Risk magazine
Softer repo treatment seen as up for grabs in final US NSFR
Funding rules for Treasury repo on shortlist of changes; lower swaps add-on viewed as done deal
Esma questions CCP ‘free ride’ for sovereigns
Regulator has asked EC to take a stance on venues that let public entities clear without posting margin
New method proposed for modelling large op risk losses
Outsize loss events modellable through extension of approach to measuring moderate losses, says research
EU Council aims to limit bail-in debt rules
Leaked BRRD text reveals all Greek and Portuguese banks could escape subordinated debt regime
Esma expected to tighten rules for Mifid data services
After criticism of new regime, market is braced for guidance that could pile pressure on APA business
Rethinking XVA sensitivities – Making them universally achievable
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European banks face forex volatility on bail-in ratios
Use of funding in foreign currencies creates new risk, especially in non-eurozone countries
Rolet is right – for now
CME/Nex deal could change the established logic on how to deliver rates market savings
CME has chance to rule US rates after Nex deal
Market expects exchange to unite bond, repo, futures and swaps clearing – eroding grip of banks and DTCC
People moves: SG loses Mattatia, Deutsche’s Wisnia joins Eisler Capital, and more
Latest job changes across the industry
Safeguarding liquidity in a changing environment
Nick Gant, head of fixed income prime brokerage for Europe, the Middle East, Africa and Asia-Pacific at Societe Generale Prime Services, discusses banks’ evolving responsibilities for providing liquidity in a post-financial crisis environment in which…
On the offensive – Seeking a new edge, buy-side invests in portfolio and risk analytics
A fast-moving, headstrong hedge fund – hit by rare losses after a black swan event touched on an overweight country exposure – ponders adding fresh quantitative expertise. Much to traders’ chagrin, the chief investment officer and chief operating officer…
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
Going local: Brexit prompts rethink on MREL governing law
One EU regulator has already asked banks to avoid reliance on English law for bail-in
Crapo bill could end LCR limbo for three banks
US Bancorp, PNC and Capital One stand to benefit if House passes bill
Mifid data: hard to access, hard to use
Risk.net research shows four of 12 APAs and trading venues only provide information via other vendors
Discrete time stochastic volatility
Quant proposes faster model to price arbitrage-free swaptions
Fed, Goldman: wide use of SA-CCR creates problems
Isda AGM: Fed plans quick implementation, while Goldman urges caution on extending use
EU’s evolving CCP resolution rules get mixed reviews
Isda AGM: Parliament tackles big issues in recovery and resolution text, but 'doesn’t go far enough'
Fed discussing margin impact of SOFR switch
Isda AGM: Legacy Libor swaps should be protected from new rules when ditching Libor, MetLife’s Manske says
Basel’s Coen warns on FRTB complexity
Isda AGM: Regulators may consider “simpler and more robust” approaches when finalising rules this year
Fed risk rating system unifies stress testing and 3LOD
Some banks have qualms over potential downgrades and overlap between first and second lines
US dealers agree to disclose corporate bond quotes
Market to get pre-trade transparency but big dealers remain on the sidelines
De Galhau: EU needs to stress test non-bank liquidity
Banque de France will examine risk of pension schemes redeeming fund assets, says governor