Risk magazine - Apr 2017
April 2017 issue featuring articles on: the phantom US regulations governing the credit default swap market; front-running fears from insurer reporting obligations; new Simm calculation method that can halve initial margin; and Q&A with Isabelle Vaillant, European Banking Authority’s director of regulation
Articles in this issue
Feet of Clayton
New SEC chairman split between presidential deregulation agenda and filling holes in existing rules
Basel group shake-up has banks hoping for FRTB changes
Barger and Durand replaced by BoE's Nesbitt; banks want fresh look at P&L test
Doubts grow over US FRTB implementation
Fragmented roll-out would price European banks “out of the market”
Republican senator slams bank capital rules
US president Donald Trump is no fan of Basel III, Perdue claims
Digital Asset enters healthcare as blockchain questions grow
Masters’ firm quietly moves beyond finance; works with PNC Bank
‘A choreographed ballet’: academics attack CVA
Derivatives add-on rubbished by Cont and Rebonato
LCH margin changes aim to reduce banks’ funding costs
Changes to allow over-collateralisation by buy-side clearers should ease FCMs’ funding burden
Non-cleared swaps compression battle heats up
Quantile, LMRKTS, Capitalab and triBalance jostle for supremacy in IM optimisation
People moves: Nomura’s Ashley takes on sole wholesale role
BGC Partners’ chief exec resigns; Barclays’ Kotecha moves to UBS; new liquidity role taken at JP Morgan; and more
Silent running: on the trail of the SEC’s missing CDS rules
The mysterious fate of the apocryphal 2013 clearing proposal, and what comes next
Solving the FRTB puzzle
Sponsored FRTB forum: IHS Markit
Transparency premium: insurers seek swaps reporting reform
US insurers claim their bespoke swaps are being front-run, raising hedging costs
Full up already? Industry divided over smart beta capacity
Research Affiliates argues trading costs will wipe out returns; critics say assumptions overblown
Non-banks disappointed by Europe’s CRR escape hatch
Proposed alternative prudential regime still doesn’t reflect the true risks of non-banks, say critics
The spirit is willing, but the drafting is weak
Asking firms to operate in the spirit of the law will not solve Mifid trading venue confusion
Identity crisis: venues still struggle with Mifid designations
Lack of clarity on multilateral and matched principal definitions leaves market participants guessing
Systematic internaliser loophole ties Mifid in knots
Banks warn attempts to limit connections between SIs could undermine best execution
Banks seek capital relief for ECL reserves
Capital rules fail to recognise risk-reducing effect of loss reserves, lenders say
Banks rush to protect against data breach fines
Cost of implementing GDPR ‘could reach hundreds of millions’ for largest banks
Japan CVA shift may break local banks’ swaps stranglehold
Introduction of pricing adjustment could see foreign banks compete for corporate business
Some banks find huge margin savings by breaking up indexes
Splitting equity and commodity indexes can halve initial margin, but not everyone can do it
The long arm of European law: Mifid alarms the world
Non-European firms may have to undertake compliance projects without knowing the final rules
EBA call for simpler IFRS 9 phase-in applauded
Lawmakers aim to fast-track IFRS 9 rules in the revised Capital Requirements Regulation, but are also urged to clarify them
Q&A: EBA’s Vaillant on Basel IV, FRTB and CVA
Authority’s “key goal” in Basel talks has been to defend risk-sensitive capital framework
Keeping faith: IAIS rebuffs view G-Sii concept will die
But firms see workplan announcement as step away from focus on high-risk entities
Beware simulation sins
Aspect Capital’s Stephen Wood picks out the most common pitfalls in simulations of quantitative investment strategies
Commodity firms aim to tighten up on spoofing
Citigroup fine and CFTC comments put market on alert
Profile: DRW’s Wilson on risk, regulation and real estate
Most recently standing trial accused of manipulating an interest rate futures market, Don Wilson has had a colourful career
Draghi’s euro-exit redenomination hedge
Marcello Minenna says new ECB policy effectively hedges QE bond purchases
The covered interest parity conundrum
Darrell Duffie explains why it’s difficult to arbitrage direct and swap-implied funding rates
Monthly swaps data review: Libor dominance challenged
There are more sources of over-the-counter derivatives data available today than at any point in the market’s history
Redemptions focused within strategies suffering losses in 2016
Redemptions focused within strategies suffering losses in 2016
Top five op risk losses: Mortgage fines continue to plague banks
Megan van Ooyen from SAS rounds up the top five operational risk losses for February 2017
New execution algos show complexity is not to be feared
Quants develop method to include both market impact and limit orders in optimal trade execution
Fast and precautious: order controls for trade execution
Algo traders propose a new optimal execution algorithm with both limit and market orders
Mixing SABR models for negative rates
Antonov, Konikov and Spector use an exact formula for the normal free boundary SABR to construct an arbitrage-free mixed SABR model
Scrap ‘absurd’ op risk RWA framework, says Sands
Ex-StanChart chief exec advocates replacing current op risk capital framework with regulator-set buffer
