News
Quants see promise in Bayesian machine learning
Risk USA: probability theory may hold key to creating ‘self-aware’ AI
Don’t follow the models: they’re lost, too – risk managers
Risk USA: managers cite Covid, repo crisis and geopolitical risks as examples of model failures
Buy-side rates traders staying on sidelines after wild October
Funds cautious after staggering collapse of the year’s steepener trade
Industry relief as US keeps leverage ratio reform on the table
Risk USA: Market participants welcome Treasury market report, which includes possible SLR changes
Former clearing head urges ‘reasonable regulation’ of crypto
Risk USA: panellists complain current regulatory approach is ‘painful’ and doesn’t embrace innovation
US swaptions slowly ditch Libor as ‘SOFR First’ bites
Risk USA: Around half of interdealer trades adopt successor rate on day one of initiative
Scalability could trump complexity in machine learning debate
Risk USA: banks “on the precipice” of adopting more complex models, says Goldman exec
LCH to clear swaps linked to embattled BSBY rate
Risk USA: SOFR surge eases concerns over Bloomberg’s credit-sensitive Libor alternative
US funds pile into LatAm interest rate swaps
Counterparty Radar: Managers still enamoured of non-G10 pairs in Q2, with BRL volumes now up 104% year-to-date
FRTB starts ‘tug of war’ between front and back offices
Risk USA: dealers face trade-off between accuracy of pricing models and level of capital charges
Sales of China’s snowball notes fall
Issuers point to tighter equity index basis and recent regulator warning over marketing of snowballs
Prudential CRO: markets haven’t priced in tail risks
Risk USA: distribution of extreme outcomes “has gotten broader and wider”, says Nick Silitch
Climate scenarios: carbon price shock sees asset prices slump
Crowdsourced scenario analysis suggests very few sectors safe from a post-COP carbon price pop
Funds brace for higher costs, worse terms after CS prime exit
Largest banks set to win business; others fear regulatory scrutiny of highly concentrated market
Banks seek regulatory guidance on climate transition plans
Lack of agreement on how to identify whether borrowers are converging with net zero targets
Futures standards body seen as first step to utility
FIA project could usher in new hub to connect trading parties and guard against derivatives logjams, experts say
BlackRock’s own reporting undermines its climate claims
Axa, Allianz and Legal & General have all cut their investments’ emissions, unlike BlackRock
Fee standoff intensifies as FX spreads compress
As spread squeeze continues, brokers refuse to budge on trading fees
Regulator says Covid has accelerated China’s reform agenda
CSRC vice-chair wants US firms to help develop onshore futures for risk management
Banks seek greater clarity from regulators on cloud risk
Regulators are reluctant to specify cloud risks, despite warning of overreliance on three big providers
EU firms call for single consolidated tape provider
Some say new rules could create data fragmentation and raise connectivity costs
Currenex lawyers ask judge to dismiss class action lawsuit
Case alleging secret priority trading deals brought too late and not based on facts, defence argue
Model changes could raise Eurex swaps margins by over a fifth
Covid-induced market volatility becomes permanent stress scenario to nix procyclicality
Neural networks show fewer false positives on bad loans – study
Machine learning method edges regression techniques in linking nonlinearities among delinquent borrowers