Risk magazine - Oct 2023
Cover detail:
Robert Bennett, Untitled, Acrylic on canvas
Contact: rjbarts88@gmail.com
Articles in this issue
Talking Heads 2023: A turf war in credit markets
Banks are looking to reclaim territory they previously ceded to market-makers and private funds
JPM’s new-look credit unit primed for market uncertainty
Talking Heads 2023: Leaders of merged business explain plans for new equity-credit combo, and why bank’s “biggest opportunity” lies in direct lending
Citi is building a central risk book for credit
Talking Heads 2023: Putting CDSs, ETFs and bonds into the same pot will result in better pricing, says credit head Bhatia
Inside Blackstone’s $150bn private credit business
Talking Heads 2023: Alts giant has around 10% of global market and hopes to expand its reach by porting quant insights from liquid credit
How Chenavari is adapting to an uncertain macro regime
Talking Heads 2023: Fund chief Loic Fery eyes rebalancing between public and private credit strategies
Flow Traders bullish about threat from big banks
Talking Heads 2023: Non-bank market-maker remains confident of its edge in small-ticket corporate credit
Energy credit risk benefits from next-generation technology
Advances in energy credit risk technology are improving the accuracy and efficiency of the credit risk function, says credit risk technology expert
US regionals load up on cheap receive-fix term SOFR swaps
Major dealers are welcoming basis-risk-offset trades with “open arms”, say hedge advisers
US Basel endgame hits clearing with op risk capital charges
Dealers also fret about unlevel playing field compared with requirements in the EU
‘Witching day’ price spikes point to options market manipulation – study
Data reveals patterns that can be explained no other way, researchers say
ECB mulls intervention on uneven banking book reporting
Inconsistency among EU banks on whether deposits and loans are in scope for credit spread risk
BlackRock plans use of corporate bond repo in new LDI fund
Holding corporate bonds would provide backup liquidity, lift returns
US vol experts hint at calm before storm in markets
Many buy-siders believe today’s relative tranquility in equities masks underlying fragility
Bloomberg consults on BSBY cessation
Credit-sensitive Libor replacement faces 12-month run-off after damning Iosco verdict
Traders pin Sonia derivative woes on UK’s local difficulties
Market participants say BoE forecasts and mini-budget help explain RFR products’ lack of liquidity
Europe’s lenders sail into uncharted waters of the banking book
Regulators are pushing banks to map their credit spread risk. Here be dragons?
Do all roads lead to multi-scenario Fed stress tests?
This year’s CCAR faced criticism for underweighting the risk of higher-for-longer inflation
Why Isda ditched ‘off-cycle’ updates for Simm
Ad hoc updates riled industry, while regulators pushed for predictability in model recalibrations
Narrow path to compromise on EU’s post-Brexit clearing rules
Lawmakers unlikely to support industry demand to delete Emir active accounts proposal altogether
Does it matter if Tom Hayes is acquitted?
It matters to him, but changes to UK rules are meant to avoid an exact repeat of the Libor case
On-chain FX’s brave new world excites some, worries others
Trading tokenised versions of currencies on blockchain could slash settlement risk but sceptics raise concerns over liquidity and pricing
Core-Payments for business leaders: why real-time access to payment data is key to long‑term business success
Business leaders require easy access to timely, reliable and complete information across post-trade processes. Aside from the usual requirements of senior managers to optimise for risk, revenues and costs, they increasingly need to demonstrate to their…
How operational risk managers won a battle and lost a war
Applying op risk capital to US regional banks is positive, but the SMA may not be fit for purpose
The Fed’s stress-test models are inaccurate. Something has to change
First step for US regulator to improve its bank loss forecasts would be to open up its models to public scrutiny, argue two banking industry advocates
Op risk data: WhatsApp fines keep on coming
Also: ‘Five families’ stock-lending cartel pays up; double hit for Wells Fargo. Data by ORX News
Calibrating interest rate curves for a new era
Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…
Rate of cleared OTC derivatives rises at European banks
Swedbank leads dealers in secular trend towards clearing space
Worst-case double default would have caused breach at CME
Stress loss based on hypothetical scenario was $390m higher than prefunded resources
Norinchukin’s RWAs up 21% as Basel III formulas react to market volatility
Market charges up 230% in harsh test of new standardised approaches
US systemic risk scores hit records at JPM, Citi and 5 others
Riskiness of top dealers inflated by fair-value securities and higher reliance on short-term funding
Liquidity risk triples at Nasdaq in second quarter
Updated model extends time horizon to seven-plus days
Exploiting causal biases in market impact models
Model calibration gains efficiency by including biased but adjusted trading data
Getting more for less: better A / B testing via causal regularisation
A causal machine learning algorithm is used to estimate trades’ price impact
Analytic risk-free rates option pricing with smile and skew
An arbitrage-free short-rate model for backward-looking compounded rates is presented
The impact of Basel III on bank capital and credit: the Fitch Ratings view
With Europe and the US scheduled to go live with Basel III implementation from 2025, Monsur Hussain, head of financial institutions research, and Christian Scarafia, head of northern European bank ratings, at Fitch Ratings, discuss the impact and…
How Bloomberg got liquidity seekers to trust its machine learning models
Recent liquidity squeezes have proved the worth of advanced models, argues the tech giant. Now the task is to explain their inner workings to machine learning sceptics
