Articles by Kris Devasabai
Basel liquidity rules block Fed’s QE exit
LCR and NSFR could produce $1 trillion shortfall in plans for balance-sheet ‘normalisation’
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
Ex-Fed trader Coffey on macro risks and VAR
Myopic models are creating feedback loops, warns founder of new macro firm Avoca
Basel III changes set to create big winners and losers
Capital hit for G-Sibs ranges from 28% drop to 43% jump, QIS reveals
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
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
Fed supervisor presses banks to address CCP exposures
Regulator says more information is needed to fully understand the risk of cleared trades
Insurers say capital rule threatens long-duration products
Implied credit charges could triple under one approach being field-tested by regulators
A silver lining to the repo clouds
Central clearing of buy-side trades could further buttress the repo market
BNY Mellon’s Neal on funding, liquidity and collateral
Markets head Michelle Neal says firm has “big responsibility” after JP Morgan’s tri-party repo exit
Model risk managers grapple with interconnectedness
US regulators ask banks to assess cross-dependencies of models – prompting some to employ network theory
Profile: Quant boss touts benefits of tech team merger
TD Securities says combining teams has allowed rapid rollout of platform for risk and P&L management
Banks move to model smaller op risk losses
Credit Suisse is using scenario analysis to model the risks associated with internal fraud losses
Crapo: US Treasury reforms will be ‘complicated’
Democrats unlikely to back changes that benefit big banks, Senate banking committee chair says
World Bank bets on compression for EM currencies
NY-based start-up LMRKTS gets backing to support illiquid markets
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
LCH to clear single-name CDSs for US clients
Paris-based CDSClear already in discussions to onboard its first US FCM
Don’t keep up with the Kardashians
Dealers may have gifted the buy side an information edge
Repo traders brace for wild quarter-end
Overnight repo rate expected to widen dramatically on Friday
Can US money funds rely on French banks for repo liquidity?
Foreign dealers may be here today, gone tomorrow
Hedge fund H2O suffers $160m loss after Brexit shock
UK-based firm’s four macro funds hit by equity index and sovereign debt losses
Canada waits on US, EU to mandate CAD swaps clearing
Regulatory arbitrage fears stall clearing mandate for CAD swaps in Canada
CFTC clamps down on insider trading in derivatives
Bank traders who leak information about derivatives trades to hedge funds could face charges, CFTC officials say
End-users shun ‘broken’ US swap market
Negative swap spreads forcing hedgers to look for alternative instruments