Opinion
Bitcoin’s busy month
Bitcoin could give us a safer central clearing mechanism
Credit data: a tough year for South African financials
Default risk rose steadily for 36 firms during Zuma’s final months of rule, writes Credit Benchmark’s David Carruthers
Waiting for Giancarlo
CFTC no-action relief to be codified, but big changes on de minimis and position limits still distant
How Asia’s structured products dodged equities sell-off
Dealers deserve praise for improved structures, greater diversification and better risk transfer
Forex mispricing, Pillar 2 and the volatility trap
The week on Risk.net, February 10-16, 2018
Now casting: options traders needed for disaster movie
Gamma deserves share of spotlight in volatility drama
Swaps data: the monopoly effect in clearing
There are only a handful of products where clearing volumes are evenly split between rivals
Credit data: Brexit gloom lifting for UK companies?
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
Three ways to improve stress testing
Better scenario choice, iterative testing and top-down approaches could improve performance, says Ahraz Sheikh
Dollar cost averaging won't work for energy hedging
Long periods of losses make strategy impractical, says energy consultant
What causes forex correlation swaps to be mispriced?
UBS quants show prices can differ by up to 25 correlation points if products modelled accurately
Vix panic, op risk models and forex option clearing
The week on Risk.net, February 3–9, 2018
Monthly op risk losses: AML failings cost banks $1.1bn
Also: Japanese crypto exchange loses ¥58 billion in hack; Deutsche, UBS, HSBC settle spoofing claims. Data by ORX News
Time to move on from risk-neutral valuation?
Risk-neutral valuation could be replaced by models with a subjectivity element, writes mathematical finance head
Banking union: big bang or damp squib?
Eurozone needs package of interrelated measures to prevent project going backwards
Brexit issues for carbon market must be solved soon
UK departure from EU ETS is causing headaches for energy traders and risk managers, writes energy consultant
Conduct risk, CCP defaults and bitcoin futures
The week on Risk.net, January 27-February 2, 2018
How energy players are reaching the limits of hedging
Commodities firms face lasting changes in 2018
Bull run shows up differences in factor strategies
Market exposure, factor construction and risk budgeting have impact, writes Luc Dumontier of LFIS
Forex delays, Mifid confusion and EU movement on CCPs
The week on Risk.net, January 20-26, 2018
Forecasting crypto crashes with bubble analysis
Analysis finds bubble signals in bitcoin and ether, write trio of quant risk managers
Basel output floors, VM rules and taper talk
The week on Risk.net, January 13-19, 2018
Basel op risk modelling blow shifts focus to Pillar 2
Demise of AMA leaves industry needing risk-sensitive approach for calculating top-up capital, says consultant
Top 10 op risk losses of 2017: crisis-era fines abate
Total losses fell by half last year with large fines slowing; frauds take top three slots. Data by ORX News