News
Using correlation to model op risk losses may be unsafe – study
Techniques for linking economic factors and bank losses produce varying – and sometimes contradictory – results
LCH mulls FX spot clearing as buy-side demand grows
Anticipated ForexClear service could reduce funds’ reliance on prime broker credit lines
Geopolitical risk models not ‘rigorous’ enough, says quant
Joseph Simonian believes game theory and reinforcement learning could improve matters
Podcast: the remaining challenges for Libor transition
Rates quant says swaptions fallbacks turn cash-settled vanilla products into exotics
The closer quants look, the less diversifying crypto appears
Analysis seems to confirm that the asset class is not an effective diversification play
Market welcomes SOR fallback consensus
Clarification of five-year median spread adjustment is helpful, but “no magic bullet”
JP Morgan taps Holmes to lead global rates trading
Management shake-up also sees Matthew Franklin-Lyons named head of North American rates trading
‘Repo by the minute’ could reshape lending – but not quite yet
Blockchain-based platforms from JP Morgan and Broadridge offer smart contracts that enable intraday repo
GFMA proposes disruption settlement framework for FX
Russian ruble close-out pain triggers calls for voluntary multilateral pricing framework
Bund volatility sparks uncertainty around futures delivery
Changing cheapest-to-deliver status catches some traders off guard despite Finanzagentur intervention
Phase six margin cohort may exceed estimates as vol bites
Acadia sees numbers around one-third higher than initial count, with fewer set to rely on relief
FCMs brace for ‘tough winter’ of energy market disruption
Banks stress-test clients, add big margin multipliers to insulate against risk of 100% price moves
MSIM was biggest Grayscale investor on eve of bitcoin rout
Cathie Wood’s Ark and Horizon Kinetics were the other largest investors in trust that lost 61% in Q2
Banks may spend ‘billions’ to stop quantum hacking threat
Quantum-proof algo standards nearing completion, but enhanced cryptography won’t come cheap
BNP G10 rates sales head takes new developed markets role
Joe Squires’ move sees Neehal Shah, Ashley Parker and Xavier Gallant pick up new rates responsibilities
Rival platforms battle to control electronic trading of CLOs
Octaura has the backing of dealers, while Kopentech is leaning into its buy-side roots
UK offers six-month margin reprieve for China netting sweep
Transition period falls short of Isda’s 18-month request, Hong Kong mulls similar relief
Canada term rate plan sparks ‘inverted pyramid’ debate
Some dealers push back on forward-looking Corra proposal amid low derivatives liquidity
AI models point to recession, but quants won’t trade on them
Predicting the odds of a recession, and how markets will respond, is still a step too far for machines
Why a US fund manager added $4.8bn of Libor swaptions in Q1
Columbia Threadneedle’s eyebrow-raising trades were part of an effort to clean up legacy hedges
US pensions take hit as illiquid assets prove hard to shift
Corporate plans forced to sell alts at discount as insurers baulk at riskier investments
PGIM leans into bought credit options, further boosts Barclays
Counterparty Radar: US mutual funds added $25 billion in net new positions in Q1 with purchased protection rising
India onshore/offshore NDF markets tipped to converge
Local banks will increasingly take advantage of price differentials and close gaps, say market participants
SEC commissioner wants power to block single-stock ETFs
Listings of funds that pay out when Tesla or Pfizer shares fall prompt call for tougher regulation