News
AQR’s Cliff Asness: ‘machine learning worries me’
Leading quant cautious on machine learning’s use with limited data
Pimco calls for urgency on Libor transition
Bond giant wants SOFR rate published “sooner rather than later”; BlackRock raises questions over liquidity
CME to launch bitcoin futures
Client interest inspires fourth-quarter launch target for cash-settled contract
IMF ‘wrong’ to label Deutsche world’s riskiest bank
Co-developer of risk methodology used by IMF says it was misapplied when labelling bank riskiest G-Sib
Quintenz: former CFTC leadership failed commodities end-users
Commissioner says regulator “poorly defined populations and risk” under Obama administration
People: Genco opens Singapore office, hires head of major bulks
Recent changes at dry cargo, gas trading and gold market participants, among others
‘We’re being fed a line’: investors vexed by central bank influence
Buy-siders say central bank communications policies broke link between markets and political risk
Crisis alert: new model aims to give early warning of downturn
Academics say tool could offer policymakers up to three years’ notice of impending crash
Cecl pitting risk managers against accountants, says quant boss
Banks are ‘all over the place’ on modelling expected credit losses, says Regions’ Maglic
Model validators squeezed by stress test deadlines
CCAR cycle frustrates compliance with Fed model risk guidance
Fed supervisor presses banks to address CCP exposures
Regulator says more information is needed to fully understand the risk of cleared trades
Giancarlo urges EU to protect CCP equivalence deal
CFTC head offers olive branches on ANE rule and trading venue protocols
Banks, regulators clash over stress testing
OCC and NY Fed officials defend regulatory stress tests despite criticism from bankers
US Treasury’s research arm revamps systemic risk models
New approach from OFR relies on separate measures of stress and vulnerability
Volcker desks unlikely to meet FRTB requirements
Some trading activities will need to be reorganised to comply with market risk rules
Bankers lament growing global regulatory fragmentation
Piecemeal roll-out of Basel III will be “enormously costly”
Citi overhauls bonus system to strengthen conduct culture
Poor conduct score can eliminate bonus regardless of profit contribution
OCC regulator warns on interest rate risk build-up
Fed policy, liquidity requirements and model herding all raise concerns
LCH braces for repo clearing relocation
UK clearing house aims to retain swaps clearing even if sovereign repo business relocates to the eurozone
Fed postpones G-Sib capital change
Industry reprieve granted on proposal that threatens $10 billion capital increase
Asian banks cry foul over FRTB’s currency risk weights
Basel’s risk weights under SBA said to unfairly penalise banks reporting forex risk positions in non-G3 currencies
CFTC’s Quintenz: dealer threshold could exclude cleared swaps
Commissioner suggests risks should be better considered in de minimis reappraisal
Leaked EU paper proposes flexible bank holdco rules
Document offers helping hand to US and Japanese banks, which must split out securities business
Swiss regulator fast-track key to cleared Saron swaps launch
Ice warns against rushing new products into clearing, however