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AOCI worsens across the board at US banks in Q1
JP Morgan, Wells Fargo and Citi hit hardest in trend reversal
Natixis turns on the taps in flow trading
French bank boosts flow business, balancing structured solutions capabilities
Prop shops recoil from EU’s ‘ill-fitting’ capital regime
Large proprietary trading firms complain they are subject to hand-me-down rules that were originally designed for banks
Financial distress prediction with optimal decision trees based on the optimal sampling probability
The authors propose and validate a tree-based ensemble model for financial distress prediction which is demonstrated to outperform comparative models.
Centralized and decentralized payments networks: a simple cost comparison
This paper seeks to determine the feasibility of a widespread adoption of cryptocurrencies in payments by comparing centralized payments systems with cryptocurrencies.
Victor Haghani’s maths proof that stock-pickers will hate
‘Risk matters hypothesis’ extends Bogle’s case for passive investing
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
Revealed: the three EU banks applying for IMA approval
BNP Paribas, Deutsche Bank and Intesa Sanpaolo ask ECB to use internal models for FRTB
BofA, PNC lead Q1 rise in non-performing CRE loans
Commercial real estate write-offs also increased, driven by office loans
Quantifying credit portfolio sensitivity to asset correlations with interpretable generative neural networks
This study introduces a method for assessing the impact of asset correlations on credit portfolio value-at-risk using variational autoencoders (VAEs), offering a more interpretable approach than previous methods and improving model interpretability.
FCA presses UK non-banks to put their affairs in order
Greater scrutiny of wind-down plans by regulator could alter capital and liquidity requirements
Liquidnet sees electronic future for grey bond trading
TP Icap’s grey market bond trading unit has more than doubled transactions in the first quarter of 2024
BNY Mellon dips below Collins floor after surge in standardised RWAs
All nine US banks using internal models now bound by regulator-set approach
Default prediction based on a locally weighted dynamic ensemble model for imbalanced data
The authors put forward a locally weighted dynamic ensemble model which can predict financial institutions' default statues five years ahed.
How ‘re-correlation’ risk could cause a pod-shop unwind
Some think an underappreciated vulnerability might one day lead to a 2008-type crisis
HSBC, Intesa incorporate 2022–23 downturn into SVAR models
Turbulent past two years implied to be worse than GFC in stressed simulations
FICC takes flak over Treasury clearing proposal
Latest plans would still allow members to bundle clearing and execution – and would fail to boost clearing capacity, critics say
Buy side would welcome more guidance on managing margin calls
FSB report calls for regulators to review existing standards for non-bank liquidity management
Ice Europe’s liquidity risk at record high in Q4
Estimated largest payment obligation in euros more than double previous quarter’s figure
Who’s winning the €STR futures race? Depends how you measure
CME, Eurex and Ice all claim to be leading, but experts say it’s too early to pick a winner
Citi halves swaptions book with US retail funds
Counterparty Radar: Mutual funds and ETFs cut exposures by 22% in Q4
CDS review seeks to tackle conflicts ‘elephant’
Isda AGM: Linklaters proposes overhaul for determinations committee - including independent members
People: Isda taps four new directors, O’Callaghan joins CA, Berlinski quits Goldman, and more
Latest job changes across the industry
Industry calls for major rethink of Basel III rules
Isda AGM: Divergence on implementation suggests rules could be flawed, bankers say