Opinion
Could machine learning improve CVA and IM calculations?
Banks have built ways to calculate CVA more quickly, but neural networks could offer more accurate method
Factors’ tails are fatter than you think
Investors should beware extreme losses from factor investing strategies
FRTB, Brexit brain drain and problems with RFRs
The week on Risk.net, February 23-March 1, 2019
Brexit novations, ML and the failure of alt risk
The week on Risk.net, February 16–22, 2019
Sefs, Libor fallbacks and risk governance in Asia
The week on Risk.net, February 9–15, 2019
Aussie banks: a right Royal mess
Misconduct probe sparks board changes and bout of introspection at Big 4
We need to talk about Collins
Standardised capital has become the binding constraint for all US G-Sibs bar Goldman and BNY Mellon
Swaps data: SOFR volume and margin insights
Data shows recent leap in SOFR trades – and hints at growth in synthetic swaps
SOFR problems, FRTB and ethical AI
The week on Risk.net, February 2–8, 2019
Credit data: falling default risk for China’s banks
Economic data may be relatively gloomy, but default probabilities for lenders fell sharply last year
Op risk data: $1.5bn subprime hit for GE Capital
ED&F Man’s commodities loss; cyber events spiral in 2018. Data by ORX News
Libor, G-Sib charges and Metro Bank’s risk errors
The week on Risk.net, January 26–February 1, 2019
Calling out autocallable pricing
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
Data mining, machine learning and problems with autocalls
The week on Risk.net, January 19–25, 2019
Dabbling in data science won’t cut it
Banks are seeking data-led boost for research arms – only a few will succeed
Volcker, US repo and the risk-advisory robot
The week on Risk.net, January 12-18, 2019
Op risk data: JP fined $135m over depository receipts
Top five losses, plus review of Barclays whistleblower fine. Data by ORX News
A tale of two CCPs
Nasdaq and Ice breaches carry warnings for the market
Does credit risk need an expected shortfall-style revamp?
Quants propose tail risk-sensitive measure for counterparty credit risk
Teach history to avoid mistakes of yesterday’s quants
Quant grads should be taught follies of LTCM, Gaussian copula and London Whale, writes UBS’s Gordon Lee
Capital changes, Ion and post-Libor vagueness
The week on Risk.net, January 5–11, 2019
Credit risk quants are hitting the tech gap
An appetite to cut the costs of IRB is constrained by tougher regulatory scrutiny
CDS, credit models and the repo spike
Two weeks on Risk.net, December 22, 2018 – January 4, 2019
Learning algos that learn how to learn
Knowing what to remember and what to forget could help machines beat quant and discretionary investors