Articles by Mark Pengelly
Credit Risk USA: Basel trading book regime attacked by dealers
CVA charge and Basel 2.5 rules incoherent and over-complicated, say dealers
OTC derivatives reform will lead to algo boom, banks predict
Dodd-Frank and Sefs set to encourage growth in algorithmic execution of OTC derivatives, say dealers
CPM functions go back to basics
Old-school value
RBS launching gamma hedging algo for forex clients
New algorithm is designed to automatically hedge gamma sensitivity of foreign exchange options
NYSE Liffe: one pot to rule them all
One pot to rule them all
The hedge fund that takes disaster in its stride
Tracking tail risk
Banks blame complexity for slipping tri-party reform targets
Reforms to $1.59 trillion tri-party repo market are set to miss industry deadlines, and could now spill into 2012
Basel III charge could spur interest in CCDS
Development of CCDS could be pushed ahead by Basel III CVA charge, suggest market participants
Finding Volcker rule metrics will be tough, dealers warn
Crop of the props
US inflation market divided on huge 30-year Tips short
When Tips don't pay
Capital One: banking on banking
Capital gains
Dealers struggle to develop metrics to spot prop trading
Banks considering a variety of measures to identify proprietary trading and so meet the requirements of the Volcker rule, but none is foolproof, say dealers
Morgan Stanley Tips bet 'made sense', dealers say
Big curve flattening bet attributed to Morgan Stanley was reasonable, traders say - one rival exited similar position just in time
Icap closing credit hybrids business
Closure of quanto and contingent CDS desk triggers departures
RWAs too easily manipulated, finds Risk.net poll
Sixty-nine per cent of respondents urge regulatory action on risk-weighted assets
Basel and Dodd-Frank create arbitrage potential, say analysts
Removal of credit ratings under Dodd-Frank will create arbitrage opportunities – and is already being exploited by some US banks, research claims
Concern over accuracy of RWAs grows
A weight on their minds
TD Bank looks to build market share
A consistent culture
Basel Committee responds to RWA dispute
Roldán says the standards and implementation group of the Basel Committee will investigate risk-weighted assets
Brazil nears structured product milestone
New rules will boost local market for retail products, issuers hope
Boon to US leverage ratios as FASB ditches netting proposals
Derivatives accounting proposals abandoned to relief of dealers - but move deals a blow to hopes of convergence between US standards and IASB
Risk & Return Brasil: Supervisors need to be more curious, says Maia
Authorities should put less faith in numbers and what they are told by banks, says top Brazilian supervisor
Buy-side firms urged to avoid stampede to CCPs
Panel participants encourage buy-side firms to engage with CCPs early to avoid a last-minute rush