News
Don’t invest in bad ESG companies, hedge funds told
Managers have seen a “sea change” in attitudes to sustainability
Podcast: Kondratyev and Schwarz on generating data
Market generator models may aid areas of finance where data is limited or sensitive
Isda plans February rerun of Libor pre-death trigger poll
Lack of consensus would add pre-cessation option to post-cessation protocol for bilateral swaps
Princeton tops Risk.net Quant Guide for second year running
UK’s Imperial ranks sixth; first university from mainland China features
Break up big conduct risk losses to aid modelling, say quants
New approach delivers stable measure of conduct risk VAR, says senior op risk quant
Watch out for Brexit cliff edge 2.0, experts warn
Measures to mitigate a sharp rupture for financial services could be less likely at end-2020
Libor replacement jumble may hike hedging costs
Use of term rates and credit adjustments will create new basis risks that could be costly to hedge
Regulators urge buy-side action on Libor shift
ARRC set to release ‘checklist’ for buy-side firms, while FCA assesses exposures
OCC updates default auction rules to encourage buy-side bids
Clearer’s proposed changes follow client fears of being locked out
LCH targets hardwired pre-cessation triggers
Proposal aims to align transfer pricing for cleared and bilateral markets in the event of split on ‘zombie Libor’ triggers
New pre-cessation poll likely as FCA quells zombie Libor fears
Minimal non-representative lifespan opens door for rerun of Isda trigger consultation
Quants – pick your alt data wisely, says Goldman MD
Investors must balance risk of false signals versus missing out on alpha, says Matthew Rothman
Aberdeen head of structured solutions departs
De Roeck considering Libor discontinuation consultancy launch
BofA nabs top market risk quant from Deutsche
Move for senior risk analytics exec comes as go-live for FRTB approaches
Cyber attack could freeze US liquidity – NY Fed paper
Attack on one bank could affect more than a third of banking system’s assets, researchers warn
EU council dials back on margin haircuts for CCP resolution
Lawmakers close avenues for regulators to dip into non-defaulting members’ initial margin
CFTC urged to cement relief from a non-cleared margin rule
Industry seeks permanent right to specify two minimum transfer amounts: for initial and variation margin
As business mix shifts, Eurex bulks up its default fund
Clearing house will raise charge to 9% from 7% as stress tests signal need for a fatter fund
Asian investors primed to buy more CLOs, experts say
Liquidity and diversification are drivers for demand, after US loan market’s recovery from blip
Cboe plans comeback in crypto markets
Exchange aims to reverse previous failures, but no launch date set
Podcast: Andrew Dickinson on CCPs’ defence mechanisms
Trades’ size limits, membership rules and more transparency key to avoid another CCP default
Fed’s rush to complete stress buffer likely to unnerve banks
Quarles wants to include it in 2020 CCAR cycle, making bank capital planning difficult
JSCC caps member cash calls, revamps futures margin model
Clearing house set to end unlimited default fund top-ups for futures clearing
Top 10 operational risk losses of 2019
Fraud, embezzlement, tax evasion, subprime (still) and rogue trading – and Citi crops up twice. Data by ORX News