Risk magazine - Dec 2017
Read about all the winners of the Risk Awards 2018 in this month’s issue. Elsewhere, we ask whether sufficient value can be extracted from alternative data to negate initial suspicion, examine why Dutch prop trading firms are under attack, and observe fun and games with loss given default.
Articles in this issue
Making the alternative a reality
Quant firms will have to adapt to prosper in the new datasets environment
Basel III changes set to create big winners and losers
Capital hit for G-Sibs ranges from 28% drop to 43% jump, QIS reveals
Basel III: final op risk framework leaves banks guessing
Analysis suggests big capital savings on average, but uncertainty persists over uneven implementation
Eonia jump forces rethink of euro swap pricing
Traders say volatility of discount rate should be taken into account after "unprecedented" 12bp move
FCA: buy side can stop work on VM rules for forwards
UK regulator follows up on statement from ESAs that urged forbearance
Quintenz: futures will allow regulated bitcoin exposure
New products allow investors to access digital currency in a monitored marketplace, says CFTC commissioner
Carney: conduct risk failings could spark capital add-ons
Senior Managers Regime is helping BoE identify cultural weaknesses at individual firms, says governor
China bond sell-off makes case for options market
Current hedging tools inadequate, but regulators reluctant to liberalise derivatives markets
Banks apply machine learning to CCAR models
ML models benchmarked against traditional iterations to avoid ‘black box’ perception
FRTB: Basel mulls capital relief for internal model desk fails
Market risk group member describes intermediate capital charge for desks that marginally fail the P&L attribution test
People moves: Deutsche Börse appoints UniCredit banker as new CEO
New fixed-income head at Mizuho; trueEX hires CTO; Deutsche fills ETF role; and more
Quant funds look past the obvious for uses of alternative data
Many systematic investors are sceptical but a few are finding ways to make new data work
Unlucky for some: Europe’s war on 13 Dutch prop traders
Liquidity hit feared as FlowTraders, IMC, Optiver and other non-banks face bank-style capital rules
CVA pay day: calculation arbitrage boosts bank profits
Lack of convergence allows some banks to benefit from an arbitrage between booking and pricing the adjustment
Basel rules risk fragmentation after key compromise
Basel Committee ready to release new accord but patchy adoption of internal model floor and FRTB expected
Risk Awards 2018: The winners
Morgan Stanley takes top derivatives prize; lifetime award for Xavier Rolet; Citi lands risk management award
Lifetime achievement award: Xavier Rolet
Risk Awards 2018: Eight-year tenure transformed LSEG, but one big deal got away; exchange now faces Brexit risks and Mifid opportunities
Quants of the year: Leif Andersen, Michael Pykhtin and Alexander Sokol
Risk Awards 2018: Quants reveal hidden settlement risks – and present solutions
Derivatives house of the year: Morgan Stanley
Risk Awards 2018: From inflation repacks to Formosa flows – US bank’s slimmed-down fixed-income business is gaining share
Interest rate derivatives house of the year: Societe Generale
Risk Awards 2018: Structuring smarts help French bank grow in slow rates market
Currency derivatives house of the year: Deutsche Bank
Risk Awards 2018: Search for forex market’s gaps spurs huge growth in correlation trades and new tech services
Equity derivatives house of the year: Societe Generale
Risk Awards 2018: From geometric dispersion to fund derivatives, the French bank combines popular products with risk recycling strategies
Credit derivatives house of the year: Goldman Sachs
Risk Awards 2018: US bank’s credit re-organisation opened door to wider client base, new products and some jumbo trades
Inflation derivatives house of the year: Morgan Stanley
Risk Awards 2018: US bank takes repacks to a new level in BBC, Thames and Anglian Water deals
Structured products house of the year: UBS
Risk Awards 2018: Swiss bank connects clients with cheap execution and innovative investment products – even when offered by rivals
Risk solutions house of the year: Nomura
Risk Awards 2018: From reinsurance contracts to deal-contingent hedges, Japanese firm proves brains can triumph over brawn
Deal of the year: HSBC
Risk Awards 2018: How a $2bn repo helped solve Egypt's currency crisis
Currencies flow market-maker & Streaming liquidity provider of the year: XTX Markets
Risk Awards 2018: Direct client trading booming at the firm, as volumes up 50% year-on-year
Rates flow market-maker of the year: Citadel Securities
Risk Awards 2018: Firm takes on dealers once again by market-making in custom swaps and off-the-run Treasuries
Equities flow market-maker of the year: Citadel Securities
Risk Awards 2018: Chicago firm makes big hires and pushes into new derivatives products
Bank risk manager of the year: Citi
Risk Awards 2018: How US bank helped Nigeria's lenders through a dollar funding crisis
Credit portfolio manager of the year: Crédit Agricole CIB
Risk Awards 2018: French bank shifts $1bn in structured finance RWAs – with a green twist
Exchange of the year: CME Group
