Covid
Treasury selloff challenges back-office systems, data feeds
FIS and Trading Technologies suffered downtime during peak activity
Market knee-jerks keep VAR models on their toes
With a return to volatility, increased backtesting exceptions show banks’ algos are stretched
The power of neural networks in stochastic volatility modeling
The authors apply stochastic volatility models to real-world data and demonstrate how effectively the models calibrate a range of options.
Buffer stop: Eurex clearing members shunt default fund
Clearing house’s CRO says both members and clients opt to pay more margin instead
On resilience risk, banks prepare to let the bad times roll
Lenders bolster first-line teams and upskill boards as compliance with new rules bites
Herding behavior in energy commodity futures markets amid turmoil and turmoil-free periods
This paper extends typical research on herding behavior to commodity futures markets, investigating five markets and finding herding behavior during the global financial crisis and at the beginning of the Russia - Ukraine conflict.
Baruch maintains top spot in 2025 Quant Master’s Guide
Sorbonne reclaims top spot among European schools, even as US salaries decouple
Op risk data: Santander in car crash of motor-finance fail
Also: Macquarie fined for fake metals trade flaws, Metro makes AML misses, and Invesco red-faced over greenwashing. Data by ORX News
More cleared repo sponsors join Eurex ahead of cross-margining
End of TLTROs for banks and pension fund search for liquidity management tools drives uptake
Forecasting India’s foreign trade dynamics: evaluation of alternative forecasting models in the post-pandemic period
The authors aim to determine how India's foreign trade will change following Covid-19 and the Russia-Ukraine conflict, comparing several forecasting models and identifying that which performs best.
Risk management overhauls juggle speed and independence
Some banks say the 1.5 line of defence responds faster to risk, but supervisors are still divided
Between the lines: why banks are rethinking risk management
Lloyds is not the only bank wanting to reshuffle the three lines of defence as tech risks grow
Cyber insurance costs still rising, say big banks
Op Risk Benchmarking: Cost of covering same exposure as last year now “somewhat” or “significantly” higher
Does investors’ sentiment influence stock market volatility? Evidence from India during pre- and post-Covid-19 periods
The authors use data from during the Covid-19 pandemic to investigate the impact of investor sentiment on equity market volatility, finding negative news to have a stronger impact that positive news of the same magnitude.
Covid-induced Eurobonds mark step towards EU financial cohesion
Successful issuance points to greater pan-European sharing of risk
Regulators urged to promote cyber security investment
Public interest in stopping cyber attacks that could trigger bank runs, says Bundesbank researcher
Japanese banks far apart on credit model efficiency under Basel III
MUFG lowered credit and CCR charges the most among country’s top dealers
US large bank CRE risks could be understated, say researchers
Community banks have the most direct exposure, but systemic banks extend more credit to REITs
A study of China’s financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution
The authors construct a risk measurement model for the financial market during the Covid-19 pandemic, using data from the Shanghai Stock Exchange for empirical analysis.
Buy side would welcome more guidance on managing margin calls
FSB report calls for regulators to review existing standards for non-bank liquidity management
Op risk data: Tech glitch gives customers unlimited funds
Also: Payback for slow Paycheck Protection payouts; SEC hits out at AI washing. Data by ORX News