News
Cleaning noisy data ‘almost 70%’ of machine learning labour
Quants flag signal-to-noise ratio as key to reducing overfitting risk
Fresh scrutiny for Europe’s SME capital carve-out
FSB’s Knot urges conformity with global standards
Industry should work together on operational resilience – BoE
Regulator to “shortly” issue report highlighting opportunities for op risk collaboration
Local Asian custodians not ready for IM phase five
Banks’ sluggish preparations for initial margin rules could hit buy-side clients
A mystery: why did the NY Fed use a survey to get SOFR?
Almost a week later, still no word on why SOFR was set using a market survey instead of submissions
FCA: Sonia derivatives liquid enough to create term rates
Andrew Bailey says a forward-looking rate can work, but its use should be limited
Esma takes flak over vague CCP enhanced supervision plans
JP Morgan calls for more quantitative thresholds for determining systemic foreign CCPs
Giancarlo bows out with regulatory deference
Move comes amid row between US and European policymakers over cross-border CCP regulation
Some see Esma reining in position limits after review
The scope of position limits could shrink to cover just the major benchmarks, one executive argues
Japan’s megabanks begin pricing in CVA
Local firms align with foreign dealers to include counterparty credit risk in corporate swap quotes
AMF’s Ophèle: we need to change EU swaps trading mandate
French regulator urges EU to avoid conflicting rules, adopt principles-based approach after Brexit
Podcast: Hans Buehler on deep hedging and harnessing data
Quant says a new machine learning technique could change the way banks hedge derivatives
New tools needed for bespoke SOFR trades – Wells Fargo
US bank’s Libor transition head wants ‘simple’ way to calculate compound rates for any given period
Basel Committee frets over poor member discipline
Tsuiki warns on fragmentation risk as countries delay NSFR, FRTB implementation
Fed pushes big banks to calculate CVA for CCPs
Banks including JP Morgan and Credit Suisse told to quantify exposure to CCPs for annual stress tests
Japan regulation sparks hunt for new annuity products
Foreign currency products hit by push for transparency on forex risk and charges
DTCC in talks to clear MarketAxess bond trades
Market-first move could cut platform’s costs and counterparty risks
Banks quiet on Libor legacy transition, say Asian clients
Hong Kong Electric Company and APG Asia say dealer engagement on amending products is limited
Singapore banks ramp up cyber scenario analysis
StanChart building out scenario library as dealers up use of technique to gauge spending on defences
JP Morgan turns to machine learning for options hedging
New models sidestep Black-Scholes and could slash hedging costs for some derivatives by up to 80%
Apac banks call for regulatory push on AML tech
“Regulators have got to stop being okay with how things currently are,” says financial crime head
Push harder on cyber intel sharing, Apac regulators told
Regulators must work with banks to foster trust on cyber threat intelligence sharing, say execs
Podcast: Venturelli and Kondratyev on quantum annealing
Authors show how quantum theory could aid portfolio construction
Fund ratings flip as 2008 losses fade from view
Over 90% of top-rated US equity funds have betas greater than one