Risk.Net
@RiskDotNet
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The inside scoop on financial risk management, markets, investing and regulation, from https://t.co/jjCSfI9bDe. Subscribe to our newsletters: https://t.co/HwrgRyLikI
Joined September 2009
Listen now: Anthony Scaramucci, on how to understand the Trump administration.
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“The beauty of this Genius Act is that it opens the door for the biggest group of currently excluded market-makers, the banks, to enter the stablecoin market” – David Mercer, LMAX Group
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“I think in the coming months, we will offer a fully automated solution, being able to form and quote prices for a government bond portfolio to clients within seconds” – Tariq Malik, Nomura
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“Market participants are continuing to adopt central clearing” – Laura Klimpel, DTCC’s FICC.
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Cutting Edge: An accurate and easy-to-compute semi-analytical approximation for a general class of default intensity models is developed using path-integral formalism.
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Simply giving Esma extra powers will not necessarily lead to the benefits legislators are hoping for.
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Industry groups urge EC to reconsider potential US-inspired equity market structure reforms.
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An Isda whitepaper recommends a stress event framework to temporarily broaden collateral types under credit support annexes, ensuring margin calls could be met in times of disorder. Feedback from industry sources has been largely sceptical
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Revised clearing rules will accelerate risk model validations, says Esma’s Löber.
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Record smashed as market RWAs at Standard Chartered jump 29.9% from end of last year.
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“How do you liquidate transactions? How do you call for margin if there’s a big movement?” – head of clearing at a large bank on 24/7 trading.
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The fact that markets were already in risk-off mode after US tariff announcements in April could help explain why the Israel-Iran conflict had little impact
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“Historically, the buy side has been using tri-party to do repo, but now we’re seeing an interplay between IM, VM and repo and we’re speaking to buy-side firms on how they can optimise their use of collateral” – Jan Grauls, Euroclear
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Banks’ trading models, and how they really perform, remain largely off-limits to public scrutiny.
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Cutting Edge: An accurate and easy-to-compute semi-analytical approximation for a general class of default intensity models is developed using path-integral formalism.
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JP Morgan and Wells Fargo top aggregate improvement ranking in AOCI among participating banks in this year’s DFAST.
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Simply giving Esma extra powers will not necessarily lead to the benefits legislators are hoping for.
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“Market participants are continuing to adopt central clearing” – Laura Klimpel, DTCC’s FICC.
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“[EGB portfolio trading] may grow and become as well used as the market-on-close protocol, but right now it’s in its infancy" – Trevor Mallinson, Bloomberg
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