Opinion
Clear, concise, consistent, doable – rules for a risk policy
Effective risk policies may be elusive, but they’re a must, say two veterans of the art
Op risk data: Pandemic paradox of low, low losses
Also: Navient gets schooled for scam; Amex holiday let-down; BNL’s Italian Job hit. Data by ORX News
Too much of a good thing? Banks mull over excess deposits
Surge in non-operating deposits leaves banks with a severe hangover
NSFR may clear up questions about Nomura’s balance sheet
The risks of off-balance sheet financing remain largely hidden from view
Put options power up variable annuities
Insurance quants increase risk-adjusted profits using novel hedging technique
Op risk managers could be Covid long-haulers
New threats sprang from old sources in this year’s Top 10 op risks, belying a big drop in losses
As machines disrupt investing, people still have a role to play
Despite AI’s growth, investing still needs human adaptability and judgement, writes Schroders’ Lim
Italian job: the real UK stock trading heist
Italy has not been seen as a candidate to pick up business from the UK – until now
A European watchdog with more bark than bite
The European Central Bank’s soft approach could be storing up trouble for the future
My kingdom for the right copula
Copulas can still deliver if chosen with due attention to intuition and data, says quant fund chair
March’s clearing failures give new life to an old idea
Futures industry snubbed chance to build post-trade utility before. Now, it really needs one
Putting the H in XVAs
Barclays quant proposes methodology for factoring hedging costs into derivatives valuations
Op risk data: Chronic corruption charges cost Deutsche dear
Also: Wells Fargo fee fight; Nasdaq queers Emir reg; Covid keeps AML fines in line. Data by ORX News
If stablecoins are money, they should be backed by reserves
The growth of stablecoins could reduce the supply of safe collateral available to markets
Repair the leverage ratio, revive the repo market
Domestic currency government bonds and repo should be exempted, suggests former supervisor
Union beckons for the three quant tribes
Studies may be deferred, but future for grads is bright, argues UBS’s Gordon Lee
Why US dollar Libor spreads may be mispriced
Fallback spreads for all currencies could be fixed together, even if some benchmarks survive past 2021
Fed stress tests find critics on all sides
Conflicting results fuel arguments over dividends and buybacks
Setting boundaries for neural networks
Quants unveil new technique for controlling extrapolation by neural networks
Op risk data: In fewer reg fines, US took its lumps in 2020
Also: Retro Russian embezzlement fines; Barclays slapped for lack of forbearance. Data by ORX News
Random matrix theory provides a clue to correlation dynamics
A growing field of mathematical research could help us understand correlation fluctuations, says quant expert
25 years of Asia Risk
As the region continues to undergo major changes, we look to what the future may hold
Can CCPs zone in on improved margin buffers?
Dynamically adjusting margin add-ons could reduce cyclical funding demands
Risk committees: designing a horse and getting a camel?
When we examine what’s required of them, do risk committees hold water, asks ex-SEC risk oversight chief