Risk Awards 2018: Capital-conscious customers prompt bourse to refocus on US
Exchange innovation of the year: Eris Exchange
Risk Awards 2018: New swap futures pricing curve removes hurdle for real-money users
Buy-side quant of the year: Jean-Philippe Bouchaud
Risk Awards 2018: top quant unravels complexities of trading one asset without moving another
Asset manager of the year, risk management: Legal & General Investment Management
Risk Awards 2018: LGIM led on inflation e-trading, margin rules prep
Sovereign risk manager of the year: Debt Management Office of Saudi Arabia
Risk Awards 2018: New DMO is building a benchmark curve that could spur local capital markets
Pension fund of the year: AP3
Risk Awards 2018: Swedish fund proves that shunning ‘sin stocks’ can pay
Insurer of the year: Allianz
Risk Awards 2018: Solvency II ratio of 205% protects dividends, boosted stock – and has spurred shift in new business
Reinsurer of the year: Prudential Financial
Risk Awards 2018: From rock stars to robots – how reinsurer is trying to keep up with longevity demand
Asset manager of the year, systematic investing: BlackRock
Risk Awards 2018: Giant manager has in-built advantages, but is also breaking new ground
Quant hedge fund of the year: Man AHL
Risk Awards 2018: New roles for machine learning, frontier markets and OTC data give fund an edge
Institutional investment product of the year: Deutsche Bank
Risk Awards 2018: €829m alternative premia fund shows softening bank-asset manager rivalry
Retail investment product of the year: Commerzbank/Mattioli Woods
Risk Awards 2018: Multi-line fund freshens up UK structured products
Quant research team of the year: Deutsche Bank
Risk Awards 2018: team’s data science insights ‘transformative’ say clients
Index provider of the year: Bloomberg
Risk Awards 2018: Indexer is helping boost liquidity with new China indexes and standardised swaps
Clearing house of the year: Ice Clear Credit
Risk Awards 2018: CDS clearer completes ground-breaking four-year overhaul of its crisis plans
OTC client clearer of the year: Citi
Risk Awards 2018: 'Activist' FCM takes aim at G-Sib change and new leverage measure
Trading platform innovation of the year: OpenDoor Trading
Risk Awards 2018: Start-up hopes to boost off-the-run UST liquidity via auctions and all-to-all trading
OTC trading platform of the year: Tradeweb
Risk Awards 2018: Rates market roots have helped platform rival Bloomberg in swaps
OTC infrastructure service of the year: Droit Financial Technologies
Risk Awards 2018: Mifid II prompts firm to expand coverage, becoming “default provider”
Technology vendor of the year: Moody's Analytics
Risk Awards 2018: Stress-testing and scenario prowess is helping firms profit from ‘what-if?’ questions
Fintech start-up of the year: BestX
Risk Awards 2018: Cost analysis service set to expand into rates next year, after transforming forex
Law firm of the year: Cadwalader, Wickersham & Taft
Risk Awards 2018: Staff at one European bank were facing a 30–40% Volcker rule loss on their investments, until Cadwalader got involved
Banks eye synthetic securitisation to cut IFRS 9 loan-loss spikes
New structures would help mitigate estimated 44% increase in loan-loss provisions from revised accounting framework
Hostage situation: venues slam cost of European Isin utility
Trading venues bemoan commercial terms of service vital to Mifid II swaps reporting
Kicking the can: global insurance deal highlights divisions
IAIS hails “unified path” on insurance regulation, but Europe frustrated by US exceptionalism
Asian buy side faces non-cleared margin currency penalty
Global banks charge premium for accepting local securities instead of major currencies
ETFs under scrutiny over liquidity risk
Secondary market trading in funds could freeze up in times of stress, supervisors fear
Liquidity snarls progress on factor investing in credit
Asset managers are re-engineering strategies borrowed from equity to fit practicalities of trading bonds
OTF uncertainty adds to Mifid II guesswork
Commodity firms need clarity on new type of venues to adjust to imminent rules
Monthly op risk losses: NYDFS fines Credit Suisse for forex fails
Breakdown of top five loss events, plus conduct risk and robo-advising. Data by ORX News
Credit data: US retail woes are not universal
Default probabilities paint a mixed picture of the decline of American shops
Swaps data: forex options – candidate for a clearing mandate?
Volume stats reveal a large vanilla market and much smaller trade in barriers
Degree of influence, 2017: Quants dissect initial margin
Initial margin, optimal execution and applications of machine learning were the hottest topics of 2017
Machine learning is not just for the buy side
Sell-side quants develop machine learning technique to optimise margin costs
Evolutionary algos for optimising MVA
Alexei Kondratyev and George Giorgidze apply two evolutionary algos to MVA optimisation
The FRTB’s P&L attribution-based eligibility test: an alternative proposal
Spinaci, Benigno, Fraquelli and Montoro propose two alternatives to the P&L attribution test
State Street uncovers a bond liquidity mystery
Bigger trades are cheaper, research finds – and investor analytics head, Mark McKeon, knows why
