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The unintended impact of swap stays on financial stability
As swaps leverage shrinks, bankruptcy stay rules are not guaranteed to reduce systemic risk, says economist
Valuing scenarios with real option pricing
Risk managers could use Black-Scholes to help drive strategy, writes René Doff
To make sense of complex systems, send in the agents
Standard quant models cannot comprehend a radically complex reality, writes Jean-Phillippe Bouchaud
Op risk data: Goldman 1MDB settlement swells 2020 loss tally
Also: Deutsche fined over Epstein KYC failings; collateral fraud in focus. Data by ORX News
Op risk data: Losses plummet during lockdown
Also: Wirecard dominates legacy losses; SEB hit with massive AML fine. Data by ORX News
Swaps data: initial margin soars in Q1 2020
Model procyclicality drives wide variation in CCP IM hikes through Covid-19 volatility, writes Amir Khwaja of ClarusFT
Why a European bad bank may not be the right answer
Types of loans most likely to become distressed due to coronavirus don’t suit EU-wide solution
Power surge: the evolution of PPAs
Energy industry expert looks at key developments in the power purchase agreements market
Beware of cliff edge in Libor fallbacks
Derivatives users may see a sudden change in the value of payoffs when Libor ends, Coremont analysts write
Sometimes it’s fine to be boring
Diversification puts portfolios in the middle of the pack – where investors feel safe, writes Antonia Lim
Scared of fallen angels? So are the rating agencies
Data shows rating agencies more reluctant to downgrade firms at the investment-grade boundary
Op risk data: Morgan Stanley falls foul of Dutch tax office
Also: JP Morgan settles crypto fees class action; banks debate Covid-19 scenarios. Data by ORX News
Collateral must be part of monetary policy equation
Incorporating collateral efficiency into IS-LM model reveals side-effects of QE
Credit data: coronavirus takes toll on corporates
Financials weathered the first phase of the lockdowns, but most other sectors were hit hard
Now is not the time to change the rules on CCP resolution
FSB overstepping brief by putting CCP operators’ equity on the hook in resolution, writes former CFTC chair
Swaps data: record trading volumes in March
CDS activity doubles through Covid-19 turbulence, while US interest rate swap trading marks new high
Op risk data: IBK snagged in money-laundering ops to Iran
Also: foul play called on Hapoalim’s football bribery scheme. Data by ORX News
Negative oil prices put spotlight on investors
What part did Bank of China and other investors play in last month’s oil rout, asks derivatives veteran
When are index delays justified? Industry standards are vital
Relying on discretion is not sustainable, argues index executive in wake of rebalance delays
Does rates reform for structured notes lack structure?
Philipp Orgler and Vladimir Piterbarg say it’s time to focus on Ibor transition for structured notes
How regional banks could shape US Libor replacement
Regulators convene working group to address credit sensitivity concerns
Swaps data: how the market responded to Covid-19
Swap rates saw massive moves as volumes peaked, writes Amir Khwaja of ClarusFT
Regulatory lenience over Covid-19 must be carefully judged
Former ECB supervisory board member says unwinding regulatory relief later will take courage
Op risk data: Outsourcing losses loom in lockdown
Also: Swedbank hit with huge AML fine; record Russia fine for StanChart. Data by ORX News