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Quants dive into FX fixing windows debate
Longer fixing windows benefit clients, but predicting how dealers will respond is tough
StanChart’s market RWAs hits eight-year high
Client-driven RWA deployment raises market risk exposure by $3.2 billion
Knives out: LME court cases cleave apart creditor expectations
Diverging court rulings show pitfalls and potential of challenging controversial transactions
Pre- and post-trade TCA: why does it matter?
How CP+ powers TCA to deliver real-time insights and improve trade performance in complex markets
Driving effective transaction cost analysis
How institutional investors can optimise their execution strategies through TCA, and the key role accurate benchmarks play in driving more effective TCA
Hedge funds take profit on vol trades with Trump win
FX volatility drops sharply as positions unwind; rates market sees mixed reaction
Valley National sees surge in delinquent CRE loans in Q3
Bank’s net charge-off rate more than doubles as $114 million in CRE loans become past due
Neil Chriss sets out to codify the game theory of trading
The co-author of the benchmark Almgren-Chriss model has updated his thinking on market impact
Shanghai Clearing House urged to take bond collateral for FX trades
Dealers complain that feeble interest rate paid on cash margin raises cost of clearing
Cyber risk assessment model for information assets: a tailored approach for the financial and banking sector
The authors present a novel model risk assessment model designed specifically for cyber risks and information assets,
UBS logs three VAR breaches on legacy Credit Suisse positions
Bank risks higher capital charges amid market volatility and exit-related costs
Adapting FRTB strategies across Apac markets
As Apac banks face FRTB deadlines, MSCI explores the insights from early adopters that can help them align with requirements
To liquidity and beyond: new funding strategies for UK pensions and insurance
Prompted by policy shifts and macro events, pension funds and insurance firms are seeking alternative solutions around funding and liquidity
Foreign banks want level playing field in US Basel III redraft
IHCs say capital charges for op risk and inter-affiliate trades out of line with US-based peers
BofA’s e-FX rebuild pulls it closer to rivals
Deploying its equities tech stack, bank seeks to get ahead of the pack with its algo and e-FX offerings
Research on the multifractal volatility of Chinese banks based on the synthetic minority oversampling technique, edited nearest neighbors and long short-term memory
The authors propose the SMOTEENN-LSTM method to predict risk warnings for Chinese banks, demonstrating the improved performance of their model relative to commonly used methods.
Artificial intelligence in crisis management: a bibliometric analysis
The authors carry out a bibliometric analysis of academic papers in the field of artificial intelligence applications in crisis management and propose potential new directions for researchers in this field.
A qualitative study of operational resilience in financial institutions
The authors analyze data from a qualitative survey of senior G-SIB employees to identify recommendations for organisations looking to improve their operational resilience.
HSBC’s China CRE provisions surge to cover one-fourth of book
Additional reserves and reduced exposure elevate ECL coverage for mainland portfolio
Corporates look to tackle unhedgeable inflation indexes
As inflation risks mount for corporates, some are finding their exposures are linked to niche indexes
CFTC’s Mersinger wants new rules for vertical silos
Republican commissioner shares Democrats’ concerns about combined FCMs and clearing houses
Talking Heads 2024: All eyes on US equities
How the tech-driven S&P 500 surge has impacted thinking at five market participants
Republican SEC may focus on fixed income – Peirce
Commissioner also wants a revival of finders’ exemption, more guidance for UST clearing
Hedge funds pile into short volatility QIS options
New twist on capturing vol premium remains popular despite mixed performance in August vol spike
Breaking market norms, tri-party repo rates plunge for fringe collateral
Yields hierarchy upended as cost of repo-ing equities and other volatile securities falls over a percentage point below UST repos
Exotic FX derivatives bets in play as US election vol jumps
Forward volatility agreements see profits for funds; new trades include vol knockouts
The fundamental role of the repo market and central clearing
The authors evaluate different economic functions of repo contracts and offer a summary of the structure of government bond repo markets in core advanced economies.
More cleared repo sponsors join Eurex ahead of cross-margining
End of TLTROs for banks and pension fund search for liquidity management tools drives uptake