Opinion
Covid bank tests, swap fix deferred and SOFR switch
The week on Risk.net, October 17-23, 2020
Strengthening supervisory co-operation in derivatives markets
Heath Tarbert and Jon Cunliffe set out a framework for regulating the global derivatives markets
Big bangs, FinCEN leak and prime exodus
The week on Risk.net, October 10–16, 2020
Whales or minnows? Sizing up crowded trades
Strategies for measuring crowding in trades can help to avoid its effect, writes quant fund founder
Time to rethink Korean structured products
New battle lines are being drawn in Korea’s structured products market
Pandemic exposes design flaws in bank capital buffers
The banking system’s shock-absorbers did not work as intended during the Covid-19 crisis
XVA calculation, backtesting and escape from Emir
The week on Risk.net, October 3-9, 2020
Op risk data: Record $920m fine for JP metals ploy
Also: counting the cost of Covid cons; Citi audio dynamite. Data by ORX News
‘Big bang’ sends basis swaps on roller-coaster ride
Secrecy at CME is contributing to volatility ahead of next week’s switch to SOFR discounting
Danske quants discover speedier way to crunch XVAs
Differential machine learning produces results “thousands of times faster and with similar accuracy”
Alt data, Libor and ESG in the time of Covid
The week on Risk.net, September 26–October 2, 2020
Corporate bond markets need more transparency – not less
Regulators should do more to promote pre- and post-trade transparency in corporate bonds
Autocallables, Mifexit and the value of HFT
The week on Risk.net, September 19-25, 2020
Quants are key to judicious ESG
Meaningful data analysis critical to future of socially responsible investing, writes Antonia Lim
Don’t blame HFT: plug liquidity gaps for market stability
Dynamic fees could incentivise liquidity when and where it’s most needed, writes quant fund founder Bouchaud
SOFR discounting, Covid and scenario crowdsourcing
The week on Risk.net, September 12–18, 2020
Bank resolvability in the time of Covid
We will balance flexibility and resilience, says director of EU’s Single Resolution Board
Swap termination, SA-CCR and the AFM’s push for fair treatment
The week on Risk.net, September 5-11, 2020
Op risk data: Revlon lenders won’t make up over Citi error
Also: Cyber fines on the up; and more fat-finger fails of yore. Data by ORX News
Time to move on from mean-variance diversification
A new diversification measure appears to produce better results than mean-variance optimisation
The long-term effect of Covid-19 on market risk capital
Covid-19 has replaced the global financial crisis in some banks’ stressed VAR calculations
Swap stays, FX clearing, and the value of real options
The week on Risk.net, August 29 - September 4, 2020
Power surge: the value of investing in renewables
Energy market expert investigates ways to forecast future power prices and capture rates in order to value renewables PPAs