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ECB bank supervisors want top-down stress test that bites
Proposal would simplify capital structure with something similar to US stress capital buffer
Quantcast Master’s Series: Walter Farkas, ETH – University of Zurich
Swiss planning, large joint faculty and public presentations shape the programme
Barclays Capital F&O funds jump past $20bn, narrowing gap with Citi
Customer and total funds rose in early November as most FCMs reported declines
Transforming the trade lifecycle with pricing and reference data in the cloud
LSEG is developing its cloud-based data service to reflect how financial institutions now use information to feed systems and generate insight
Institutional priorities in multi-asset investing
Private markets, broader exposures and the race for integration
Hedge fund holdouts boost euro steepener bets into year-end
After some investors took profits in September, those that stayed in the trade are now doubling down
Hong Kong tech stocks flirt with peak vega on structured boom
Note issuers sell vol to flatten exposures as Alibaba, BYD, Tencent zig-zag lower
Analyzing the impact of energy prices on US stock market volatility
Using data from January 1986 to December 2023, the authors explore the time-varying impact of energy prices on the US stock market.
The role of personal credit in small business risk assessment: a machine learning approach
The authors investigate how personal credit data can be combined with business-level and tradeline variables in a machine learning framework to enhance default prediction.
The relative entropy of expectation and price
The replacement of risk-neutral pricing with entropic risk optimisation
Dealer views mixed over future of profitable EM FX carry trade
Emerging market FX carry trades have generated 7.5% returns since April, but dealers question longevity
Global investment outlook: 2026 and beyond
Broadening, steepening and weakening: Franklin Templeton’s top investment ideas for 2026 and beyond
LSEG streamlines post-trade efficiency across cleared and uncleared markets
LSEG’s Post Trade Solutions extends clearing-style efficiencies to bilateral markets, helping Apac clients navigate rising margin and risk management pressures
Equity VAR hovering near four-year high at US banks
Gauges of stock market risk rise 36% in just one year
Dutch pensions weigh hedge unwinds ahead of transition
As January 1 nears, Dutch pension funds consider unwind timing to avoid rush to the exit in thin year-end liquidity
Clearing houses warn Esma margin rules will stifle innovation
Changes in model confidence levels could still trip supervisory threshold even after relaxation in final RTS
Quantcast Master’s Series: Jack Jacquier, Imperial College London
A shift towards market micro-structure and ML has reshaped the programme
Playing the yield: rates rev up structured products
Higher government bond yields and steeper forward curves fuel demand for new range of fixed income structures
JPM stands alone as substitutability cap reins in G-Sib score
Bank of America crosses 500bp threshold for first time, as Basel continues review
Interpretable machine learning for default risk prediction in stress testing
This paper proposes a benchmark model which can be used to predict the forward-looking probability of default of a real-world credit card portfolio.
BlackRock, Citadel Securities, Nasdaq mull tokenised equities’ impact on regulations
An SEC panel recently debated the ramifications of a future with tokenised equities
Statistically distinguishable rating scales
The author suggests a means to design a statistically distinguishable rating scale that is not excessive in relation to the existing observation statistics, allowing for more stable validation.
US G-Sibs post record secured finance flows in LCR
Q3 spike continues long-term shift toward secured funding and lending in liquidity stress scenario
Trend followers search for answers after a year to forget
Quants have new ideas to address strategy’s vulnerability to reversals
12 angry members: why dissent is growing on the FOMC
Hardening views on wisdom of further cuts mean committee’s next meeting is unlikely to be harmonious
Banks scale back short-dated FX swaps trading, BIS finds
Interbank FX swaps hit by higher short-term hedging and funding costs, while longer-dated forwards activity jumps
Ardagh review sparks CDS warnings
Lawyers warn a panel’s decision on the company’s restructuring will have wider implications
CCPs trade blows over EU’s new open access push
Cboe Clear wants more interoperability; Euronext says ‘not with us’