Data
Green figures: EU funds search for sustainable taxonomy data
Fund managers must report compliance with taxonomy before many investee companies
Market’s mystery jumps might be predictable after all
Endogenous volatility has a tell-tale pattern, quants find
The art of effective market risk management during a period of transformation
This white paper takes a current view of market risk management, its growing complexity and how it can be transformative to institutions as the industry is widely recognising what are the right approaches to addressing evolving risks.
Quant fund aims to tame bitcoin, and 39 other digital assets
Ex-Morgan Stanley, Winton vets reimagine institutional risk management for volatile crypto markets
Goldman inks modelling, data tie-up with MSCI
Move to cross-sell risk analytics could herald further content deals for bank’s Marquee platform, says sales chief
Insider fraud – Getting security and controls right
Even prior to the Covid-19 pandemic, insider threats were reported to be increasing with 48% of firms indicating that incidents were on the rise within their organisations. Where are so many firms going astray?
Grasping new technologies is a key challenge for energy risk managers
Understanding what new technologies offer is a top challenge for energy risk managers, survey finds
Swipe left: repo reporting no match for Brexit, or collateral
A happier start than Emir, but SFTR honeymoon is over now that trades report separately in UK and EU
Esma plan ‘won’t help’ fix Mifid swaps data problem
Dealers say proposal to force disclosure of all big-bank OTC derivatives trades won’t improve data
EU banks fret over mismatches on ESG disclosure rules
Different timelines for banks and their clients could stymie comparisons between banks
Modeling realized volatility with implied volatility for the EUR/GBP exchange rate
This paper concerns the application of implied volatility in modeling realized volatility in the daily, weekly and monthly horizon using high-frequency data for the EUR/GBP exchange rate.
Rough volatility’s steampunk vision of future finance
Some of the trickiest puzzles in finance could be solved by blending old and new technologies
Efficient representation of supply and demand curves on day-ahead electricity markets
The authors model the supply and demand curves of electricity day-ahead auctions in a parsimonious way by building an appropriate algorithm to present the information about electricity prices and demand with far fewer parameters than the existing…
Funds breathe out as EU regulators ease ESG data rules
Majority of mandatory indicators become optional in final draft of sustainability regulation
Nowcasting networks
The authors devise a neural network-based compression/completion methodology for financial nowcasting.
Top 10 op risks 2021: theft and fraud
Changes in working practices since Covid shift angle of criminal attack on financial institutions
Italian job: the real UK stock trading heist
Italy has not been seen as a candidate to pick up business from the UK – until now
Research on listed companies’ credit ratings, considering classification performance and interpretability
This study uses the correlation coefficient and F-test to select the initial features of a credit evaluation system, and then a validity index for a second selection to ensure that the feature system has the optimum ability to discriminate in determining…
UK seeks to take the lead on climate risk standards
New research centre intended to help UK financial firms build better climate risk models
The impact of energy costs on industrial performance: identifying price and quantity effects in the aluminum industry using a data envelopment analysis approach
The authors build a frontier function model with technical and cost efficiency measures to assess the impact of energy costs on competitiveness in the aluminum industry, a heavy energy consumer, by identifying what may be attributed to price and quantity…
My kingdom for the right copula
Copulas can still deliver if chosen with due attention to intuition and data, says quant fund chair
People moves: new CRO at LCH, changes at Natixis investment bank, and more
Latest job changes across the industry
Banks boot up next-gen FX hedging bots
Automated FX hedging can save money and time, proponents argue. But corporates have qualms