Opinion
Why the Fed should adopt CLFs
The BPI's chief economist explains how the facilities would benefit Wall Street and Main Street
The top 10 op risks, reloaded
Survey to be expanded as part of benchmarking exercise
Ukraine conflict reminds quants that operations matter
Quants cannot ignore real-world frictions such as sanctions and market closures
Regulators need to go back to fundamentals on fund risks
Policy-makers need to identify risks posed by open-ended investment funds more precisely
Op risk data: Allianz dealt a $4bn blow for not-so-Alpha Funds
Also: Credit Suisse cops two cartel shops; banks get slapped in gender pay gap. Data by ORX News
On Russia, finance needs to find its moral compass
The looming risk of big write-offs should prompt investor rethink
Private equity’s insurance innovation needs a risk check
Regulators need to look closer at private equity’s rush to reinsure pension assets in Bermuda
Kurtosis optimisation gives portfolios a shock absorber
Hedge fund quant shows how an alternative to PCA makes risk management more robust
What do regulators need from governments on climate change?
To reduce the number of climate risk scenarios, lawmakers need to start being more specific
High rates offer an opportunity for Singapore’s benchmark transition
Rising interest rates should speed the transitioning of legacy SOR loans – but there is little time to spare
For OTC derivatives, the pricing (still) isn’t right
Financial instrument expert Dirk Schubert on how post-GFC rules have caused prices and valuations to diverge
Is it worth doing a quant master’s degree?
UBS’s Gordon Lee – veteran quant and grad student supervisor – asks the hard question
Equity markets have become so complex as to defy explanation
Experts struggle to rationalise wild swings in a market that is almost unrecognisable
The Collins flaw: backstop turned binding constraint
US legislative tweak was meant to prevent banks from using their own capital models too liberally. It’s now something different
Rough volatility moves to exotic frontiers
New simulation scheme clears the way for broader application of the rough Heston model
Op risk data: Morgan Stanley, Capital One’s data breach double trouble
Also: Citi shells out $45m for misleading stock trading info; coding clangers cost Credit Suisse $9m. Data by ORX News
Op risk data: Mouldy money makes big stink for NatWest
Also: Santander plays Santa; JPM in messaging mayhem; ‘Sterling Lads’ cost HSBC a couple of bricks. Data by ORX News
Covid isn’t killing corporate entertaining – it’s dead, anyway
For a generation of bankers and vendors, client hospitality was part of life. But the party is winding down
Can ESG trading and best execution coexist?
Not everyone thinks making a statement on ESG would work against client interests
Direction of travel on last look becomes clear
Hold time holdouts likely to fall into line in face of increased regulatory scrutiny
NSCC’s year of living dangerously
The CCP’s models are falling short time and time again, and the consequences could be disastrous
What quant finance can learn from a 240-year-old problem
Optimal transport theory offers a data-driven way to calibrate derivatives pricing models
Investment fund leverage: the known unknowns
More work needed on first-mover redemption incentives and margin calls, says Iosco chief
Libor battles aren’t over, but the war is won
Transition will shift into new phase next year, leaving systemic threats behind