Opinion
Warrants proving a big opportunity for Asia private banks
While the products are booming amid fall-off in principal-protected structures, some distributors are missing out
Climate risk, fixing Libor and tough times for US G-Sibs
The week on Risk.net, November 7-13, 2020
Breaking barriers in options pricing
A new technique for pricing exotic options unifies two classic models
SME risks take centre stage at European banks
Lenders could suffer if government support for small business starts to wane
Op risk data: Firm-wide control fails cost Citi $400m
Also: Deutsche draws fire and AML fine over Danske trades. Data by ORX News
FVA pain, ethical hedging and a degraded copy of Trace
The week on Risk.net, October 31–November 6, 2020
Why the US election fallout was not a surprise to banks
A contested result was unexpected, but scenario planning meant banks weren’t unprepared
Basis trades: a test case for regulating risky activities
FSOC is right to focus on dangerous behaviour, but Treasury meltdown reveals a complex chain of actors
One man’s trash is another man’s Treasury
With yields at record lows, investors are asking how much protection bonds will offer in a future crisis
Basis traders, prime brokers and election risk
The week on Risk.net, October 24-30, 2020
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