Opinion
Swaps data: record trading volumes in March
CDS activity doubles through Covid-19 turbulence, while US interest rate swap trading marks new high
Blurred lines in bank capital standards
Boundaries between capital buffers and capital requirements are looking worryingly unclear
Virus modelling, money laundering and tail beta
The week on Risk.net, May 2-8, 2020
Op risk data: IBK snagged in money-laundering ops to Iran
Also: foul play called on Hapoalim’s football bribery scheme. Data by ORX News
Solving the enigma of the volatility smiles
Has the problem of jointly calibrating the volatility smiles of the Vix and S&P 500 been solved?
China commodities regulation: time to end the turf war
Mishmash of regulations still govern China’s financial industry
Ronin, the survival of Libor and synthetic data
The week on Risk.net, April 25-May 1, 2020
Negative oil prices put spotlight on investors
What part did Bank of China and other investors play in last month’s oil rout, asks derivatives veteran
When are index delays justified? Industry standards are vital
Relying on discretion is not sustainable, argues index executive in wake of rebalance delays
Does rates reform for structured notes lack structure?
Philipp Orgler and Vladimir Piterbarg say it’s time to focus on Ibor transition for structured notes
Capital relief, FRTB and negative oil
The week on Risk.net, April 18-24, 2020
Faith in the machine
The coronavirus crisis could be a defining moment for machine learning in finance
How regional banks could shape US Libor replacement
Regulators convene working group to address credit sensitivity concerns
Virus risk, pandemic modelling and the challenge for AI
The week on Risk.net, April 10–17, 2020
Fraud, reporting delays and problems for passive funds
The week on Risk.net, April 4–10, 2020
Swaps data: how the market responded to Covid-19
Swap rates saw massive moves as volumes peaked, writes Amir Khwaja of ClarusFT
Regulatory lenience over Covid-19 must be carefully judged
Former ECB supervisory board member says unwinding regulatory relief later will take courage
Op risk data: Outsourcing losses loom in lockdown
Also: Swedbank hit with huge AML fine; record Russia fine for StanChart. Data by ORX News
RBS, dividend curves and system failures
The week on Risk.net, March 28–April 3, 2020
What quants can learn from the Covid crisis
More nowcasting, less backtesting, and strategies that adapt to new regimes: a manifesto from Lipton and López de Prado
‘Ostrich approach’ to financial stability is a mistake
Denmark’s top supervisor says scaling back IFRS 9 would be a costly error
Three adjustments in calibrating models with neural networks
New research addresses fundamental issues with ANN approximation of pricing models
Pandemic disruption, alt data and Argentinian rates problems
The week on Risk.net, March 21–27, 2020
To handle Covid-19 we need better data
Winton’s David Harding says unconscious bias in test data means epidemic is poorly understood