News
EU regulators want Basel sign-off before leverage ratio changes
Risk Live: Benefits of temporary leverage exemptions still to be determined, ECB official says
Singapore banks step up their game against internal fraud
Firms respond to MAS warnings about dangers of remote working spurred by Covid
Goldman banker calls for greater CCAR flexibility
Exec says share buybacks should have been permitted for stronger lenders during Covid freeze
ARRC eyes July ‘SOFR first’ switch
Adoption of RFR for swaps quoting conventions should pave the way for term SOFR endorsement
CME rebuts accusations of procyclical margining
Merc issues white paper touting strong portfolio-level coverage during pandemic, rebuffs calls for higher MPOR
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