Volatility
Hedging specialists vie for swelling FX overlay business
Custodians, banks and others look to capitalise on trend for buy side to outsource currency hedging
NSCC’s liquidity pool twice short of payment obligation in Q3
The CCP reported a shortfall in its qualifying liquid resources for the third consecutive quarter
Optimal transport for model calibration
Volatility models and SPX/VIX joint dynamics are calibrated using optimal transport theory
Investors question fixes for a quant strategy that’s stalled
Banks are revamping intraday trend strategies; buy-siders aren’t sure it’ll work
Data analytics set to fuel change in the oil market
Privileged data insight is no longer the sole preserve of the world’s oil conglomerates. Access to insightful analytics is providing a new competitive edge for smaller and mid-sized commercial and trading firms in the oil market, helping them navigate…
JP Morgan, Goldman lead US banks in cutting VAR-based charges
On aggregate, requirements connected to commodity positions fell the most, down 28% from end-June
US unit of TD Group close to a VAR breach in Q3
Largest loss-to-VAR ratio at the firm was highest among 10 US intermediate holding companies
Bank of America, BNY Mellon incur VAR breaches
The second consecutive backtesting exception for the custodian bank brings it closer to a higher multiplier
Sticky varswaps
Bergomi's skew-stickiness ratio is extended to the setting of variance swaps
Deutsche’s market RWAs hit 5-year low on VAR multiplier cut
Regulatory audit greenlit 0.5x cut in multiplier following bank’s overhaul of VAR approach
FXPBs wary of Turkish lira risk, say hedge funds
Primes hesitant to take big positions on embattled currency
EU’s new carbon-scoring metric bedevils investors
Buy-side risk survey 2021: Evic could have harmful consequences for green investing
Copping out on climate change: buy-side risk survey
Only 9% say front-line staff have climate role today – specialists call for better metrics and link to pay
Nomura’s LCR hits new record
Glut of HQLA stock compounds lower cash outflows to push ratio to 273%
Podcast: Antonov on pricing not-so-vanilla rates products
New model makes it easier to coherently price correlated derivatives
Making the cut: EU eyes Isda’s carbon trading proposals
EBA fears suggested treatment of emissions would be misaligned with rest of FRTB
Cryptocurrency versus other financial instruments: how a small market affects a large market
This study analyzes the impact of cryptocurrencies on the function and position of financial markets.
NSCC caught $5 billion short in June
Worst-case losses would have wiped out the CCP’s available liquid resources on two separate days in Q2
Equity derivatives house of the year: BNP Paribas
Asia Risk Awards 2021
Collateral management solution of the year: Adenza
Asia Risk Awards 2021
Buy-side trading system of the year: Tradeweb
Asia Risk Awards 2021
OTC derivatives clearing: no turning back
Clearing advocates have plenty of reasons to feel optimistic about the future
An old model can shed new light on how flows shape prices
Market microstructure theory may also explain long-term patterns in stock markets
End of SVAR relief hikes market risk at Canada’s ‘Big Five’
Market RWAs increased by C$13.9 billion over the three months to end-July