Opinion
Op risk data: TD Bank takes US reg pill in purported drug-related AML fails
Also: SCB fraud bill rising fast; Postbank pain for Deutsche Bank. Data by ORX News
Are market-makers better at dealing with central bank intervention?
Lack of pain following BoJ intervention suggests dealers are better at handling event risk
Podcast: Olivier Daviaud on P&L attribution for options
JP Morgan quant discusses his alternative to Greeks decomposition
Falling T2 balances bode well for eurozone’s stability
Impact of fragmentation would be less severe today than in 2010s, says Marcello Minenna
Op risk data: Tech glitch gives customers unlimited funds
Also: Payback for slow Paycheck Protection payouts; SEC hits out at AI washing. Data by ORX News
Hedge funds must race the clock to check their dealer-rule status
Working out whether a firm is caught by SEC registration requirement could take months
Filling gaps in market data with optimal transport
Julius Baer quant proposes novel way to generate accurate prices for illiquid maturities
Why Europe still awaits a private credit CLO
Tricky questions face managers that plan to launch the structure on the continent
The signs of tacit collusion in the dividend play trade
Game theory and real-world data point to a different understanding of how arbitrage in markets works
Decades of history says you can beat high inflation with quality
Factors such as momentum and value generally outperform the market irrespective of inflation, but new research suggests quality stocks are best when prices are rising rapidly
Esma faces tough task in implementing Emir 3.0
EU regulator must contend with tight timeframes and increasing workload without additional resources
Op risk data: Lloyds lurches over £450m motor finance speed bump
Also: JPM trips up on trade surveillance; Reg Best Interest starts to bite. Data by ORX News
Georgios Skoufis on RFRs, convexity adjustments and Sabr
Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swaps
Quants are using language models to map what causes what
GPT-4 does a surprisingly good job of separating causation from correlation
China stock sell-off will test securities firms’ risk managers
Regulatory measures to support stock market could add to risks facing securities sector
Why some UK pensions might choose to run on
Buyouts are booming but trustees are thinking about alternatives, too
Choppy inflation may be the worst inflation
Investors can build strategies to suit fast-rising prices, or slow-rising prices. What trips them up is the inflation foxtrot: slow, slow, quick, quick, slow
In a world of uncleared margin rules, Isda Simm adapts and evolves
A look back at progress and challenges one year on from UMR and Phase 6 implementation
A dynamic margin model takes shape
New paper shows how creditworthiness and concentrations can be reflected into margin requirements
Op risk data: Morgan Stanley clocked in block trading shock
Also: HSBC deposit guarantee gaffe; Caixa hack cracked; reg fine insult to cyber crime injury. Data by ORX News
Digging deeper into deep hedging
Dynamic techniques and GenAI simulated data can push the limits of deep hedging even further, as derivatives guru John Hull and colleagues explain
Zero margin is the real risk in zero-day options
Risk management practices built for slower markets are dangerously outdated
How AI can give banks an edge in bond trading
Machine learning expert Terry Benzschawel explains that bots are available to help dealers manage inventory and model markets
How HSBC got better at pricing share buy-backs
Monte Carlo approach generates faster, more reliable pricing for complex deals