Opinion
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
Gamma zero: an overlooked signal of volatility is flashing red
Markets are most erratic when option hedging exposures are flat
Cyber incident reporting: convergence is key
FSB working group chair advocates common reporting framework and taxonomy
Op risk data: Banks slapped for lax WhatsApp oversight
Also: Wintermute suffers crypto hack; CS settles over Archegos and Greensill. Data by ORX News
Are decentralised exchanges the future for trading?
Success of blockchain venues has implications even beyond crypto
How to hone NLP’s detection skills: a cue from a super-sleuth
With a sharper focus, AI readers could help detect hidden exposures for investors
Europe’s regulators play ‘time the downturn’ with CCyB
Indicators justify hikes in countercyclical capital buffer, but shock-driven recession looms large
Pension funds foresaw margin meltdown (a decade ago)
Years of warnings went largely unheeded. Questions may now spread to post-crisis clearing and margining project
Talking Heads 2022: Rates market ruckus
Inaugural interview series looks at how sell-side traders are adapting to a world of surging inflation and rates
Op risk data: Rost Bank execs conspired in 107bn ruble ruse
Also: Citi stumbles on market abuse; Jefferies faces latest fine over phone misuse. Data by ORX News
Growth to value, and back via quality
Inflation-fuelled stock rotations are full of complexity
Should you hedge or should you wait?
New paper introduces quantitative framework for optimal FX hedging