Opinion
How XVA quants learned to trust the machine
Initial scepticism about using neural networks for derivatives pricing is giving way to enthusiasm
The limits of a softly-softly approach on climate in China
Asset managers must put pressure on the companies they invest in
Time for BoE to rethink the leverage ratio
The disparity of treatment keeps UK banks on an unlevel playing field
Synthetic data enters its Cubist phase
Quants are using the theory of rough paths to distil the essence of financial datasets
Who’s afraid of the RPI-CPIH judicial review?
RPI trading booming as market ignores legal challenge to the transition
Hedge funds and the rebound in collateral velocity
Reuse rate of collateral points to growing fragility and interconnectedness in financial markets
Op risk data: UBS, Nomura, UniCredit hit with $450m cartel fine
Also: State Street collared for expense overcharging; S&P’s Vix mix-up. Data by ORX News
Clock auctions: a stitch in time for Libor?
MIT professor says Nobel-inspired mechanism could cut basis risk and ease $74trn Libor shift
If dogecoin goes to the moon, a risk manager should go too
There seems little logic to the price of meme assets – but bold investors can protect themselves, says tech expert
A bold step forward in climate-related financial risk supervision
Banque de France’s Denis Beau explains the results of a pilot exercise, and what comes next
Fake data can help backtesters, up to a point
Synthetic data made with machine learning will struggle to capture the caprice of financial markets
US Treasuries: a venerable market in need of fresh thinking
The world’s most important market has evolved ad hoc; bringing order to it will be no small task
How Credit Suisse fell victim to its own success
Roots of Archegos loss can be traced to business strategy the bank embraced back in 2006
The Giancarlo spirit: wobbling but not falling
The burden of US extraterritoriality rules may be easing
Op risk data: Money laundering gaffes cost ABN €480m in penalties
Also: Turkish crypto exchange’s missing $2bn; online payment scams rise during Covid. Data by ORX News
For EU banks, there can be no ‘back to normal’
The ECB’s recent review of risk models shows lenders got it all wrong pre-pandemic
Net losers? Benefits of clearing US Treasuries are cloudy
Practical obstacles and questionable netting benefits muddy the path to a clearing mandate, argues economist
Risk management is not a job for compliance
Credit Suisse losses show why boards require real risk management expertise, says ex-BoE supervisor
Government bond swaptions and how they might work
Payoffs based on bond yields instead of swap rates could offer new hedging tool, argue Crédit Agricole execs
Op risk data: Sberbank suffers $108m supermarket clean-out
Also: Copper trader buys $36m of worthless bricks; big lenders hurt in $400m mortgage fraud. Data by ORX News
Games of hazard: NSCC’s margin waiver sets bad precedent
By waiving a $2.2 billion cash call for Robinhood, members worry the NSCC may have dug itself a trap
What good are risk disclosures anyway?
Regulatory filings and shareholder reports offered no heads-up of Archegos’ troubles
Rough volatility’s steampunk vision of future finance
Some of the trickiest puzzles in finance could be solved by blending old and new technologies
A look at future exposures, through a 19th century lens
Can a centenarian maths idea speed up the calculation of forward sensitivities?