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Random matrix theory provides a clue to correlation dynamics
A growing field of mathematical research could help us understand correlation fluctuations, says quant expert
Can CCPs zone in on improved margin buffers?
Dynamically adjusting margin add-ons could reduce cyclical funding demands
Risk committees: designing a horse and getting a camel?
When we examine what’s required of them, do risk committees hold water, asks ex-SEC risk oversight chief
Op risk data: Brazil’s Líder unredeemed
Also: CEO clawbacks; Barclays timeshare trials; Fifa bankers’ foul play. Data by ORX News
Direct clearing could solve CCP concentration risk
Allowing more clients to self-clear can reduce CCPs’ reliance on a few firms, says ex-Chicago Fed adviser
ECB certificates: a ready-made euro safe asset
The CMU must be backed by a stock of safe assets. The ECB can supply them, writes Daniel Hardy
A step closer to the perfect volatility model
Research on ‘rough volatility’ gives fresh insight into financial fluctuations, quant expert explains
The value rally that never was
Many value stocks stayed flat on November 9 vaccine news, says factor investing expert
Op risk data: Firm-wide control fails cost Citi $400m
Also: Deutsche draws fire and AML fine over Danske trades. Data by ORX News
Strengthening supervisory co-operation in derivatives markets
Heath Tarbert and Jon Cunliffe set out a framework for regulating the global derivatives markets
Whales or minnows? Sizing up crowded trades
Strategies for measuring crowding in trades can help to avoid its effect, writes quant fund founder
Op risk data: Record $920m fine for JP metals ploy
Also: counting the cost of Covid cons; Citi audio dynamite. Data by ORX News
Quants are key to judicious ESG
Meaningful data analysis critical to future of socially responsible investing, writes Antonia Lim
Don’t blame HFT: plug liquidity gaps for market stability
Dynamic fees could incentivise liquidity when and where it’s most needed, writes quant fund founder Bouchaud
Bank resolvability in the time of Covid
We will balance flexibility and resilience, says director of EU’s Single Resolution Board
Op risk data: Revlon lenders won’t make up over Citi error
Also: Cyber fines on the up; and more fat-finger fails of yore. Data by ORX News
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