News
Exchanges warn on clearing concentration
Clearing houses urge margin offset in leverage ratio, adoption of SA-CCR and recalibration of NSFR
Big firms deflect banks’ questions on third-party risks
From exchanges to software sellers, big players hang back on due diligence questions, banks say
Dynamic gas models make for better hedges
Study highlights dwindling role of weather in market
Banks discreetly seek personnel to mine alt data riches
Citi, Credit Suisse, HSBC and Morgan Stanley are hiring data scientists for a plethora of new initiatives
New statistical approach proposed to tackle internal fraud
Tests improve on methods to identify anomalous data created by fraudsters
Optimisation services edge closer to EU clearing exemption
Lawmakers ask European Commission to consider if offsetting non-cleared trades could be exempt
Podcast: Antonov on MVA, algorithmic differentiation and model validation
StanChart quant proposes new technique to compute MVA quicker
Time running out for EU Brexit temporary permissions regime
UK clearing houses may need to eject EU member positions if BoE scheme is not reciprocated by year-end
OCC won’t offer further guidance on ‘fourth-party’ risk
Onus is on banks to vet subcontractors during contract negotiations, regulator says
UK Treasury never analysed impact of risk weights for EU debt
Risk weight move seen as political threat to EU sovereign issuance to force Brexit equivalence deal
Quants tout improved expected shortfall backtest
Measure aims to provide better gauge of VAR violations
EU drops reporting relief for exchange-traded derivatives
Exemption removed from Emir Refit, but Parliament moots future legislative changes for ETDs
Fed to push ahead with capital regime for single US insurer
Prudential faces risk capital add-ons unless it sheds “systemically important” label
Batteries still falling short on load balancing, study finds
Significant cost reductions – or capacity payments – still needed
New US coal plan will have minimal effect on industry
Higher emissions but little impact on price or demand for CPP replacement
Van Bergh joins Wells Fargo, and more
Latest job changes across the industry
Hedge funds turn to curve options for steepener trades
Previous bets on US interest rate curve flopped following unexpected flattening
Funds take action to avoid fire sales under new SEC liquidity rule
Asset managers want more time to get illiquid assets within regulatory limits during market upheaval
New credit risk modelling approach touted to reduce CCAR bias
Academic aims to address gaps in existing LGD forecast method with two-equation fix
Banks can’t get a straight answer on BCBS 239 compliance
Regulators sidestep questions on whether ‘material compliance’ amounts to full compliance
New Venezuelan currency linked to oil-backed crypto
Government tries to tackle inflation by linking “sovereign bolivar” to petro
Formosa swaptions trade under pressure from new Taiwan rules
Limit on investment by insurers is hitting issuance of Formosa bonds and related options
Brevan Howard is first non-bank caught by margin rules, sources say
Non-cleared exposures thought to exceed $1.5 trillion
World Bank completes first SOFR bond hedge
The largest SOFR swap trades to date were executed on August 13