News
BlackRock’s psych team (yes) hunts for bias in trades
Portfolio managers asked to keep ‘trade diaries’ of the thinking that led up to poor investments
Accounting shake-up set to hit China shadow banking
Banks brace for extra provisions under IFRS 9 for loans masquerading as investment products
Brexit relief aids Singapore on EU swaps trading equivalence
Sources say decision imminent, but Singapore venues may still face EU licensing requirements
Drop margin on swaps leaving Libor, Basel says
Joined by Iosco, Basel says moves to Libor successors should not be saddled with margin requirements
Quants clash: machine learning or linear models?
Some studies say the algorithms beat the common models; other studies say the opposite
Isda proposes fix for ‘manufactured defaults’
Failure-to-pay must be linked to a deterioration in creditworthiness to trigger CDS payouts
Singapore looks to synthetic Libor for new benchmark calculation
The way Singapore’s swap rate is calculated must change if Libor disappears after 2021
Banks split over sending traders to default auctions
After Nasdaq auction failed, some see need for traders in process; others can’t afford to lose them
Giancarlo opens door for prop firms to quote swaps
CFTC will grant no-action relief to non-banks that want to provide liquidity in cleared swaps
Banks call for third-country benchmark fix as EC delays BMR
Two-year delay may open the door for rethink on local legal representation requirements and recognition options
Volume ‘non-existent’, but SOFR backers are upbeat
ARRC members say despite appearances, SOFR is ahead of schedule and liquidity will come
CFTC official: CCPs should war-game default auctions
Risk appetite should be factor in selecting auction participants – Wasserman
Time running out for Brexit data compliance, Bailey warns
FCA head also highlights shortfall on Mifid trading venue equivalence
CFTC seeks trading venue equivalence in Asia
As it strives for a seamless Brexit, the CFTC also nears deals with Asian jurisdictions
DE Shaw rebukes Giancarlo’s big idea on Sefs
Hedge fund endorses electronic trading, as CFTC pushes for a return to old phone-based business
Swaps market heading for Libor fallbacks clash
Euro market goes own way on question of how to replace term Ibors with overnight RFRs
UK quant academics fear Brexit brain drain
Brexit hitting graduate jobs, funding and “driving European academics away from the UK”, say universities
Foreign banks expect Fed proposal imminently
New framework for tiering FBO requirements could come as early as this week
Rokos hires new risk chief
Gianluca Squassi is replacing Nick Howard as the $8 billion hedge fund’s CRO
Podcast: Princeton’s Carmona on the future of quant education
Course director discusses machine learning explainability and reclaiming game theory from economists
Forex ‘Cartel’ not guilty but still paying a penalty
Despite acquittal, three former forex traders anticipate obstacles in trying to rebuild their careers
Natixis said to offload a third of Korean structured book
BAML and BNP Paribas named as buyers in $2.5 billion notional sale of equity-linked securities
First SOFR term rate coming in 2020
Staff at the New York Fed are working on a series of backward-looking averages
Natixis creates model to ‘learn’ how factors interact
Random forest technique sheds light on flux in how factors mix, manager says