Derivatives
Fund-linked structured products face extinction under FRTB
Global market risk capital standards carry sky-high charges for fund derivatives
China Minsheng and SocGen team up for quant index product
CMBC Macro 1 signal index attracts $580 million as investors adapt to products without performance guarantees
How leading firms are preparing for the shift from Libor
Driven by declining liquidity in the unsecured interbank lending market, firms face a significant amount of planning in the lead up to 2021. Engrained in the very fabric of financial service providers, there is a warranted degree of uncertainty and…
Energy Risk Awards 2019: The winners
BP and Engie pick up two awards each, while BNPP takes the coveted derivatives house of the year
No more delays on Mifid open access, EU regulator says
European authority confirms July 2020 start date, reigniting argument over market stability versus competition
All along the watchtower – Surveillance tools against market abuse
Surveillance tools against market abuse are enjoying a technological revolution in analytics, while anxious supervisors are also closing in on market practices. Risk.net hosted a webinar in association with NICE Actimize to analyse the threats and…
SEC may allow wider cross-margining of single-name CDS
Banks want to cross-margin single-name CDS against options, indexes and cash products
Top UK banks' CVA charges up 10% in Q1
Barclays' and Standard Chartered's requirements increase over 20% each
Making technology count in a C/ETRM world
As businesses grow, so does their need for modern, agile and cost-effective commodity/energy trading risk management (C/ETRM) solutions. Pioneer Solutions explores how its next-generation, highly configurable C/ETRM systems take advantage of the latest…
OTC derivatives amounts sank in H2 2018
Fair values down 6% over second half of 2018, 72% from peak
Deutsche Bank's asset cull to lower systemic risk buffer
G-Sib surcharge could drop to 1.5%; leverage ratio to 3.75%
HSBC's systemic risk indicator amounts grow
UK lender is just 20bp short of 2.5% capital surcharge bucket
Podcast: Hong on quanto derivatives and Asia’s quant drought
Credit Suisse quant talks about new paper on valuing quanto options
StanChart's CVA charge triples year-on-year
Capital requirement hits $112 million at end-March
Under SA-CCR, Nomura leverage exposure drops over ¥7 trillion
Methodology switch sends leverage ratio soaring to 5.04%
HSBC led EU G-Sibs on collateralisation in 2018
UK bank posted €908 billion for derivatives and SFTs as of year-end
SFT netting trails swaps at big EU banks
Netting wiped €1.5 trillion off nine G-Sibs' swaps exposures
UK public sector loads up on interest rate swaps
Outstanding derivatives values double in last quarter of 2018
The biggest stories from Isda’s 2019 AGM
From new uses of SOFR to non-modellable risk factors in Asia – here are the 10 best stories from the conference
HKEX clearing head talks margin and auctions post-Nasdaq
CCPs have work to do to restore confidence in clearing, but Roland Chai has a plan
Swap book values of US G-Sibs dropped in 2018
Settled-to-market technique responsible for some deductions year-on-year
Swaps, repo grow share of G-Sib leverage exposures
On-balance sheet exposures shrink as a constituent of key regulatory measure
Portfolio traders turn to tech – A new generation of strategies
Chris Bruner, head of US credit product at Tradeweb, explores the products that can help managers express portfolio views and how they can maximise the benefits they can reap by evaluating and understanding the price, risk and relative value of each…
LCH ForexClear posts two margin breaches in Q4 2018
Second-largest breach since public disclosure began was $17.8 million in size