Risk magazine - Aug 2024
Cover detail:
Samuel Deacon, Aquaria
www.anne-mariebainbridge.co.uk
am.b@btopenworld.com
Articles in this issue
Insurance double-hatters like Apollo can expect more scrutiny
Regulators are homing in on conflicts of interests at private-equity-owned insurers
Study finds just 10 banks plan to apply for FRTB models
Research provides extra insight on reasons for decline in internal models
Can Citi’s XVA desk help solve risk data failings?
Resolution plan reviews exposed material limitations in banks’ ability to unwind derivatives
CME launches term SOFR curve as clearing talks ebb
Give-and-get pricing tool addresses pressing transparency need in $2.5 trillion swaps market
Clearing members cry foul over restrictive FICC rule change
Draft interpreted as attempt to obstruct rival clearing houses entering US Treasuries market
Rates markets rattled as tech outage hits broker pricing feeds
Dealers widened spreads and pulled live curves after TP Icap’s pricing feeds went offline
Five battle for euro swaps clearing
Nasdaq aims to be regional hub, while BME seeks broader slice of ‘active accounts’ pie
People: New brooms at NatWest and Tradeweb; MUFG splits rates, and more
Latest job changes across the industry
Long shadow of Apollo looms over turmoil at Athora
Risk.net investigation reveals troubling picture of US asset manager’s European insurance project
Banks cry foul over shock decision from Basel Committee
Asset and liability management professionals question severity of criteria in revised IRRBB tests
Discord deepens over fund-linked trades in FRTB
More banks use punitive approach to capital treatment under new trading book regime, irking regulators
EU banks hedge net interest income to pass new IRRBB test
Would-be outliers look to cut sensitivity of cashflows to rate moves, but at what cost?
Stage fright: lenders still struggling with IFRS 9 transitions
Divergence in how banks move loans between stages of impairment prompts regulators to push for more homogenous approach
The boy who cried ‘outlier’: false alarms could dog EBA test
Analysis reveals banks deemed outliers by net income test are profitable post-shock, so how useful is the test?
Fed urged to introduce annual high-rate stress tests
Results of debut scenario were reassuring, but regulators cannot lower their guard
Ace high or busted flush? Digital Asset and the big bet on DLT
Blockchain pioneer’s bumpy journey raises questions over future of distributed ledger technology in finance
FX options’ MDP migration
Volumes on multi-dealer platforms are climbing, but dealers warn pricing may not be optimal
Sovereign ‘greenium’ differs more than you might think
Term structure data shows wide variation in yields for green sovereign debt, argues economist
For the Fed discount window, destigmatisation starts at home
US supervisors must change tack to encourage central bank liquidity utilisation, writes Bill Nelson
Gearing up for FX’s blockchain resurgence
FX markets can benefit from the digital asset revolution but need to pay attention now, says LMAX Group’s Mercer
CCPs vulnerable from reverse repo investments – Esma
European watchdog flags risks of uncovered exposure during liquidity stress event
Four EU banks forecast capital hits from final Basel III reforms
BNP Paribas only dealer to disclose hit from FRTB
Trading losses cancel out Goldman’s revenue in 2024 stress test
Bank hit hardest among those tested for market shock and counterparty default
Six CCPs fail to cover concentration risk in Esma stress test
Largest shortfalls modelled in commodity derivatives segment, led by Ice Clear Europe ECC
JP Morgan sails through DFAST with 200% AOCI reversal
Only major dealer to turn mark-to-market losses into gain in simulated recession
CVA sensitivities, hedging and risk
A probabilistic machine learning approach to CVA calculations is proposed
Bridging the gap risk reloaded: modelling wrong-way risk and leverage
A model extends the counterparty risk calculation to include nonlinear and complex portfolios
