Our take
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
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
ARRC’s trivial fight over term SOFR use
Toyota’s ABS deal should not derail effort to expand use of term rate in derivatives
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
China congress brings new risks to foreign bank JVs
New political risks add to existing challenges for fully controlled ventures in the country
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
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