Risk magazine - Nov 2017
In this month’s special 30th anniversary issue, we profile 10 industry bigwigs, reveal how a Nobel laureate’s risk model has split academics, regulators and industry, examine the front-office backlash around Mifid II, and delve into the implications of Libor reform. All this, and of course, much more.
Articles in this issue
Sifi snafu: Deutsche's cautionary tale
Subjecting big firms to tougher regulation is sensible in principle but difficult in practice
Goldman swaps assets drop $140bn after margin change
Move follows guidance from US regulators; no word from Goldman on capital impact
London-based banks face ECB Brexit power grab
Drive to supervise swaps books from Frankfurt threatens cross-border balance sheet management
Deutsche Bank expects early 2018 decision on LCH exit
LSE chief slams clearing relocation proposals for trying to create captive European Union market
Industry mulls auction-based Libor swaps transition plan
Stanford’s Darrell Duffie proposes solution for switch to referencing alternative risk-free rates
Fed’s Powell: Libor death is ‘big stability risk’
Speaking to Risk.net, Fed chair nominee flags Libor dangers for FRNs, loans and other products
Swaptions expiries complicate portfolio optimisation runs
triBalance and Quantile users call for better post-trade co-ordination between dealers
ECB tells IMA banks to apply before rules are complete
Dealers criticise “unreasonable” timetable for FRTB model approvals, revealed in September call
Citi overhauls bonus system to strengthen conduct culture
Poor conduct score can eliminate bonus regardless of profit contribution
People: Andreasen quits Danske for new role at Saxo Bank
Also: Goldman welcomes Wecker; moves at BNP Paribas; LCH’s new chief; and more
Fishing for Sifis: row over Nobel laureate’s risk model
Engle’s tool for ranking risky firms is one of many that are dividing industry, academics and regulators
The fraught search for a Libor fallback
Banks and buy side disagree over how to prepare for Libor’s death
Structured Products Washington: 2017 conference overview
Sponsored feature: Morrison & Foerster
Front-office backlash: the EU gets tough on research unbundling
Three EU watchdogs – including CNMV and AFM – say front-office content can still be Mifid II research
AIG decision threatens too-big-to-fail insurer label
Fragmentation of international rules on cards as US denounces systemic designations
Banks prepare for battle with Fed over G-Sib rules
Proposals would kill client clearing business, FCMs claim – but postponement is a chance to fight back
The future of risk in 10 interviews: volatility, liquidity and tech
Fed’s Powell, JP Morgan CRO, Bridgewater co-CEO all feature in upcoming profiles
Fed’s Powell on Libor reform, repo and clearing
Risk30: Market doesn’t need to “clear all US dollars in US and all euros in eurozone” says next Fed chair
UBS’s Athanasopoulos on volatility, Mifid and hedging by machine
Risk30 profile: Athanasopoulos sees opportunities to cut hedging costs
Bridgewater’s Murray on radical transparency and op risk
Risk30 profile: “People think we’re crazy,” says giant fund’s co-CEO of its unique approach to op risk
Prudential’s Silitch on the blindspots in Basel III
Risk30 profile: Post-crisis reforms have failed to fully address systemic risk, Prudential’s CRO warns
ANZ’s Whelan on China, data science and ROE
Risk30: markets business at ANZ is picking new targets
Haitong: a spotlight on the regional ambitions of Chinese firms
Risk30: Chinese securities house Haitong is going with the flow
Nex’s Spencer on tech, Brexit and the UK’s identity crisis
Risk30: Icap founder fears return of exchange controls under a Labour government
DTCC’s Bodson on blockchain, SDRs and repo clearing
Risk30: swap data reporting will move to a distributed ledger platform in early 2018
PKA’s CIO on risk transfer and factor investing
Risk30: Low volatility aids and hinders Danish fund
JP Morgan’s CRO on the bank’s six buckets of risk
Risk30: From loan losses to electromagnetic pulses, JPMorgan Chase has a place for it
So, we made some predictions five years ago...
Risk30: looking back at Risk25's 'firms of the future'
FCMs hail new compression techniques
Advances by vendors and increased competition set to unlock more trades for tear-ups
The three lines of defence: a Sisyphean labour?
Banks have revised Basel’s model to suit their risk profile, but some remain sceptical of its impact on risk culture
Banks tout new structures amid Korean autocall resurgence
Modified structured products still popular as banks learn lessons of China crash
Long stay parking: G-Sibs seek BRRD swap stays exemption
Resolution authorities do not want systemic implications of extended moratorium, say banks
MTF bilateral trading protocol offers Mifid arbitrage
Nordic banks to use protocol to benefit from longer deferral period
Basis risk looms for insurers in Libor transition
UK insurers may need to pay more and run basis risk to hedge interest rates after transition
Top 10 energy risks and challenges
Regulation and changing market dynamics among threats to energy in year ahead
Curing the eurozone: how to fix the ESM
Bailout fund should guarantee all EU government debts but charge a protection fee, writes Marcello Minenna
Monthly op risk losses: Aussie banks settle rate rigging claims
Breakdown of top five loss events, plus insight on $7bn US consumer protection fines. Data by ORX News
Quantitative finance still needs mathematicians
Quants develop model that fixes a longstanding problem with pricing American options
Local volatility from American options
De Marco and Henry-Labordère provide an approximation of American options in terms of the local volatility function
Quintenz: former CFTC leadership failed commodities end-users
Commissioner says regulator “poorly defined populations and risk” under Obama administration
