Opinion
Bond hedging: China must be bolder
Opening access to bond futures market for foreigners could give big boost to China govvies market
Op risk data: Crypto exchange BitConnect hit with $2bn lawsuit
Also: Legacy €1bn tax liability levied on WestLB ‘bad bank’; ABN and Wells Fargo compensate clients. Data by ORX News
An ‘optimal’ way to calculate future P&L distributions?
Quants use neural networks to upgrade classic options pricing model
Citi reorg the final note in failed swaps clearing model
Strategic shift from OTC clearing powerhouse to client support function marks the end of an era
Climate risk: the writing is on the wall
For the EU financial sector, climate risk is inescapable, but it could be tamed
Overhyped green status is no longer a risk-free sales tool
Asset managers’ ESG claims will now be more closely scrutinised following DWS allegations
OTC derivatives clearing: no turning back
Clearing advocates have plenty of reasons to feel optimistic about the future
Algo sniffers make a tough business tougher
FX spot is already a hard game for many LPs and the rise of skew sniping only makes things harder
Op risk data: DeFi-ant crypto hacker steals $610m
Also: Amundi fined for index manipulation; Wells pays out over client fraud. Data by ORX News
Machines can read, but do they understand?
A novel NLP application built on a Google transformer model can help predict ratings transitions
A defence against the next convexity crunch
Crédit Agricole rates traders describe a new way of hedging the risk of bond convexity
A new metric for liquidity add-ons: easy as ADV, but better
Proposed measure allows brokers to calculate stable, stock-specific liquidity add-ons
Could prime of primes go pop?
The PoP market is booming, but some tier one banks are wary
The unintended consequences of ring-fencing
Rules aimed at protecting UK depositors may be putting too much froth into the credit market
Op risk data: Westpac and Sumitomo among four banks hit by $359m fraud
Also: Misinformation in Lloyds Bank insurance renewals; AML fail at Amex France. Data by ORX News
It’s time to call time on leisurely disclosures by CCPs
When clearing houses falter, markets should not be kept in the dark for months on end
Building forward-looking scenarios: why you’re doing it wrong
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
Derivatives pricing starts feeling the heat of climate change
Quants find physical and transition risks can lead to significant rise in CVA
‘It’s the economy’: forecasting an op risk climate change spike
History of op risk suggests economic impacts of climate change could exacerbate losses, writes op risk head
Libor is ending, and corporates need to know their options
Banks must speak to Main Street now if US Libor transition is to succeed, argue ARRC working group leaders
G-Sib regime: something’s broken
US banks are taking the Fed for a ride – it’s time to address the issue
Op risk data: Robinhood to pay $70m for meme stock failings
Also: Deutsche Bank’s wine corked after €10m FX swaps settlement. Data by ORX News
The case for reinforcement learning in quant finance
The technology behind Google’s AlphaGo has been strangely overlooked by quants
Confusion reigns as US prepares for Libor’s end
Mixed messages from US regulators make it more difficult to plan for life after Libor