan portfolios
Environmental stress tests and scenario analysis reveal hidden risks
Banks wrestle with conduct risk capital add-ons
Conduct risk-related additions to Pillar 2 capital raise questions over scope of UK’s Senior Managers Regime
Basel op risk modelling blow shifts focus to Pillar 2
Demise of AMA leaves industry needing risk-sensitive approach for calculating top-up capital, says consultant
LCH, CME or OTC? Forex traders weigh their options
Bilateral trading costs bite but dealers lukewarm on both firms’ plans for forex options clearing
EU regulators urged to give guarantees on Brexit transition
UK banks and insurers want legal protection in case a political deal breaks down
Upholding values: bondholders demand resolution transparency
Banco Popular case could have wider implications for future bank bail-ins
Hackers’ jackpot: Mifid heightens cyber risk
Platforms and reporting entities develop individual solutions, but no silver bullet
Forecasting crypto crashes with bubble analysis
Analysis finds bubble signals in bitcoin and ether, write trio of quant risk managers
Bull run shows up differences in factor strategies
Market exposure, factor construction and risk budgeting have impact, writes Luc Dumontier of LFIS
Oil hedging rally slows amid backwardation
Producers pause to see if prompt price rally rolls along the curve
Time to move on from risk-neutral valuation?
Risk-neutral valuation could be replaced by models with a subjectivity element, writes mathematical finance head
Monthly op risk losses: AML failings cost banks $1.1bn
Also: Japanese crypto exchange loses ¥58 billion in hack; Deutsche, UBS, HSBC settle spoofing claims. Data by ORX News
Credit data: Brexit gloom lifting for UK companies?
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
Swaps data: the monopoly effect in clearing
There are only a handful of products where clearing volumes are evenly split between rivals
What causes forex correlation swaps to be mispriced?
UBS quants show prices can differ by up to 25 correlation points if products modelled accurately
Foreign exchange correlation swap: problem solver or troublemaker?
A correlation structure is an important element in pricing products such as correlation swaps
American quantized calibration in stochastic volatility
Fiorin, Callegaro and Grasselli show how discretisation methods reduce computing time in high-dimensional problems
MUFG launches CDS franchise in US with bet on volatility
Clearing helps Japanese bank branch out into US single names
