News
IFRS 9 prompts Asian banks to downgrade loan books
DBS raises provisioning on weaker energy loans fourfold in third quarter, citing rules impact
EBA and Eiopa confirm changes to VM rule for forwards
Bodies aim to align EU with other jurisdictions – hinting at end of unpopular rule
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EU proposals feed hopes of forex forward VM relief
Expectations rise of forbearance after Council of the EU proposes buy side VM exemption
Esma guidance on swaps transparency still leaves questions
Volatile instrument attributes removed from transparency determination, but further issues remain
SEC approves DTCC’s $74bn liquidity facility
Proposal faced opposition from smaller broker-dealer members of US Treasuries CCP
People moves: StanChart shuffles senior execs in Asia
Also: Ramachandran’s permanent role at Westpac; UOB hires in structured finance; SSGA adds Yung for strategy; and others
JP Morgan CRO: CCPs need extra tail-risk buffers
Bail-in capital would help avoid contagion, says JPMorgan Chase's Ashley Bacon, in an interview with Risk.net
CFTC flags global progress on swaps reporting standards
Common transaction identifiers close to completion, with product identifiers not far behind
No plans to scrap systemic insurer rules, says IAIS chair
A US regulator claims Europeans asked IAIS to chart own course after FSB moved to ditch G-Sii list
FRTB: Basel mulls capital relief for internal model desk fails
Market risk group member describes intermediate capital charge for desks that marginally fail the P&L attribution test
XVA quant Kenyon leaves Lloyds for MUFG
Kenyon jumps ship for similar role in XVA quant modelling
BAML and Morgan Stanley swaps drop $186bn on VM change
At least seven banks now using settled-to-market treatment for variation margin
Mifid II research unbundling hits Japan’s asset managers
Japanese and European investors may face different payment models for investment research
Chicago exchanges embrace crypto-currency
Exchanges' interest piqued, but regulators and some market participants hesitant
Banks apply machine learning to CCAR models
ML models benchmarked against traditional iterations to avoid ‘black box’ perception
Softened liquidity rule would still be ‘misguided’
Treasury proposals welcome, firms say, but watered-down SEC rule would leave risks unaddressed
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
Citi hits hurdle in bid to apply China close-out netting
Chinese derivatives counterparties refuse to amend documentation to apply a netting opinion
Fed willing to listen on CCAR transparency calls
Central bank will seek industry input on bolstering transparency of stress test regime, says Quarles
New Brexit carve-out urged for legacy EU cleared swaps
Risk and default management of grandfathered portfolios required in any clearing relocation plan
Giancarlo: crypto-currency futures do not need new rules
CFTC chair says US regulators can oversee products using existing powers
Goldman swaps assets drop $140bn after margin change
Move follows guidance from US regulators; no word from Goldman on capital impact
AQR’s Cliff Asness: ‘machine learning worries me’
Leading quant cautious on machine learning’s use with limited data