Risk magazine - Oct 2017
In ‘Unwanted kingdom’, Philip Alexander looks at managing the risks of a no-deal Brexit; as Eonia’s future is questioned, we examine the alternatives; the mystery of Mifid’s systematic internaliser is revealed; and holdcos are seeing double; plus, as ever, much more.
Articles in this issue
A common interest in common law
Losing UK court judgement recognition in EU would not dim enthusiasm for English law contracts
SEC delays final decision on DTCC liquidity facility
Regulator says it needs more time to consider market impact of CCLF proposal
Fed G-Sib plan threatens 50bp jump in FCM capital
Banks rail against proposals that would scoop up $46trn in cleared trades
Capital rules may be too risk-sensitive, Basel fears
Complexity is slowing roll-out of standards, says Basel Committee deputy
Banks tout machine learning amid regulatory concerns
Machine learning being used to build challenger models for model validation
Acadian ends social media data ties with Microsoft Bing
Quant asset manager says it finds more use in orthodox sources of data
Asia warned of LEI crunch over Mifid II deadline
Tens of thousands more Asian LEIs needed to avoid European trading lock-out in January
Bankers warn first TLAC bail-in could spark market shock
Regulators urged to clarify treatment of bail-in bonds under both TLAC and NSFR rules
People: Credit Suisse hires in equities, reshuffles senior management
Deutsche's Hrvatin joins Citi; new macro trading head for Barclays; and more
Unwanted Kingdom: managing no-deal Brexit risks
UK-based dealers must plan now if they are to handle trades that extend beyond Brexit day
Europe’s Eonia dilemma
As Europe begins formal search for new risk-free rate for swaps, it is unclear whether Eonia will survive
Tackling the liquidity challenge for insurers and pension funds
Sponsored feature: HSBC
US and Japan push for twin EU bank holdcos
Two umbrella groups needed for home-country separation of securities and banking operations
Not on the list: Mifid’s systematic internaliser mystery
Self-identification of systematic internalisers in derivatives could fuel buy-side confusion
EU-US swaps trading equivalence tipped for November
Hong Kong and Singapore unlikely to be deemed equivalent for start of Mifid II
Mifid II – The regulatory reporting challenges that lie ahead
Sponsored feature: NEX Regulatory Reporting
NSFR consultation: industry awaits derivatives fix
Possible fixes under consultation don’t go far enough, say banks
Fed’s outgoing CCAR chief defends stress tests
Timothy Clark rebuffs US Treasury recommendations; supports more transparency
Buy side balks at costs of SMR extension
Expansion of scheme will bring 47,000 firms in scope; compliance and recruitment costs set to rise
Why no one can handle technology risk
IT missteps can destroy banks – boards need to take them seriously, argues author Patrick McConnell
Unskewed incentives: making governance work
EIB model head explains a four-step process for putting risk at the centre of governance efforts
Banks discount legacy swaps as ring-fencing looms
Expectation of higher funding costs post ring-fencing pushes UK banks to offload some trades faster
London likely to lose all euro repo clearing business
Fear of post-Brexit curbs on clearing and netting concerns propel shift to eurozone
Extended resolution swap stays divide EU lawmakers
SRB defends EC moratorium proposal, but Parliament and Council are turning against it
Forging a third way: Bringing efficiencies and standardisation to the non-cleared swaps market
Sponsored survey analysis: LCH
Firms race to apply machine learning to liquidity risk models
As key regulatory deadline looms, US mutual funds are waiting to see if machine learning can enhance liquidity risk models
Why factor crowding fears are overblown
Factor investing has little impact on exposures, claims La Française Investment Solutions
US courts restrict reach of Commodity Exchange Act
Recent cases make it harder to pursue instances of overseas misconduct
Ferc urged to prop up illiquid natural gas indexes
A lack of willing price reporters is eroding confidence in key benchmarks
Onus to check swap data should be on counterparties – SDRs
CME, Ice and DTCC oppose duty to reach out to non-reporting party for data verification
Monthly op risk losses: Aequitas faces $192m loan settlement
Breakdown of top five loss events, plus ECB’s Ireland fine and mortgage losses in Spain. Data by ORX News
Monthly credit data review: UK corporates’ post-Brexit slide
UK financials show steady post-Brexit decline in credit quality
Monthly swaps data review: basis swaps galore
Data shows how less well-traded OTC instruments performed through September
Machine learning for trading
Gordon Ritter applies reinforcement learning to dynamic trading strategies with market impact
Optimising VAR and terminating Arnie-VAR
Albanese, Caenazzo and Syrkin show how full-revaluation VAR is more accurate and robust than sensitivity-based VAR measures
SGX commodities head: China mustn't meddle with prices
Singapore Exchange’s Chin says internationalisation will necessitate new products and change pricing
