Opinion
Data shines light on Tibor fragility
Lack of actual transactions in D-Tibor should be considered in fallback discussions
Living with SA-CCR, one year on
Collateral agreements and FX futures may be some of the ways to tackle increased capital costs
Op risk data: Wells Fargo walloped to the tune of $1.7bn
Also: AML breaches at Danske and Santander; Russia’s Radiotechbank scammed. Data by ORX News
Podcast: Zetocha on mini-futures (not those) and illiquid options
Julius Baer equity quant revels in solving problems for the trading desk
Why central banks shouldn’t ignore stablecoins
Rapid growth of stablecoins could impair monetary policy transmission
The real deal: the challenge of real interest rates
Understanding real interest rate dynamics as inflation transitions is vital, say Crédit Agricole traders
GFXC to entice buy-side code adoption with ESG tie-ups
Rating agency partnerships would link FX code adoption to ESG scores
Clock ticking on UK plan for regulatory reforms
Changes to SMCR and short-selling rules least likely to be completed before next election
How did EU regulators miss the FTX horror story?
Gruesome accounting practices and a questionable cast: plenty of grounds to reject Mifid licence
Op risk data: SEC skewers Goldman for specious ESG claims
Also: FTX hacked; Aussie banks schooled for credit insurance mis-sales; more on Glencore. Data by ORX News
ARRC’s trivial fight over term SOFR use
Toyota’s ABS deal should not derail effort to expand use of term rate in derivatives
Podcast: Halperin on reinforcement learning and option pricing
Fidelity quants working on machine learning techniques to optimise investment strategies
A crypto CCP is still a CCP
For crypto infrastructure rules, regulators need speed before perfection, says former BoE adviser
What happens when a bank drops off the systemic risk radar?
Russia’s Sberbank skipped this year’s G-Sib assessment. But just because a bank is invisible doesn’t mean it no longer poses a risk
Degree of influence 2022: In the grip of volatility
Rough volatility, liquidity and trade execution were quants’ top priorities this year
Podcast: Piterbarg and Antonov on alternatives to neural networks
Two novel approximation techniques can overcome the curse of dimensionality
How risk managers can stop the FTX infection from spreading
Segregation and transparency can save investors from imploding crypto trading venues
China congress brings new risks to foreign bank JVs
New political risks add to existing challenges for fully controlled ventures in the country
Op risk data: Dodgy tax practices cost Credit Suisse €240m
Also: Binance blockchain hack; ING’s Polish AML fail. Data by ORX News
The FCM model is not dead yet
Delivery risk means algos should never supplant humans in commodity futures markets, argues exchange executive
A new approach to marking volatility of illiquid options
Julius Baer quant’s arbitrage-free solution overcomes challenge of sparse data
Crypto structured products come of age
After some growing pains, the space is now offering the type of structures seen in TradFi equities markets
Policy-makers must keep the heat on climate transition
As the financial industry shows signs of climate fatigue, regulators need to pick up the slack
Revival of off-balance-sheet financing merits close scrutiny
Banks need more diverse funding sources, but new structures must be vetted carefully