Views
Size-discovery protocols are not on the efficient frontier
Practice improves allocations but more can be done, says Darrell Duffie
What to do about Libor?
Darrell Duffie explains why transition from Ibor-based benchmarks is necessary and feasible
The covered interest parity conundrum
Darrell Duffie explains why it’s difficult to arbitrage direct and swap-implied funding rates
Duffie: CCPs should prep to quash Sifi swap termination stays
Clearing houses need criteria for overriding stays on swap terminations, writes Darrell Duffie
FVA: off the mark
With adjustments to increase, Darrell Duffie says dealers should improve weak valuation practices
Why the leverage ratio distorts market-making
Darrell Duffie argues the rule hurts market efficiency for very safe assets
Can quants defuse the pension time bomb?
Alex Lipton argues new quantitative methods are needed to solve the looming pension crisis
The decline of the cash empire
Alex Lipton: the last line of defence between us and punitive negative rates is paper currency
Blockchain: a solution looking for a problem
While new financial technologies show considerable promise, many proposed applications are either naive or miss the mark outright
Macroeconomic theories: not even wrong
Flawed and inconsistent mainstream macroeconomic theories such as efficient market hypothesis are dangerous to society, says Alexander Lipton
Banks must embrace their digital destiny
Alexander Lipton believes the time is right for advanced digital banks to take the industry forward, and quants can lead the charge
Time to gear up for MVA
Banks must be prepared for the looming rise of non-cleared margin requirements
On derivatives and quants
Alexander Lipton on how the role of quants is adapting to the new financial environment