Opinion
For OTC derivatives, the pricing (still) isn’t right
Financial instrument expert Dirk Schubert on how post-GFC rules have caused prices and valuations to diverge
Is it worth doing a quant master’s degree?
UBS’s Gordon Lee – veteran quant and grad student supervisor – asks the hard question
Equity markets have become so complex as to defy explanation
Experts struggle to rationalise wild swings in a market that is almost unrecognisable
The Collins flaw: backstop turned binding constraint
US legislative tweak was meant to prevent banks from using their own capital models too liberally. It’s now something different
Rough volatility moves to exotic frontiers
New simulation scheme clears the way for broader application of the rough Heston model
Op risk data: Morgan Stanley, Capital One’s data breach double trouble
Also: Citi shells out $45m for misleading stock trading info; coding clangers cost Credit Suisse $9m. Data by ORX News
Op risk data: Mouldy money makes big stink for NatWest
Also: Santander plays Santa; JPM in messaging mayhem; ‘Sterling Lads’ cost HSBC a couple of bricks. Data by ORX News
Covid isn’t killing corporate entertaining – it’s dead, anyway
For a generation of bankers and vendors, client hospitality was part of life. But the party is winding down
Can ESG trading and best execution coexist?
Not everyone thinks making a statement on ESG would work against client interests
Direction of travel on last look becomes clear
Hold time holdouts likely to fall into line in face of increased regulatory scrutiny
NSCC’s year of living dangerously
The CCP’s models are falling short time and time again, and the consequences could be disastrous
What quant finance can learn from a 240-year-old problem
Optimal transport theory offers a data-driven way to calibrate derivatives pricing models
Investment fund leverage: the known unknowns
More work needed on first-mover redemption incentives and margin calls, says Iosco chief
Libor battles aren’t over, but the war is won
Transition will shift into new phase next year, leaving systemic threats behind
Op risk data: Mashreq fined $100m for Sudan sanctions busting
Also: Westpac client scams go west; Navient and AFTS schooled over student loan misrule. Data by ORX News
China regulation: the path clears slowly
Co-ordination among Chinese regulators has improved, but new data law shows continued tensions
Systemic banks: black boxes on green issues
Less talk and more action needed around climate disclosures linked to carbon emissions
Follow the moneyness
Barclays quants extend Bergomi’s skew stickiness ratio to all strikes
EU’s Basel III delay invites all to play for time
The message not to dilute reforms got lost on the way from Frankfurt to Brussels
Op risk data: Deep woe as deep voice clone cons UAE bank
Also: ING mirrors ABN client loan loss; CS lands huge fine for tuna bonds. Data by ORX News
Blame to spare in UK energy supplier debacle
Price cap was part of the problem, but lack of hedging and oversight also contributed
Estimating loan loss provisions may have just got easier
Commerzbank quant proposes shortcut to calculate lifetime loan loss reserves
After FTSE inclusion, China bonds still face CNY hedge hurdles
Lack of pricing competition and costly hedges top buy-side hurdles to investing in China, says ChinaFICC CEO
Stable mates: the interoperability of cryptocurrencies
Why central bank reserves could be a better option for backing stablecoins than Treasuries