Opinion
Op risk data: Mastercard schooled in £200m class action
Also: Mitsubishi copper crunch, TD tops 2024 op risk loss table. Data by ORX News
Podcast: Alexei Kondratyev on quantum computing
Imperial College London professor updates expectations for future tech
BlackRock on how modern portfolio theory is misunderstood
Standard asset allocation is likely sub-optimal in a changing world, say strategists
Op risk data: Santander in car crash of motor-finance fail
Also: Macquarie fined for fake metals trade flaws, Metro makes AML misses, and Invesco red-faced over greenwashing. Data by ORX News
‘It’s not EU’: Do government bond spreads spell eurozone break-up?
Divergence between EGB yields is in the EU’s make-up; only a shared risk architecture can reunite them
Quants mine gold for new market-making model
Novel approach to modelling cointegrated assets could be applied to FX and potentially even corporate bond pricing
Why there is no fence in effective regulatory relationships
A chief risk officer and former bank supervisor says regulators and regulated are on the same side
Thin-skinned: are CCPs skimping on capital cover?
Growth of default funds calls into question clearers’ skin in the game
An AI-first approach to model risk management
Firms must define their AI risk appetite before trying to manage or model it, says Christophe Rougeaux
Op risk data: At Trafigura, a $1 billion miss in Mongolia
Also: Insurance cartels, Santander settlement and TSB’s “woeful” customer treatment. Data by ORX News
Quants dive into FX fixing windows debate
Longer fixing windows may benefit clients, but predicting how dealers will respond is tough
Talking Heads 2024: All eyes on US equities
How the tech-driven S&P 500 surge has impacted thinking at five market participants
Beware the macro elephant that could stomp on stocks
Macro risks have the potential to shake equities more than investors might be anticipating
Podcast: Piterbarg and Nowaczyk on running better backtests
Quants discuss new way to extract independent samples from correlated datasets
UST repo clearing: considerations for ‘done-away’ implementation
Citi’s Mariam Rafi sets out the drivers for sponsored and agent clearing of Treasury repo and reverse repo
Should trend followers lower their horizons?
August’s volatility blip benefited hedge funds that use short-term trend signals
Op risk data: Macquarie mauled by securities mismarks
Also: Danske’s costliest branch, tedious times for TD, and WhatsApp won’t stop. Data by ORX News
Low FX vol regime fuels exotics expansion
Interest is growing in the products as a way to squeeze juice out of a flat market
Can pod shops channel ‘organisational alpha’?
The tension between a firm and its managers can drag on returns. So far, there’s no perfect fix
Climate stress tests are cold comfort for banks
Flaws in regulators’ methodology for gauging financial impact of climate change undermine transition efforts, argues modelling expert
CDS market revamp aims to fix the (de)faults
Proposed makeover for determinations committees tackles concerns over conflicts of interest