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LCH set to take CGBs as collateral
Asia Risk Congress: US dollar and euro CGBs confirmed for next year while CNY versions remain a goal
Analyzing credit risk model problems through natural language processing-based clustering and machine learning: insights from validation reports
The authors use clustering and machine learning techniques to analyze validation reports, providing insights to the development, implementation and maintenance of credit risk models.
Energy Risk Asia Awards 2024: The winners
Winning firms adapt to change with exemplary risk management skillsThe past 12 months have provided commodities firms with some much-needed respite from the dizzying volatility and steep price rises of previous months. However, market disruptions…
Only human: the secret of reliable LLM workflows
This article explores the research behind a recent Risk Live Europe session, examining the strengths and limitations of LLMs and offering insights on how to effectively integrate them into business workflows
Managed services under the spotlight
A report focusing on the advantages and possible drawbacks of taking on managed services, and outlining LSEG’s managed services strategy
Finland’s Ilmarinen goes back to basics
Talking Heads: Once one of the few funds that would enter bank risk recycling trades, recent overcrowding has seen it pivot to listed equities
EU dealers added €38bn of Level 3 assets in 2023
Groupe BPCE, DZ Bank led accumulation of mark-to-model instruments
India’s index inclusion could herald future flow shifts
Limited boost to FX flows after Indian govvies debut on JPM index may change as others follow suit
Avon CDS holders win payout despite narrow debt auction
With swap volumes outweighing eligible deliverable debt, holders feared contracts could be worthless
IM requirements at LCH ForexClear hit record high in Q2
Latest figures show a 32% increase quarter on quarter to $10.7bn
Citi revealed as top index CDS dealer to Ucits funds
Counterparty Radar: Novel data shows US banks captured nearly 90% of uncleared notional volume in European markets
Derivatives pricing with AI: faster, better, cheaper
Pascal Tremoureux, head of quantitative research at Murex, describes the firm’s mission to replicate derivatives pricing models through machine learning – slashing time and costs in the process
Counterparty risk innovation of the year: Cumulus9
Cumulus9 proved standout vendor by bringing inventive solutions to the market, securing the award for Counterparty risk innovation of the year at the Risk Technology Awards 2024
Ruled out: can regulators settle the pre-hedging debate?
Market participants are at odds over the practice and whether regulation or principles can settle the score
BofA quants propose new model for when to hold, when to sell
Closed-form formula helps market-makers optimise exit strategies
Banks urged to boost third-party scrutiny amid AML crackdown
Three US regulators highlight deficiencies in banks’ due diligence on fintech partners
JPM’s EU arm outpaced bloc’s top dealers on OTC derivatives in 2023
A 30% surge in notionals coincided with a departure from central clearing
Cable basis set to shrink as pension buyouts dwindle
BoE rate cuts and tightening US credit spreads expected to further normalise the sterling-US dollar cross-currency basis
Clearing members welcome JSCC initial margin reforms
Stress loss add-ons touted as path to ensure defaulter pays and default fund contributions shrink
Are regulators wrong to think of AT1s as debt?
Bank capital bonds face criticism. One answer might be to treat them as ‘fixed-income equity’
Supply chain decoupling fires up alpha focus at BofA
Talking Heads: Stock dispersion sees funds gross up on long/short baskets, while US structured notes come of age
SGX-DC’s prefunded resources short of stressed losses 37 days in Q2
Latest round of shorftalls linked to double-member default lay bare lack of Cover 2 requirement
Barclays disputes CDS committee decision ahead of auction
Representing the bank, law firm Milbank argues the committee’s approach risks constraining the market and goes against expectations
How Risk.net’s robots unlocked Ucits trade data
Machine learning tool helps reveal the largest European derivatives users – and who they trade with
Pricing and funding woes hit gilt repo
QT-driven funding cost rises combined with clients’ price demands see at least two banks pull back
UniCredit-Commerz merger could spawn sixth-largest EU G-Sib
Analysis of banks’ risk indicators suggest combined entity could have larger systemic footprint than ING and BPCE
SEC streamlines overhaul of stock trading rules
Tick size and access fee rules simplified from first draft, but Peirce still questions rationale
Machine learning prediction of loss given default in government-sponsored enterprise residential mortgages
The authors apply machine learning techniques to Loss Given Default estimation, identifying key variables in LGD prediction and evaluating the performance of various models.