Derivatives
The outlook for 2021 – Credit risk
David Croen, head of credit risk products at Bloomberg, reveals how credit risk management strategies are changing in the current environment, and the tactics and tools available for gaining a more forward-looking view on credit risk in the future
The outlook for 2021 – Libor
Steffan Tsilimos, head of interest rate derivatives products at Bloomberg, discusses the outlook for Libor derivatives, including how firms can best understand their exposure, the different approaches required for legacy transactions and the challenges…
Libor Risk – Quarterly report Q4 2020
Exactly when Libor’s regulator will sign the official death warrant for the most popular US dollar settings is now a cause of huge uncertainty. It’s also a matter of huge significance
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
Brazil’s BM&F in 1999: a central counterparty near-failure case?
The authors argue that, despite some concerns on systemic risk expressed by high-level Banco Central do Brasil officers, the (potential) defaults of Marka and FonteCindam would not have been sufficient to lead BM&F to a failure.
Direct clearing could solve CCP concentration risk
Allowing more clients to self-clear can reduce CCPs’ reliance on a few firms, says ex-Chicago Fed adviser
UK and EU diverge on contractual swap stays
UK scraps pre-resolution stays, while EU regulators could opt for even stricter measures
SA-CCR proves a bitter pill for US banks to swallow
Dealers concerned new regime will punish some business lines with rise in risk-weighted assets
Managing portfolio uncertainty due to the Covid-19 pandemic
For capital market professionals, better understanding the impact of the Covid-19 pandemic on trading and investment portfolios has become even more critical. It’s no easy task to predict market movements and their impact on the profit and loss of a…
Asia edging towards integrated capital markets – SGX’s Loh
Asia Risk 25: full regional co-operation could still be 10 to 15 years away, says Singapore exchange head
CFTC’s Behnam: regulators must be alert to ‘greenwashing’
Risk USA: ESG products that miss sustainability goals may fall foul of customer protection rules
Canada pension fund Hoopp goes cool on bonds
$70bn investor rethinks LDI strategy to take into account paltry yield from fixed income
Mixed response to Esma’s clearing carve-out for optimisation
Long-awaited proposal must be replicated by US and UK to be effective, participants say
Energy Risk Asia Awards 2020: The winners
BNPP wins top derivatives award, with Macquarie scooping environmental products house
The buy side and Libor: it’s decision time
Investors weigh pros and cons of signing newly released Isda fallback protocol, as Libor demise looms
China structured products could surge after QFII relaxation
Changes to market access scheme allow new hedging methods, but detailed guidelines still pending
Lloyds’ the outlier as UK banks crush CVA charges in Q3
Aggregate CVA RWAs of top five UK banks fell 21%
French rivals BPCE, SocGen see market risks fall in Q3
Market RWAs drop 24% at SocGen quarter on quarter
At UniCredit, XVAs amped trading gains in Q3
Italian bank claimed a €110 million benefit to earnings from valuation adjustments
Jerome Kemp on the skewed economics of clearing
Only Fed intervention prevented “a really big market disaster” during Covid, says derivatives veteran
CFTC’s swap stay plan for clearing houses sparks alarm
Lawyers warn proposal could invalidate close-out netting and expose members to higher risks
Concentration in cleared derivatives: the case for broadening access to direct central counterparty clearing
In this paper, the authors explore the benefits and challenges of encouraging major end-users of derivatives to become direct clearing members of central counterparties (CCPs).
Quants tout alternative carry trades for the ‘new normal’
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
Asic to weigh in on Libor transition conduct risk
Australia’s markets regulator will publish guidance on firms' conduct obligations in move to RFRs