News
US banks anticipate fresh guidance on resolution liquidity
Consultation in first half of 2020 expected to clarify intra-group and forecasting requirements
Study finds ‘significant’ crowding in hedge funds
New research links herd investing to bigger drawdowns in stressed markets
ESG like a new factor, alt managers say
Shift of capital to sustainable investing predicted to disrupt established strategies
Eurex members divided over liquidity risk charges
Banks say proposed charge too conservative, debate whether add-on should be charged directly to clients
Wells Fargo uses machine learning for performance attribution
Clustering algo delivers speedier and more accurate explanations of portfolio returns
Man and machine need each other – Systematica CEO
“The errors made by humans and robots are different,” says Leda Braga
Non-EU hedge funds stage surprise escape from SFTR
European Commission clarifies scope of reporting obligation that confused many in the industry
Quant Guide 2020: programmes tap banks for teaching talent
Unis are adding machine learning and data science courses, but need instructors to teach them
Don’t invest in bad ESG companies, hedge funds told
Managers have seen a “sea change” in attitudes to sustainability
Podcast: Kondratyev and Schwarz on generating data
Market generator models may aid areas of finance where data is limited or sensitive
Isda plans February rerun of Libor pre-death trigger poll
Lack of consensus would add pre-cessation option to post-cessation protocol for bilateral swaps
Princeton tops Risk.net Quant Guide for second year running
UK’s Imperial ranks sixth; first university from mainland China features
Break up big conduct risk losses to aid modelling, say quants
New approach delivers stable measure of conduct risk VAR, says senior op risk quant
Watch out for Brexit cliff edge 2.0, experts warn
Measures to mitigate a sharp rupture for financial services could be less likely at end-2020
Libor replacement jumble may hike hedging costs
Use of term rates and credit adjustments will create new basis risks that could be costly to hedge
Regulators urge buy-side action on Libor shift
ARRC set to release ‘checklist’ for buy-side firms, while FCA assesses exposures
OCC updates default auction rules to encourage buy-side bids
Clearer’s proposed changes follow client fears of being locked out
LCH targets hardwired pre-cessation triggers
Proposal aims to align transfer pricing for cleared and bilateral markets in the event of split on ‘zombie Libor’ triggers
New pre-cessation poll likely as FCA quells zombie Libor fears
Minimal non-representative lifespan opens door for rerun of Isda trigger consultation
Quants – pick your alt data wisely, says Goldman MD
Investors must balance risk of false signals versus missing out on alpha, says Matthew Rothman
Aberdeen head of structured solutions departs
De Roeck considering Libor discontinuation consultancy launch
BofA nabs top market risk quant from Deutsche
Move for senior risk analytics exec comes as go-live for FRTB approaches
Cyber attack could freeze US liquidity – NY Fed paper
Attack on one bank could affect more than a third of banking system’s assets, researchers warn
EU council dials back on margin haircuts for CCP resolution
Lawmakers close avenues for regulators to dip into non-defaulting members’ initial margin