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FX defs look to calculation agents for close-out rates
New Isda rule book also set to streamline ‘impossibility’ standard for disruption events
‘More questions than answers’ in race to build repo plumbing
Complexity could slow development of matching and credit-checking tools for US Treasury trades
Degree of influence 2024: volatility and credit risk keep quants alert
Quantum-based models and machine learning also contributed to Cutting Edge’s output
Precision-crafted: the new tools of investing
Key trends, tactics and innovations that are influencing investors’ thinking in the current environment
Expert vision, efficient execution
Why more investors are turning to third-party portfolio implementation platforms to maximise efficiency and impact
Annual update ratchets up op RWAs at European banks
DNB, RBI and Swedbank post double-digit RWA rises for second year running ahead of Basel III implementation
Autocall curbs hit long-dated Nikkei and HSCEI options
Collapsing Asia structured products inventory saps market-makers of long-dated vol supply
A tale of two tail risks
This paper investigates the relationship between banking credit risk and the financial market jump hazard rate, finding the two risks to have opposing behaviors.
Markets worry EU’s reporting simplification will add to burden
Rather than reducing firms’ obligations, market participants fear it could end up increasing requirements
How Citi moved GenAI from firm-wide ban to internal roll-out
Bank adopted three specific inward-facing use cases with a unified framework behind them
Corporates turn to structured notes to juice cash returns
Dual currency notes find favour with treasurers under pressure to boost yields amid higher rates
Riding the storm: banking in the era of climate risk
Climate-related risk is playing an increasing role in banks’ future strategies, resilience and prosperity
Technology risk management: detection to protection
From simple risk detection to comprehensive protection by expanding your vision, capabilities and influence.
Quants try investing like Socrates, with help from AI
Researchers are testing whether LLMs can use methods borrowed from ancient philosophy to answer complex questions
Barclays, RBC end 2024 with record-high swaps margin
Both dealers see double-digit increases, but year sees least growth in at least a decade
CDS panel revamp wins support, but questions linger
Role of independent members, transparency and funding of enhanced committee yet to be decided
The impact of divergence in communication tone on investors’ willingness to invest in eurozone small- to medium-sized enterprises
The authors analyze the tone of central bank communications and how this can impact investor readiness to invest in euro areas SMEs.
XTX Markets hires Brook for Emea market-making
Sam Brook previously worked on buildout of NatWest’s e-FX liquidity desk
Margin standards are here – and clearing firms aren’t happy
Clearing members complain that latest transparency proposals would force them to act as middlemen by providing margin simulation tools for clients
First Citizens doubled pay-fixed interest rate swap book in Q4
Rejig of hedging instruments hints at higher-for-longer rate assumption
Corporates pressed on FX hedges as dollar surge bites
CFOs increasingly facing tough questions about impact of exchange rates on foreign revenues
EU banks show basic instinct for credit valuation adjustments
Simpler approach to CVA appeals even to some already using more complex models for counterparty risk
SEB’s RWAs hit record high on upcoming requirements
Add-on of Skr9 billion helps drive CET1 ratio to lowest since pandemic
Tariff news ‘ping pong’ gives FX options desks a headache
Dealers say Trump’s shifting deadlines sparked weekend trading rush and made it hard to monetise flows
Bank of England wants dynamic Emir for UK clearing houses
Review won’t just photocopy EU legislation, as BoE seeks to make rules simpler and adaptable
UBS blunts Basel III RWA impact, gains time for Credit Suisse integration
Bank secures valuable time to integrate legacy assets and prepare for forthcoming regulatory challenges
More guidance, less enforcement: the SEC under Paul Atkins
Current and former insiders expect clearer crypto rules and an end to regulatory violation sweeps
Big banks could be sidelined from future rescue deals – FSB
Exacerbation of too-big-to-fail means G-Sibs could already be too large to take extra assets