Risk magazine - Sep 2021
Articles in this issue
Overhyped green status is no longer a risk-free sales tool
Asset managers’ ESG claims will now be more closely scrutinised following DWS allegations
Brokers may flout deadline to darken US dollar Libor screens
SOFR First step raises transparency concerns; threatens publication of Ice swap rates
EU ‘unlikely’ to force swaps relocation – ex-MEP Swinburne
Multinational corporates would resist clearing move if CCP equivalence is lost, says former lawmaker
Fed’s repo facility won’t end US Treasury woes, experts say
Dealer facility does little to address root causes of recent liquidity shocks
Archegos report details margin failings at Credit Suisse
Dynamic margining and a $150,000 software fix for ‘bullet swaps’ could have saved the bank $3 billion
OCC quants tout anti-procyclical margin method
Technique aims to lower initial margin calls in times of stress without sacrificing risk sensitivity
An old model can shed new light on how flows shape prices
Market microstructure theory may also explain long-term patterns in stock markets
People moves: Credit Suisse senior shake-up, and more
Latest job changes across the industry
The sticky question of Europe’s oil-ridden ESG funds
NN Investment Partners SFDR fund holds 91% of investments in oil and gas companies
Banks lure FX algo sharks into shallow waters
Sick of losing out to predatory HFTs, dealers are trying to create liquidity pools they can trust
Could prime of primes go pop?
The PoP market is booming, but some tier one banks are wary
PoP goes FXPB: prime of prime fizzes, but isn’t to all tastes
Sources report ebullient growth among PoPs, despite lingering wariness around risk redistribution
PBs get new help in war on generosity
Big FX venue operators offer way to reduce overallocation of credit
Show your workings: lenders push to demystify AI models
Machine learning could help with loan decisions – but only if banks can explain how it works. And that’s not easy
FX forwards and swaps
LCH’s Kah Yang Chong, head of FX Emea product, and James Shanahan, head of FX quantitative analytics, discuss whether clearing of FX forwards and swaps – so far limited by requirements under UMR – will provide the efficiencies market participants need
Federal bill unpicks some, not all, US Libor legacy knots
Legislative effort is progressing with bipartisan support, but non-US law contracts won’t benefit
Green bonds risk failing TLAC test
Europe’s banks – in their scramble to issue ethical debt – butt up against tough rules on loss-absorbing capital
How Brexit split Aegon’s euro swaps book
Years-long effort saw trades quietly move to Frankfurt – but firm wants continued access to LCH
A defence against the next convexity crunch
Crédit Agricole rates traders describe a new way of hedging the risk of bond convexity
UK aims to beat EU in Mifid swaps reporting stakes
UK follows up proposed EU solution to confusion over post-trade transparency with its own fix
Clunky crypto markets serve quants well – can it continue?
Poor price discovery presents opportunities for systematic traders in super-trending markets
How to trade like the investor who made $1bn in a day
Mark Spitznagel won’t reveal how he made a 4,144% return, but he does discard plenty of rival trades
OTC derivatives clearing: no turning back
Clearing advocates have plenty of reasons to feel optimistic about the future
EU stress tests: BNP Paribas would bear brunt of trading losses
Losses from held-for-trading balance sheet would wipe out fair value book gains
JP Morgan flirts with VAR limits
Largest trading loss in Q2 reached 96% of bank’s VAR limit
Wells Fargo, Citi amass losing days in Q2
On average, the eight top US banks reported 32 loss-making days
Citi leads US banks in shrinking market risk
First aggregate drop in capital charges stemming from market risk since mid-2020
Client margin down 33% at Credit Suisse’s swaps unit in Q2
Drop in IM could signal clients jumping ship in the aftermath of Archegos blowout
Deutsche takes €17.7bn RWA add-on in final Trim hit
Leveraged loan portfolio among targets of ECB’s remedies
Machines can read, but do they understand?
A novel NLP application built on a Google transformer model can help predict ratings transitions
NLP and transformer models for credit risk
News feeds are factored into models to predict credit events
A principled approach to clean-up costs in algo trading
The opportunity cost associated with the cancelled portion of an order is quantified
Mizuho tries its hand in European rates
Japanese bank bets on handful of deep relationships to compete in crowded European market
