Derivatives
Trading the vol-of-vol risk premium
Applications of the vol-of-vol parameter for cross-asset derivatives are presented
Client margin up 4% at Barclays’ swaps clearing unit
US unit of UK bank became sixth FCM by share in October
US mutual funds abandon inflation swaps
Counterparty Radar: Volumes dropped to new lows in Q3 as price expectations cooled
FTX’s Mifid licence exposes Europe’s regulatory gaps
Could Cyprus have spotted the warning signs before handing FTX the keys to European customers?
Asia moves: Citi and Deutsche Bank make senior hires, and more
Latest job news across the industry
Looking beyond SA-CCR
An alternative calculation of exposure at default that handles complex portfolios is presented
Morgan Stanley regains FX forwards top spot
Counterparty Radar: US bank dethrones HSBC, which slipped to fourth in Q3
OTC clearing rebounded at G-Sibs in 2021
Trend reverses as bilateral settlement of OTC derivatives loses previous year’s gains
Japan dealers’ derivatives exposures keep inflating
MUFG, SMFG and SMTH added almost ¥6 trillion to their balance sheets in the three months to end-September
What happens when a bank drops off the systemic risk radar?
Russia’s Sberbank skipped this year’s G-Sib assessment. But just because a bank is invisible doesn’t mean it no longer poses a risk
Global banks’ systemic footprint grew at record pace in 2021
Every indicator up on previous year, only the second time in G-Sib assessment history
CFTC chair defends under-fire crypto bill following FTX debacle
Proposed legislation addresses many of the issues that led to FTX’s failure, Behnam tells Congress
Critical divergence in prices between Spikes and Vix after the Fed’s rate hike
In these uncertain times, when rates hikes and other structural drivers are giving rise to adverse market moves, reliable indicators of 30-day implied volatility are crucial
Podcast: Piterbarg and Antonov on alternatives to neural networks
Two novel approximation techniques can overcome the curse of dimensionality
FCM client margin for swaps hit record high in September
JP Morgan reported the largest monthly increase across the 13 reporting firms
Strong dollar pushes ANZ’s CVA charges up 57%
Risk-weighted assets rose A$1.4 billion in three months; biggest quarterly increase since mid-2019
Role of the dice: how Susquehanna puts game theory to work
One of the world’s largest options traders uses game theory – and poker practice – to get results
Nomura loses $18m on derivatives CVAs and DVAs
Net result from own and counterparty credit spreads swings to negative
Futures margin breaches on track to match 2020
At least 500 seen so far this year, says JP Morgan exec – in some cases leading to 200% margin increases
UBS cuts liquidity valuation adjustments to record low
Bank lowered bid-offer fair value discount to reflect current levels of market liquidity
Client margin at Barclays hits record $27bn
Required funds rose 13% for F&Os and 8% for swaps in August
Pensions regulator plays down LDI risk to EU
Eiopa doubts UK gilt market chaos could occur to same degree in Europe
UK pension funds rush to dirty CSAs
Fearing margin pain once BoE gilt-buying ends, funds fast-track revisions to post gilts and corporate bonds
New investor solutions for inflationary markets
Geopolitical risks, price volatility, clashing cycles, higher interest rates – these are tough times for economies and investors. Ahead of the 2022 Societe Generale/Risk.net Derivatives and Quant Conference, Risk.net spoke to the bank’s team about some…