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Podcast: CFM’s Bouchaud on agent-based models and ESG investing
Hedge fund quant, and Risk.net’s new columnist, shares his unique take on markets
CVA problems, CCP resolution and digital tokens
The week on Risk.net, August 22-28, 2020
Ronin, felled prop giant, shuts up shop
Firm cancels regulatory licences; traders receiving payouts on equity stakes
Barclays proposes new taxonomy for digital tokens
A common approach to classifying tokens is needed to prevent regulatory arbitrage, UK bank argues
Big buy-side firms seek better model risk disclosures
Working group building standardised disclosure doc for managers and vendors
Asia risks falling behind on Libor transition, sources say
Regulators urged to take a more active role in steering buy-side firms to new benchmarks
Target2 ‘fingerprint’ could flag liquidity problems – research
Deviations from regular payment patterns are a sign something might be wrong
After Covid, CCPs face calls for revamped disclosures
Banks and buy-side firms working with clearers to provide more granular info on margin shortfalls
Goldman signs up as NDF client clearer at LCH
US bank expecting jump in cleared trades when initial margin rules hit buy side
Negative Euribor-Eonia spread tipped to persist
Supply and demand dynamics in unsecured market set to continue, pushing Euribor lower
For a post-Covid world, quant fund revives a contentious idea
Crisis puts out-of-vogue practice of “porting” alpha back in play
Facebook’s libra could disrupt collateral markets – IMF paper
Collateral used to back ‘stablecoins’ such as libra will be unavailable for reuse
Basel sets out its stall on operational resilience
Body says banks expected to maintain critical services, but steers clear of setting compliance metrics
New Tradeweb/IBA benchmark tipped as ‘competitor’ to SOFR
Forward-looking risk-free rate aimed at US mortgage market could have broader applications
Indonesia eyes netting changes to enable derivatives CCP
Central bank says legal amendments will pave way for locally cleared NDFs and interest rate swaps
EBA’s software compromise draws fire on two fronts
UK regulator suggests it will neuter the proposed capital relief, which banks say doesn’t go far enough
Swaption compensation consensus proves elusive
ECB-sponsored recommendations fail to rally market behind compensation exchange solution
Non-cleared euro swaps market wrestles with discount rate switch
Buy-siders prepare for valuation change from move to €STR
Ion forced to ditch Broadway rates business
Remedy satisfies UK competition watchdog – but “a big defeat” for acquisitive tech giant
Covid forces banks to focus on vendor risk
Firms eyeing financial well-being of critical suppliers, and seeking alternatives
Podcast: Dario Villani on managing money with ML
Duality’s CEO discusses key to machine learning success, and the influence of Renaissance’s Jim Simons
Fed’s approach to stressing op risk frustrates banks
Regulator’s stress test results overshoot banks’ numbers, threatening capital plans
SOFR basis blows out amid CCP discounting changes
Rate cuts may have exacerbated discount risk as basis swap opt-outs move deeply in-the-money
SocGen mulls sale of structured product books after big losses
Rival Natixis also plans to place parts of its equity derivatives business in run-off mode