Risk magazine - Mar 2017
March 2017 issue featuring articles on: how Brexit threatens Mifid’s data foundations; Goldman Sachs and JP Morgan offering proprietary risk systems to clients; confusion over Trump’s ‘two-for-one’ rulemaking edict; and a wave of cyber attacks targeting Russian banks’ payment systems
Articles in this issue
Brexit and financial regulation: a delicate negotiation
The UK needs access, the EU needs regulatory data, but a mutually beneficial deal could be elusive
VM push fails to deliver cleaner CSAs
Dealers have softened stance on collateral terms as March 1 deadline approaches
Hazy guidance causes chaos on first day of VM regime
"We don’t know what the rules are," says one senior banker
Clearing portability under threat as FCM pool shrinks
Failure of big clearing brokers could see clients unable to move to stable competitors
Treasury: SLR 'reducing stability' in US repo markets
Treasury study found leverage ratio is making bank repo funding “fragile”
EC rebuffs euro clearing relocation policy in Emir review
UK pushes back against French demands to shift CCP business post-Brexit
FRTB: Basel guidance on backtesting frustrates dealers
Dealers blast “illogical” carve-outs for backtesting exceptions
Inconsistent FRTB model guidance vexes dealers
Risk models pulled in opposite directions by P&L attribution test and non-modellable risk factors
Banks voice fresh concerns over CCP non-default losses
Dealers could face cash calls to recapitalise an ailing CCP that suffers a critical non-default loss under FSB proposals
HSBC shakes up risk analytics team
Internal memo attributes changes to increased demand for analytics
People moves: Peng Zhao replaces Kevin Turner at Citadel
Barclays shakes up European credit trading; HSBC names Zaimi head of equities
From swaps to software: rivals eye Goldman and JP tech plans
Goldman Sachs and JP Morgan upending years of bank strategy by making systems available to clients
A not-so-secret recipe for success: Beacon's cloud-based quant platform
Sponsored Q&A: Beacon
Fintech and wholesale banking: why nothing has changed
Staff turnover, regulation among five factors holding banks back
Mifid malfunction: Brexit breaks data foundations
Removing the UK from EU markets could derail new European trading and transparency rules
Why EU banks still refuse to die
A year on since BRRD came into force, the debate on taxpayer bailouts is far from resolved
The risk-parity fire sale that didn’t happen
Have fears of a co-ordinated sell-off by risk-parity funds been proven wrong?
OTC data under the microscope: Cleaning up derivatives data repositories
Sponsored feature: TriOptima
Executive disorder: little threat to Dodd-Frank from Trump memos
Order to scrap two rules for each new one cannot capture bank regulators or repeal legislation
Emerging cyber threats share a familiar root cause
Whether in banking or energy, most cyber breaches start with human error
Cyber assault on Russian banks mirrors Swift attacks
‘Advanced persistent threat’ attacks threaten wholesale payment networks
Energy firms assess costs of cyber attacks
Analytics are considered key to cyber risk management
R3 set to unveil blockchain for syndicated loan trades
Credit Suisse, US Bank and others to showcase results in March; no update on Digital Asset and JP Morgan project
UK banks face increased XVA burden after ring-fencing
Funding spreads to raise FVA and MVA; netting splits to hit CVA
Swaps play hidden role in UK banks’ ring-fencing plans
UK dealers avoid mass transfers of derivatives
Swiss rate reform in race against the clock
Time constraints and valuation headaches complicate swaps market transition from Tois to Saron
Deal or no deal? US divided on EU insurance agreement
Benefits of mutual recognition may encourage Trump administration to keep Obama’s last act
EC to miss Mifir equivalence deadline
Draft timetable would leave some jurisdictions inaccessible to European Union firms from January 2018
Progress checked: buy side still struggling to join up analytics
Firms see benefit in linking performance attribution and risk, but differences in approach are a constraint on headway
Insurers’ losses shine light on swaps accounting
FASB seeking to iron out swaps mismatches that hit MetLife, Manulife and others
Late adopters: why buy-siders are sticking to RFQ
Asset managers have been slow to embrace alternative trading protocols in fixed income
Buy side must clear hurdles to revive CDS liquidity
Some firms forced to watch from sidelines as voluntary clearing of single-name CDSs takes off
Smart beta managers face fixed-income paradox
The extension of smart beta ideas to fixed income is posing questions about how well risk factors are really understood
Hedge funds shift gears on commodities
Investors have flocked back to commodities. And while analysts believe this will continue, hedge fund managers see traditional investor profiles changing
Ferc manipulation definitions raise compliance fears
‘Vague’ anti-manipulation standards a source of frustration for energy firms
Monthly swaps data review: volumes rise, CCP switches spike
In the first of a new series of articles, Amir Khwaja of Clarus FT looks at the most recent batch of swaps data
Duffie: CCPs should prep to quash Sifi swap termination stays
Clearing houses need criteria for overriding stays on swap terminations, writes Darrell Duffie
Hedge fund redemptions a dismal end to a bad year
Managed futures funds saw big inflows in 2016, but left investors disappointed
Deutsche, Credit Suisse settle mega RMBS fines
Megan van Ooyen from SAS rounds up the top five operational risk losses for January 2017
What is the economic value of FVA?
To end the funding valuation adjustment debate, this key question needs to be answered
Derivatives funding, netting and accounting
Christoph Burgard and Mats Kjaer expand their semi-replication framework to multiple counterparties
Optimal trading with linear and (small) non-linear costs
Bouchaud et al find the optimal trading strategy for a family of predictive signals in the presence of transaction costs
Start-up looks to break swaps clearing bottleneck
Sernova promises everything an FCM can do – apart from taking risk
