Covid
Two quants use options pricing tools to model Covid-19
New tool aims to gauge wider cost of virus control measures
FX traders pull back to vanilla strategies for emerging markets
Spreads tighten on many currency pairs but liquidity still patchy
Alt risk premia chasing 'tail beta' – again
Quant strategies that failed in the coronavirus crash face a reckoning
EU ‘non-paper’ reveals new effort to delay CCP open access
Negotiations on CCP recovery and resolution could provide a route to postpone Mifid rule
Ronin, the survival of Libor and synthetic data
The week on Risk.net, April 25-May 1, 2020
UK banks put £7.6bn aside for credit losses in Q1
Impairment charges were roughly double aggregate net profits at top lenders
Fed does U-turn on SOFR loans
Libor rates to be used instead for four-year emergency lending schemes
Electronic bond trading stalled in volatile markets
Bid/offer spreads on bond platforms spiked in March and the buy side struggled to trade
BBVA trims capital target following ECB relief measures
Spanish lender targets 225-275bp CET1 management buffer
NDF access will help tame rupee volatility, say dealers
Lifting of restrictions stopping Indian banks trading rupee NDFs allows RBI to intervene offshore
SocGen’s trading VAR unmoved by wild markets
Though market RWAs soared, VAR dipped 7% quarter-on-quarter
Bleak macro view pushes Lloyds’ ECL over £5bn
Anticipated loan losses for commercial loans up 39% on end-2019
PRA relief blunts market risk surge at Barclays, StanChart
Without temporary measures, market RWAs would have been 18% higher at StanChart
Covid loans support six-month extension for Libor lending
UK working group delays Libor loan end-date to March 2021 as emergency loan scheme shuns Sonia
Sonia term rate contenders tested by market mayhem
Regulator-proposed quote approach falters as dealers pull swap prices from screens
Covid relief frees €4.9bn of capital at Santander
Bank sees CET1 buffer climb to 272bp
Emergency Covid loans carry high mis-selling risk, banks fear
Rapid roll-out of government schemes raises legal fears over inequitable client treatment
For ESG raters, clearer skies still signal stasis
As Covid-19 tamps down environmental risk, rating agencies are unmoving on ESG scoring
Foreign banks await guidance on Fed’s SME lending facility
Term sheet for $600 billion scheme silent on whether foreign banks in US can participate
To model the real world, quants turn to synthetic data
Future financial models will be built using artificially generated data
Buy side eyes outsourced trading amid Covid disruption
Pressure on trading continuity drives in-house desks to look outwards
Credit Suisse takes $51m derivatives hedging loss
Net trading revenues down 47% on year-ago quarter
Faith in the machine
The coronavirus crisis could be a defining moment for machine learning in finance
Statisticians grapple with inflation impact of Covid-19
Collecting reliable inflation figures during lockdown is not straightforward