Opinion
Asian exotics desks need to slash risk
Time for structured products desks to curb their appetite for risk
How replication simplifies pricing of vol exotics
Barclays quants replicate knock-out corridor swaps using barrier options in bid to make pricing easier
Op risk data: conduct risk losses top $600 billion since 2010
Swift hack targets State Bank of Mauritius; Capital One, Mashreq, hit by AML fines. Data by ORX News
Humans struggle to keep pace with machine learning
Banks and regulators grapple with ‘XAI’ challenge
EU no-action, double capital and Nasdaq loss
The week on Risk.net, October 27–November 2, 2018
The aftershocks of Einar Aas
Energy could be particularly badly affected by the €114m default of Nasdaq power trader Einar Aas
Lesson from alt premia’s horrible year: be patient
Investment approach’s diversification benefits can’t be relied on in the short term
BlackRock, risk models and regulatory relief
The week on Risk.net, October 20–26, 2018
All the news that’s fit to print
While the benefits of the information revolution are clear, the risks it brings should not be underestimated, says Andrew Lo
Risk.net podcast: OCC’s Fennell on Nasdaq breach, crypto and ‘skin in the game’
Clearing house is “seriously considering” contributing to own default waterfall
Blockchain won’t help the UK to go P2P
Legal and practical problems mean blockchain is unlikely to change the UK’s grid, writes energy expert
Libor, Brexit and a renewed margin dispute
The week on Risk.net, October 13–19, 2018
Lessons from two commodity defaults
Regulators and exchanges need to learn from the Greenhat/PJM and Norwegian Nasdaq defaults
Brexit OTC mutation, chaperones and SA-CCR
The week on Risk.net, October 6–12, 2018
Searching for the end of Giancarlo’s white-paper trail
CFTC chairman faces key test to turn thought leadership into real reform
Compression lessons from Japan
Chinese banks remain reluctant to compress, but Japan’s example offers succour
Let regulators manage no-deal risks
EU can stop swaps market falling over a Brexit cliff – and EU firms will be biggest losers if they don’t act
Fischer Black was right. Somewhat
CFM quants show timing and extent of mean reversion using a highly data-intensive study
Credit data: doom loop depends on sovereign strength
Analysis of 59 countries shows bank and sovereign credit are most likely to be correlated in lower-rated countries
Op risk data: SEC issues first fine under cyber risk rule
SocGen provisions for sanctions violations; has the SMR prompted more bank CEO resignations? Data by ORX News
Swaps data: Sonia growth spreads down the curve
New figures show boom in sterling OIS swaps is not limited to short-dated trades
LCH cancellation notices, Eurex incentives and prop trader rules
The week on Risk.net, September 29 – October 5, 2018