Risk management
CCPs dismiss bank, buy-side criticisms
CME, Ice bat away suggestions of flaws in clearing house risk management
Deal misfires expose risk of contingent hedging
Banks hike premiums on deal contingent swaps amid Brexit uncertainty
CFTC refuses to budge on margin treatment of SMAs
Asset managers must agree new protocols for dealing with margin shortfalls in SMAs by September 2020
CLO investors find silver lining in Libor’s demise
A backward-looking SOFR rate will reduce the asset-liability mismatch that sank CLO equity in 2018
Post-Woodford, State Street has an idea on liquidity risk
You’ve heard of the liquidity coverage ratio. Try the ‘redemption coverage ratio’ for funds
In JP Morgan’s JV buy, some see snares of China
The US firm paid a ‘ransom’ for JV control. Others mull what that means for their own China strategy
A look under the hood of Span 2, CME’s new margin engine
VAR-based framework has new ways of netting contracts and setting volatility floors and more
Clients demand access to CCP default auctions
“In a default, we are comfortable taking on risk and can move quickly,” says DRW’s Wilson
Deep hedging and the end of the Black-Scholes era
Quants are embracing the idea of ‘model free’ pricing and hedging
Can robots learn to manage risk?
Will machine learning transform risk management or give birth to a new breed of model risk? Probably both
How AI could tear up risk modelling canon
BlackRock, MSCI, LFIS among firms looking to replace traditional, linear risk models
Search engine study shows limits of alternative data
Google Trends adds nothing to volatility predictions, researchers find
Cleaning noisy data ‘almost 70%’ of machine learning labour
Quants flag signal-to-noise ratio as key to reducing overfitting risk
Podcast: Hans Buehler on deep hedging and harnessing data
Quant says a new machine learning technique could change the way banks hedge derivatives
A powder keg in forex: the prime broker business
Brokerages look at high-speed algo trading paired with bloated credit limits – and shudder
Fund ratings flip as 2008 losses fade from view
Over 90% of top-rated US equity funds have betas greater than one
Stick to core skills or risk data overload, says Goldman quant
Data-as-a-service chief says asset managers risk being swamped by new types of information
Volatility scaling unravels as market patterns shift
Waning power of quant approach could be a reason for trend following’s malaise
Fund houses get picky over where to use machine learning
Buy-siders limit usage of deep learning techniques due to haziness over their inner workings
Funds ring alarm on EU guidelines for liquidity stress-testing
Managers could be forced to use multiple methods to stress-test large number of funds every quarter
Robo traders not so different from us, says Man AHL risk chief
Watching over machine learning algorithms is similar to monitoring human portfolio managers
Buy-side quant says Brexit a ‘test’ of new AI
Natural language processing can give “more insight” into possible market shudders, says Simonian
Funds use artificial intelligence to weigh ethical investing
Quants explore links between ESG investment and outperformance
Stability heightens flash crash risks – research
Liquidity breaks down when latent orders are revealed too slowly, quant firm says