Our take
Degree of influence 2023: Quants thrive on volatility
Climate, crypto and market impact also featured among the top research topics in 2023
Korea’s ‘worst-of’ times are here to stay
Chinese houses’ success in Korean autocalls could stymie hopes of diversifying the product mix
Could intraday FX swaps help reduce settlement risk?
New swap platform hopes to ease funding pains, but can it promote more use of PvP?
Talking Heads 2023: A turf war in credit markets
Banks are looking to reclaim territory they previously ceded to market-makers and private funds
FX-style crypto platforms could bridge gap with TradFi
Emergence of execution-only ECNs, prime brokers and clearing houses brings new confidence in crypto
Skew this: taking the computational burden off basket options
Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant
Shhh, don’t tell: the struggle to keep skew under wraps
Liquidity recycling by clients has made it more difficult for banks to keep skews quiet
How a machine learning model closed a hidden FX arbitrage gap
MUFG Securities quant uses variational inference to control the mid volatility of options
The AOCI elephant in the DFAST room
After March’s banking crisis, Fed stress tests should adopt harsher and wider ranging rate scenarios
China needs an RMB liquidity absorber – HK might be the answer
Increasing HKMA’s CNH debt issuance could help cement renminbi’s role in financial markets
Into the quantiverse: real-world pricing goes arbitrage-free
QRM quants claim to have bridged divide across ‘multiverse’ of fixed-income models
A three-point turn in derivative design
Citibank quant’s triangle method allows information geometry to be applied to hedge structuring
In bank runs and market crashes, it matters how ideas ‘catch’
Contagion episodes show importance of network effects in finance
Hear no EVE, see no EVE
The Fed chastised SVB for poor rate-risk monitoring, but most US banks’ disclosures remain focused on earnings alone
Challenged single-name CDS market takes optimistic turn
Trading has boomed despite recent criticism, but can the market regain its former strength?
How banks can avoid bad haircuts on hedge fund trades
HSBC quant makes case for looking at collateral and funding rates in concert
The Catch-22 of US banks’ liquidity buffers
US banks are using held-to-maturity bonds to underpin liquidity adequacy, grating against accounting guidance. What happens if they’re forced to sell?
After a hack, loose lips won’t sink chips
Ion Group is the latest ransomware victim to stay mum about how it was compromised. No-one benefits from this code of silence
Taking the measure of CMS pricing
Bank of America quants propose comprehensive framework for modelling rate derivatives
Inflationary forces (and microbial soups)
The hold of central banks over inflation may be weaker than we thought
Was Archegos default a one-in-a-million event?
BoE quant says neglecting high leverage and WWR may create conditions for similar blow-ups
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
GFXC to entice buy-side code adoption with ESG tie-ups
Rating agency partnerships would link FX code adoption to ESG scores