Opinion
BofA quants propose new model for when to hold, when to sell
Closed-form formula helps market-makers optimise exit strategies
Op risk data: Shady loans robbing Reliance of $1.1bn
Also: H20’s less-than-liquid holdings, Ripple ripped for $125m, and more WhatsApp slaps expected. Data by ORX News
Another post-Libor rate aims to clear Iosco bar
After two rivals were slapped down by the benchmark overseer last year, will Axi fare differently?
Nvidia is growing up. It’s not settling down
Chip maker is a mega cap that doesn’t act like one
FX forwards dealers face added challenges in P&L analysis
Mark-out tools for forwards and swaps trading may not be a panacea
Can history resolve factor investors’ p-hacking questions?
Quants seek reassurance in the far distant past
FX algo users change tack to navigate market doldrums
BestX data finds traders ditching TWAP in favour of more opportunistic execution styles
Op risk data: Payday lender Skytrail sees $1.4bn disappear
Also: Cartel claims cost European bond dealers dearly, plus oil price gouging and crypto cover-ups. Data by ORX News
For US Treasury troubles, treat the cause not the symptom
Regulatory alarm about hidden risk in the Treasury futures market misses the point, fund association execs write
Corporate ‘greenium’ reveals effect of ESG rules on returns
Analysis of sustainable products shows how SFDR has caused a shift in investor behaviour, writes economist
Honey, I shrunk the Fed. (Not a sci-fi fantasy)
Promoting the discount window may be the Fed’s key to shrinking its $7trn balance sheet, says Bill Nelson
Insurance double-hatters like Apollo can expect more scrutiny
Regulators are homing in on conflicts of interests at private-equity-owned insurers
Podcast: Alvaro Cartea on collusion within trading algos
Oxford-Man Institute director worries ML-based trading could have anti-competitive effects
For the Fed discount window, destigmatisation starts at home
US supervisors must change tack to encourage central bank liquidity utilisation, writes Bill Nelson
Op risk data: UBS takes a giant Greensill pill
Also: Nasdaq insider trading rap; Trafigura travesty; further Citi fat-finger fail. Data by ORX News
Podcast: Lorenzo Ravagli on why the skew is for the many
JP Morgan quant proposes a unified framework for trading the volatility skew premium
Sovereign ‘greenium’ differs more than you might think
Term structure data shows wide variation in yields for green sovereign debt, argues economist
Quants see promise in DeBerta’s untangled reading
Improved language models are able to grasp context better
How a ‘sushi circle’ approach can improve credit risk management
AI can help banks shift from manual corporate loan reviews to continuous, digitised risk monitoring, as four practitioners explain
Gearing up for FX’s blockchain resurgence
FX markets can benefit from the digital asset revolution but need to pay attention now, says LMAX Group’s Mercer
Counterparty risk model links defaults to portfolio values
Fed’s Michael Pykhtin proposes using copula models to capture effects of margin calls on default risk