Opinion
Interbank benchmarks, Brexit and conduct risk in Asia
The week on Risk.net, May 12-18, 2018
CDS spat, CME’s land grab and Mifid problems
The week on Risk.net, May 5-11, 2018
Swaptions CCP basis arrival raises wider valuation questions
Halting rollout of new prices highlights potential weak points in valuing illiquid products
Rolet is right – for now
CME/Nex deal could change the established logic on how to deliver rates market savings
Putting swaptions pricing in the fast lane
Derivatives consultant proposes a model for arbitrage-free pricing
Simple models won’t cut it for systemic risk
Understanding interconnectedness and capturing it within models is a key challenge, say quants
Europe struggles to get a grip on derivatives transparency
Mifid reporting has fallen short of US swaps data, but national regulators are partly to blame
Swaps data: the allure of liquidity
Liquidity in OTC trading concentrates at one venue, or splits across three, writes Amir Khwaja of Clarus FT
Monthly op risk losses: banks count the cost of IT failures
Also: top five loss breakdown led by Wells Fargo’s $1bn fine. Data by ORX News
Mifid transparency, FRTB and alternative data
The week on Risk.net, April 30–May 4, 2018
Credit data: firms with fewer well-paid women are riskier
Gender pay gap disclosures could be a proxy for credit risk, writes David Carruthers of Credit Benchmark
Risk ratings, swaps margin and riding bubbles
The week on Risk.net, 21–27 April, 2018
Op risk capital: why US should adopt SMA today
No reason to delay roll-out of standardised approach, says TCH’s Greg Baer
Swaptions basis secrets, risk capital changes and forex hedges
The week on Risk.net, 14-20 April, 2018
Chinese KYC, bankruptcy problems and SOFR swap clearing
The week on Risk.net, April 7–13, 2018
Watch out for commodity vol products
Commodity traders shouldn't ignore the recent meltdown in CBOE’s Vix derivatives, writes energy consultant
How banks should organise themselves for FRTB
New market risk rules require a rethink on trading and ops, argue market risk experts
Monthly op risk losses: China’s Anbang faces huge fraud hit
Also: in-depth look at multi-billion fraud in Indian banking system. Data by ORX News
Why Asia should hold fire on replicating EU holdco rules
China and Japan should wait for outcome of US regulatory review and Brexit before retaliating
Rogue trading, fixing Vix and pruning Libor
The week on Risk.net, March 30-April 6, 2018
The case for draining excess reserves
The financial system can operate efficiently with $500 billion or less in reserves after normalisation
Systemic rules for insurers and funds should be mutually coherent
Leverage and liquidity risks are common to both sectors, says IAIS chair Victoria Saporta
From prophets to ‘parasites’
How post-trade vendors went from problem-solvers to ‘rent-seekers’
How not to control trading behaviour
Quants show popular risk measures fail to limit risk-seeking behaviour among traders