Risk magazine - Feb 2024
Cover detail: Shihang Zheng, The City: 2, Acrylic on canvas, 60 x 70 cm
Contact: Anne-Marie Bainbridge, www.anne-mariebainbridge.co.uk
Articles in this issue
Regulators’ FRTB estimates based on faulty premise – industry study
US market risk capital requirements could more than double if banks abandon IMA
Clearing members cheer plan for more transparency on CCP margin
European Parliament wants to amend Emir 3.0 draft to put extra obligations on clearing houses
Term SOFR derivatives creep into US fund holdings
Global Atlantic shows sizeable swaps position against the new benchmark as other managers ease into trading
LCH-JSCC basis turns negative on BoJ policy shift
Changes in hedge fund positioning at LCH seen as driver of inversion on 20-year swaps
Citi and JP Morgan vie to extend collateral optimisation to CCPs
High rates and increasing collateral requirements have ignited race for greater efficiency
Former NY Fed chief calls for overhaul of discount window
Dudley’s proposed changes include prepositioning collateral, cutting costs of secondary credit facility
US climate guidance stokes debate over defining material risks
Banks welcome flexibility, but it could lead to big divergence on climate risk management
Why ‘Derivatives’ became ‘Markets’
The derivatives markets have changed drastically over the past decade. So has Risk.net’s coverage
Shaping the future of US Treasuries trading
Tradeweb Markets’ Thomas Pluta and Bhas Nalabothula, and Maile Robichaud from State Street Global Advisors discuss the evolution of US Treasuries trading and the innovations that are shaping its future
Holes in the netting: the limits of CME-FICC cross-margin deal
Big margin savings for some, but more needed to ease pressure of UST clearing mandate
Will generative AI crack the code for bank tech teams?
Banks could roll out tools to help translate old – or write new – code within months
Bloating CCP default funds. New margin models. Are the two linked?
Dealers grumble that greater guaranty fund payments could undermine the ‘defaulter pays’ principle of clearing
Structured credit: the outlook for 2024
In this webinar produced by Risk.net in association with Numerix, experts discuss the risks, opportunities and outlook for structured credit markets in 2024
Taming the systemic risk Hydra: 10 years of mandatory clearing
Regulators, clearers and market participants reflect on a decade of the clearing requirement
The top 10 investment risks for 2024
New fears include mounting government debt, the rise of AI, a credit crunch and regulatory overkill
Creditors struggle to stop stressed firms borrowing more
Dropdowns, uptiers and double dips grow in number, and lenders can't prevent them
Payment risk: facing the regulators with confidence
As banks continue to struggle with controlling their payments functions, Alex Knight, head of Emea at Baton Systems, explains how institutions can overcome this problem by easily activating payment rules that can be immediately applied across multiple…
Prop traders call for new rules on pre-close briefings
Price swings after private meetings alarm PTFs, but Esma gives regulators no ‘specific guidance’
Levelling the playing field for stablecoins
Regulatory asymmetries are a barrier to innovation in digital payments
How AI can give banks an edge in bond trading
Machine learning expert Terry Benzschawel explains that bots are available to help dealers manage inventory and model markets
From ‘glut effects’ to ‘greedflation’: the factors shaping derivatives markets in 2024
Societe Generale and Risk.net held the ninth edition of their annual flagship Derivatives Conference in the iconic SG Towers at La Défense. Usually hosted in London, the event was co-sponsored by the CME Group and took place in Paris for the first time,…
Concentration risk ticks up at large CCPs
Top five clearing members accounted for almost half IM and open positions in Q3
US banks rejig securities to cut mark-to-market losses
Fifth Third leads charge with $12.6bn transfer from AFS to HTM pen
Clearing members sour further on cash for IM collateral
Sovereign bonds remain preferred choice at top CCPs in Q3
Emerging lessons from the current credit risk cycle
Experts discuss the challenges of higher inflation and interest rates, the impact on defaults, innovations in credit risk modelling and predictions for 2024
Cleared US repos hit record high as MMFs wean off Fed
Deflating tri-party volumes coincide with FICC DVP trades’ climb to $2tn
US MMF repos with dealers hit record amid RRP pullback
Non-Fed trades up 13% in November as facility’s usage declines rapidly
How HSBC got better at pricing share buy-backs
Monte Carlo approach generates faster, more reliable pricing for complex deals
Collateral damage: the lowdown on dirty CSAs
How are banks coping with growing demand for non-cash collateral in uncleared derivatives contracts? An expert panel discusses the re-emergence of dirty CSAs
The carbon equivalence principle: minimising the cost to carbon net zero
A method to align incentives with sustainability in financial markets is introduced
Joint S&P 500/VIX smile calibration in discrete and continuous time
An arbitrage-free model for exotic options that captures smiles and futures is presented
CompatibL AI: at the forefront of change within the financial industry
The ongoing revolution in AI offers tangible benefits in risk management and financial trading. By leveraging CompatibL AI, institutions can overcome the limits of LLMs and gain accuracy, efficiency and better handling of natural language documents,…
The fine line with LLMs: financial institutions’ cautious embrace of AI
The integration of large language models (LLMs) has emerged as a pivotal force reshaping industry practices, while redefining how banks and asset managers operate in an increasingly complex environment. Here, industry experts discuss the multifaceted…
