Opinion
Credit data: the retail apocalypse continues
Consumers are spending, but brick and mortar retailers continue to struggle
Allocation models that know their unknowns
Quants say probabilistic programming beats machine learning in balancing strategies
CCP risks, Sonia shift and CVA carve-out
The week on Risk.net, January 4–10, 2020
Small, speculative clearing members – are they worth the risk?
CCPs need new tools to scrutinise their members, for everyone’s good health
In factor timing, ‘where?’ matters as much as ‘when?’
Goldman quants’ thought experiment shows timing works best for low-Sharpe strategies
Margin test, open access, repo stress
The week on Risk.net, December 14–20, 2019
Zombie Libor, climate risk flaw, Mifid’s closed door
The week on Risk.net, December 7–13, 2019
Credit data: rising default risk for millennial companies
WeWork’s problems hint at the challenges facing companies focused on millennial customers
Hedging rate exotics, Bergomi-style
New paper by Nomura quant applies volatility model used in equities to exotic rate hedging
Yield-hungry investors shirk bail-in bond buffet
Banks fear the buy-side’s appetite for MREL debt is on the wane
Swaps data: third-quarter clearing volumes increase across all asset classes
Dollar and euro rates clearing surges 60% year on year, but little shift in CCP market share
IM phase five – Smaller on bang, bigger on complexity
The initial margin ‘big bang’ may have been reined in by last-minute relief, but dealers aiming to get hundreds of buy-side firms over the documentation finish line by September 1, 2020 fear a compliance bottleneck
Op risk data: Brazil bank faces near-$1bn tax probe fine
Also: UBS hit for $77m for spread hikes; PPI costs top £50bn. Data by ORX News
Replication can illuminate private equity’s nascent risks
New benchmarks paint a less flattering picture of buyout funds
The backlash against green weightings
Banks get a lot of flak for not doing enough to mitigate climate risks
Forex code cold shouldered; Volcker fires up FRTB; Tradeweb trends
The week on Risk.net, November 30–December 6, 2019
Death, taxes and technology risk
Exchanges must plan for the certainty that their technology will fail, sometimes
MVA taking the long road to acceptance
Four years on, the adjustment is still not a standard part of non-cleared swap pricing
CCPs, margin ease and equity option freeze
The week on Risk.net, November 23–29, 2019
When the data’s not there, expert-led models could help
Missing data is a problem. Expert elicitation taps the knowledge of many, say consultants
The end of the fintech gold rush?
Why did so many new fintech start-ups fail, and how can ‘fintech 2.0’ succeed, asks consultant
Bad clocks, Ion knocked, Sef-based swaps
The week on Risk.net, November 16–22, 2019
CCP defaults, Pillar 2 charges and robo-raters
The week on Risk.net, November 9–15, 2019
Swaps data: CCPs – a systemically important market infrastructure
Disclosures show heavy concentration of initial margin in top three clearing services, writes Amir Khwaja