Risk magazine - Jan 2024
Cover detail:
Duart Bel Silva, From Madeira Too - Lago
Acrylics on linen, 1m x 76cm / 40 x 30in
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Articles in this issue
Repo price spike concentrated in FICC DVP market
Soaring demand for cleared repo blamed for largest SOFR spike in four years
Hedge funds rev up short-vol trade in zero-day options
Firms are capping exposures to avoid a rerun of 2018’s ‘Volmageddon’ unwind
AI model uses quantum maths to learn like a human
Could the next big breakthrough in machine learning come from the world of finance?
Banks scrutinised for offloading deal contingent risks on to funds
Critics say practice could lead to disclosure of sensitive client data
Resolution liquidity rules set to squeeze US regional banks
Pressure to hold more high-quality liquid assets will eat into net interest margins
Assessing the importance of liquidity and climate risk in an evolving risk landscape
In a Risk.net webinar sponsored by S&P Global Market Intelligence, five experts discussed the challenges that evolving risks pose and how the buy side is having to adapt its approach. This article examines the key themes that emerged from that discussion
The unknown risk on the flip side of the basis trade
US mutual funds have amassed record notionals in Treasury futures that in some cases exceed their AUM
Risk Awards 2024: The winners
JP Morgan wins derivatives house, lifetime award for El Karoui, Barclays wins rates
Review of 2023: A hard road to a soft landing
Banks and regulators were caught in the crosswinds of the fight against inflation
Can CRE credit risk models cope with hybrid working?
As US office use changes, modellers deploy judgement overlays and alternative data to keep up
Information security: too important to leave to the experts?
Holding a trove of sensitive data, FMIs seek greater safety through shared oversight and smarter reporting
FMIs look to resilience planning to keep the lights on
Wary of customer and supervisory scrutiny, bourses are pouring resources into scenario planning and controls
On cyber, FMIs seek to avoid being weapons of mass disruption
Controls focus on basic cyber hygiene, but communicating the risk remains a challenge
FMIs get busy, as supervisors circle
Via new roles and controls, exchanges and clearers hope to “get ahead” of regulatory wave
Geopolitics is harsh terrain for FMIs
Idiosyncratic nature of disputes and flare-ups leaves exchange and infrastructure operators blending metrics with guesswork
Trends in regulatory enforcement in the age of compliance angst
Legal and compliance experts discuss the changing shape of regulatory enforcement and how financial institutions are adapting to a shift in approach
Blow-out on ‘dim sum’ bonds fuels boom in offshore rates options
Swaptions on USD/CNH swaps enjoy boost as investors adopt ‘all-you-can-eat’ approach to callables
UK tiptoes away from Europe on bank CDS transparency
Only a small number of instruments are affected, but some worry it will distort competition
Climate capital in the balance as EBA rejects green risk weights
European regulator suggests climate change must be factored into existing risk categories
Strategies for effective real-time data capture and robust risk management
Risk management systems, processes and real-time data aggregation techniques are rapidly evolving across financial institutions against a backdrop of high market volatility and rapid technological development
Banxico waiver prompts rethink on benchmark transition plans
Dealers weigh basis risk against longer-dated swap hedges as CME consults on new conversion plan
Fed methodology adds as much as 2% to US G-Sib surcharges
Morgan Stanley’s binding add-on is three times as high as under Basel framework
Citi propels G-Sibs’ OTC derivatives notionals to nine-year high
Bank leapfrogged Goldman as fourth-largest derivatives dealer after 20% jump over 2022
HSBC leads global uptick in OTC derivatives clearing
Systemic banks cleared record €250 trillion in notionals in 2022
ABN Amro ditches op risk modelling
Dutch lender latest EU bank to switch to the standardised approach ahead of SMA introduction in 2025
G-Sibs’ risk score heatmap shows signs of shakeup
Most systemic lenders’ scores remain driven by cross-jurisdictional activity, but other categories increase in heft
The cost of mis-specifying price impact
Expected returns can be significantly affected by the wrong use of impact models
