GARP
Banks temper credit loss models by editing Covid narrative
Faced with geopolitical chaos and signs of recession, expected credit loss models need to adapt fast
‘Repo by the minute’ could reshape lending – but not quite yet
Blockchain-based platforms from JP Morgan and Broadridge offer smart contracts that enable intraday repo
Banks may spend ‘billions’ to stop quantum hacking threat
Quantum-proof algo standards nearing completion, but enhanced cryptography won’t come cheap
‘Are we nearly there yet?’ Banks navigate ESG loan accounting
Lenders ask standards boards for guidance on how rules should be applied
Rethinking regulation of the modern financial system
Rules must address uncertainty and risks, and not be too complex, says Bank of Italy's Trapanese
Hedge funds warn SEC dealer rule is ‘unenforceable’
Private funds say they are collateral damage of poorly drafted push to regulate PTFs
Covid chaos spurs on search for model risk aggregation
Many models failed in pandemic, but analysing them in clusters easier than whole-bank view
Banks turn away from FRTB internal models in Europe
Drawbacks mean even fewer model approval applications planned than past ECB survey suggested
‘Strong case’ for US synthetic Libor in bond markets
Temporary publication under SOFR-based methodology could mop up 40% of dollar bond issues
Why FRTB model test loves volatility, but hates hedges
Crucial P&L test for internal models easier to pass if price swings are large, or desks poorly hedged
When stagflation looms, investors get no satisfaction
In a toxic inflation-stagnation mix, conventional trades and hedges falter; alternatives are unproven
Concentration risk add-ons too low at Ice and ECC, says regulator
Results of European stress test suggest shortfall of collateral for large commodities positions is equivalent to 17% of total required margin
EU eyes fix to FRTB’s capital asymmetry for govvies
Banks say French presidency proposal would see PD floor slashed for sovereign bonds under IMA
Swaptions transition snags trigger term SOFR calls
Liquidity flips to RFR but laggards struggle with behavioural quirks for contracts referencing overnight rates
Ex-Deutsche CRO: banks face hundreds of billions in climate fines
Banks risk becoming a “whipping dog” in the fight against climate change, says departing risk chief
Optiver overtakes SocGen and SIG in European ETF trading
Dutch market-maker moves into top three by carving out a niche in equity products
EU crypto rules would allow terra, just not as a stablecoin
Final laws set to prevent algorithmic coins from styling themselves as “stable”, says insider
Rates correlations break down amid volatility surge
Dealers say go-to hedges are now too risky as old relationships fail
Pimco loses $400m on failed Russia CDS bets
Revised markdowns suggest bond giant has already crystallised losses on sold credit default swaps
State Street flies high in FX forwards as Goldman, Citi dive
Counterparty Radar: Goldman loses half of market share, drops out of dealer top 10
Why machine learning quants need ‘golden’ datasets
An absence of shared datasets is holding back the development of ML models in finance
CDS market mulls settlement options for Russia contracts
Tightened US sanctions threaten CDS default auction, leaving users a choice of imperfect alternatives
Cross-currency’s €STR switch may hasten Euribor demise
Rising cost of issuer cross-currency hedges could spur greater adoption of euro risk-free rate
Back in time: a brief history of LME’s nickel meltdown
As prices went haywire, margin remained frozen and calls to suspend trading were rejected