Risk magazine - Jan 2021
Articles in this issue
Why US dollar Libor spreads may be mispriced
Fallback spreads for all currencies could be fixed together, even if some benchmarks survive past 2021
EU firms face margin threat as Brexit tips futures into OTC regime
Mid-2021 clearing, margin thresholds loom as LME, Ice futures lose exchange-traded status in EU
LCH plans Libor swap switch to RFRs
Proposal would see trades moved to compounded RFRs, with cash compensation paid to those who lose out
UK offers unlimited dark trading on lost EU stocks
FCA gives London dark pools an edge over EU rivals, but will fund managers use it?
Mifid transparency battle pits dealers against non-banks
Dealers fight to preserve reporting exemptions, but prop traders want US-style regime
FSB offers loud warning and muted response on climate risk
Global regulators say risks are near-term and cross-border, but propose only data collection
Nasdaq retail rush powers intraday momentum trade
Options and ETFs give tech index new momentum, while S&P 500 sees higher levels of mean reversion
People moves: new op risk head for Deutsche, NatWest loses inflation execs, and more
Latest job changes across the industry
How hedge funds lost big on US dollar Libor delay
Sharp narrowing of fallback spreads may have caused up to $2 billion of losses
Parallel lines: EU begins fight over Basel output floor
Leaked plan to exclude buffers from floor would please EU banks, could anger Basel and US
CLS: can’t live with ’em, can’t live without ’em?
FX settlement giant not fast on its feet, say dealers and challengers, but hard to knock down
Markets search for FX factor as rates fall flat
Traders signal shift to currency strategies, but is it passing fad or permanent fixture?
Review of 2020: chaos on a roll
Vanishing liquidity, the Ronin collapse, XVAs – the pandemic wreaked havoc in risk transfer markets
Asian banks bite back at big tech
Asia Risk 25: Asian lenders eye technology and data to help tame disruptors on their turf
Investors eager for next round of China financial reforms
Asia Risk 25: Bond futures and credit default swaps the missing pieces
Japan weighs benchmark options as sun sets on Libor
Dominance of risk-free rates in local swaps markets post-Libor is no foregone conclusion, dealers say
Must do better – Apac slow to curb control risk
Asia Risk 25: Even as the level of regulatory scrutiny peaks, meaningful change eludes the region’s banks
Margin rules snare FX options users
US banks forced to post margin on ‘naked’ trades, with buy-side firms soon to follow
Strike a pose: deal contingents back in vogue after mid-year slump
M&A revival breathes life into deal contingent trades, but elevated risk keeps prices high
The lonely Londoners: doubts plague UK quest for equivalence
Planned MoU won’t automatically bring equivalence, leaving firms in limbo for unknown duration
How buy-to-hold accounting shuffle boosts US bank capital
Banks gamble shrinking AFS portfolios will bring down stress capital buffer, G-Sib surcharge
Risk committees: designing a horse and getting a camel?
When we examine what’s required of them, do risk committees hold water, asks ex-SEC risk oversight chief
Random matrix theory provides a clue to correlation dynamics
A growing field of mathematical research could help us understand correlation fluctuations, says quant expert
Why central banks aren’t worried about FX algos – for now
Disclosure failings feed into FX code; other issues are worrying, but distant, says SNB’s Maechler
Fed stress tests find critics on all sides
Conflicting results fuel arguments over dividends and buybacks
SOFR trading surged at year end
End-2020 volume and rate spike was muted compared to previous years
Initial margin at the OCC leapt 20% in Q3
Cleared options contract volumes hit 1.9 billion in Q3
EU banks’ reliance on ECB loans has grown in Covid’s wake
Central bank funding accounted for 14.5% of Greek banks’ liabilities in September
IM, default fund resources fell at Eurex in Q3
Total collateral held remains elevated compared to pre-coronavirus crisis
Barclays leads Europe’s banks on trading risks
Top 20 banks with most trading risks accounted for 79% of market RWAs across EBA sample
CVA charges concentrated among top banks in Europe
Crédit Agricole, Deutsche Bank, Barclays, Commerzbank and Societe Generale account for 31% of total CVA across 135 banks
Setting boundaries for neural networks
Quants unveil new technique for controlling extrapolation by neural networks
Deep asymptotics
Introducing a new technique to control the behaviour of neural networks
Semi-closed-form prices of barrier options in the Hull-White model
New pricer for options with time-dependent barrier shown to be computationally efficient and stable
Multi-curve Cheyette-style models with lower bounds on tenor basis spreads
A solution for a no-arbitrage condition in Cheyette-style models is proposed
Debelle: regulation could be ‘helpful’ to FX code
As EU weighs regulation of spot market, GFXC chair dismisses key industry argument
