Risk management
Before and after the Covid-19 storm: buy-side risk survey
Wide-ranging survey reveals what worked and what didn’t in March – and what will change as a result
Risk Live playback: BlackRock’s Fishwick on buy-side risk
BlackRock’s co-head of risk discusses challenges facing firms today, including compliance and op risks
Funds warm to Esma liquidity rules after Covid crisis
Funds are embracing stress-testing, and swing pricing, after “a real liquidity crisis” in March
Scared of fallen angels? So are the rating agencies
Data shows rating agencies more reluctant to downgrade firms at the investment-grade boundary
China bond buyers tiptoe through credit analysis minefield
State backing for domestic companies is hard to gauge, as new investors are discovering
Simm may come with a side benefit – a common data standard
Buy-side firms using Acadiasoft for Simm calculations must adopt the ORE XML data format
To model the real world, quants turn to synthetic data
Future financial models will be built using artificially generated data
Brevan’s Burgess jumps to outsourcing spin-off Coremont
Aneta Bresliska will replace Jasmine Burgess as Brevan Howard’s head of risk in the US
Index delays leave passive bond funds in purgatory
Moves to postpone index rebalancings could backfire as rating agencies press ahead with downgrades
Funds try to predict behaviour of mystery investors
New EU rules on liquidity stress-testing force fund managers to hunt out clues on investors
FCMs clamour for formal rule on separate account margin
Costly compliance effort will be to no avail if CFTC relief expires in June 2021
Cross-border trading could suffer under IM rules
Conflicting US and EU cash reinvestment rules may force buy side to post bonds
OCC updates default auction rules to encourage buy-side bids
Clearer’s proposed changes follow client fears of being locked out
On eve of Brexit, PPF’s chief risk officer isn’t too worried
Stephen Wilcox talks about getting pensions paid without the benefit of controlling ‘UK Plc’
Podcast: Andrew Dickinson on CCPs’ defence mechanisms
Trades’ size limits, membership rules and more transparency key to avoid another CCP default
SEC derivatives rule may lead to new products
Proposed VAR limit is expected to benefit risk parity and defined outcome strategies
Dark materials: how one academic is delving into data
David Hand shines a light on dark data and the dangers of distortion by absence
Intercept: AQR’s risk-catching machine
CRO Mike Patchen has helped build a system to identify risks before they grow or spread
IHS Markit loses risk analytics head to start-up
Andrew Aziz will join wealth management analytics firm d1g1t
Clearing house power-downs raise fears among members
Banks question CCP resilience to system outages, as debate swirls over non-default losses
Cat risk: why forecasting climate change is a disaster
Forecasters are poles apart on climate-driven catastrophes; insurers fear worse ahead
Tech mergers have increased crowding risks, investors say
Risk USA: Consolidation among vendors means “everyone’s looking at the exact same model”
Engle: rise in geopolitical risks may be overestimated
Risk USA: Nobel laureate’s new ‘Geovol’ model suggests geopolitical risk no higher than during past 20 years
All clear? Structural shifts add to repo madness
Many things contributed to 10% repo, among them a FICC programme and a surge in overnight funding