News
Regulators must make firms reveal climate risk – MSCI, FRR
Asset managers need accurate data on carbon emissions, followed by targets to lower them
Fed casts doubt on future of Basel internal models in US
Banks warn Fed cannot keep commitment to avoid Basel III capital hike if it forbids models
Podcast: Piterbarg on medians and machine learning
How the Libor transition inspired NatWest quant’s latest paper on exotic derivatives valuation
Dispersion trades are back after losing big in 2020
Bets on single-stock versus index volatility are “incredibly attractive by historical standards”
Markit launches credit-sensitive SOFR alternatives
Crits can be used as add-on to SOFR, while Critr will be a standalone benchmark
Vanguard, FX forwards kingmaker
Counterparty Radar: How the fund giant influenced banks’ overall forwards fortunes in 2020
Archegos raises questions about Hong Kong listing rules
Deference to US disclosures stopped Baidu’s Hong Kong listing shining a spotlight on Archegos
Cyber attacks top threat to US financial system – bank CEOs
Lawmakers signal readiness to act as finance chiefs warn of heightened cyber risks
From one extreme to another: Covid upsets loan models once more
Unusual economic slumps tripped up models in 2020. Now, they are struggling with fast recoveries
Nomura hires McKinsey to examine Archegos failings
Risk framework under external review as DOJ reportedly opens probe into fund’s collapse
How time-step stress-testing helped Deutsche navigate Covid
Market risk chief touts importance of repeat stress-testing over point-in-time methods
Chinese exporters urged to ramp up US dollar hedges
Dealers join China’s Safe in sounding alarm at mounting unhedged FX exposures
BoE’s post-Libor clearing plan leaves yen swaps in limbo
Sonia and €STR will be mandated for clearing, while Tonar must wait until liquidity settles
Hedges are in short supply as inflation quickens
UK pension funds want to hedge against rising prices, but the government is not issuing enough bonds
Acadian builds ‘green screen’ to auto-filter ESG phoneys
$110 billion quant investor creates automated system to spot greenwashers
CDS market prepares to join Libor transition
Ice and LCH will switch to new rates for margin interest; Isda to follow in standard model update
CME wins term SOFR race
Fed-backed working group puts term rate back on track, but low volumes keep endorsement on hold
Do investors want Barclays to keep financing fossil fuels?
Barclays presented SSGA with an ‘ambitious’ climate plan, but neither firm will say how it works
US watchdogs seek to govern bank AML systems as models
Banks fear prudential agencies’ move could hamper their own ability to fight financial crime
Could an Archegos blindside banks in Europe? Not really
Archegos’ banks were burnt by its hidden US swaps – in much of Europe, they would have to be public
Basel would readjust leverage ratio if reserves exempted
Basel’s Rogers says permanent relief for central bank reserves should lead to higher minimum ratio
FCA tells asset managers to challenge companies on climate
A few serious attempts to change behaviour beats lots of shallow attempts, says UBS’s investing arm
UK to lose more swap trades when FCA Brexit powers expire
Relief granted under temporary transitional powers will end in December 2022 – unless changes are made
Goldman inks modelling, data tie-up with MSCI
Move to cross-sell risk analytics could herald further content deals for bank’s Marquee platform, says sales chief