Opinion
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
Kospi losses, Priips and a stable swap market
The week on Risk.net, December 15–21, 2018
Swaps data: volumes up amid volatility
Data shows strong growth in cleared OTC derivative volumes in second half of 2018, says Amir Khwaja
Credit data: how US industries have fared under Trump
At the halfway point in the administration, time for a credit check, writes David Carruthers
Brexit, FRTB and worries about CLOs
The week on Risk.net, December 8-14, 2018
Margin model revamp should top 2019 agenda for Asian CCPs
As rates rise and trade tensions grow, CCPs must be prepared for higher volatility
What’s Finnish for ‘too big to fail’?
Strange case of Nordea highlights flaw in G-Sib assessments
You don’t need to sacrifice accuracy for flexibility
BAML quant proposes option pricing model that softens conflict between the two properties
If CLO investors flee, defaults could snowball
High yield borrowers relying on a steady stream of leveraged loan issuance that could quickly run dry
Doing well by doing good
Drug approval swaps and megafunds can channel capital towards world’s greatest problems, writes MIT’s Lo
We need a different approach to supervisory stress-testing
Confusing processes turn tests into template-filling exercise, says Garp’s Jo Paisley
HM Treasury’s Brexit surprise
Statutory instruments throw up unwieldy divergence in Mifid II and Emir rules
Brexit, clearing and post-Libor problems
The week on Risk.net, December 1–7, 2018
Op risk data: SocGen hit with $95m money laundering fine
Citi, JP Morgan settle Sibor rigging claims; Europe matches US on AML fines. Data by ORX News
Chinese bail-ins, Greek bonds and the Risk Awards
The week on Risk.net, November 24–30, 2018