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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
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
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
Pricing and funding woes hit gilt repo
QT-driven funding cost rises combined with clients’ price demands see at least two banks pull back
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.
Forecasting India’s foreign trade dynamics: evaluation of alternative forecasting models in the post-pandemic period
The authors aim to determine how India's foreign trade will change following Covid-19 and the Russia-Ukraine conflict, comparing several forecasting models and identifying that which performs best.
Supervisors use generative AI to tame ‘chaotic’ data
Officials merge credit databases with unstructured reports to sharpen bank oversight, explains Banco de España ex-deputy
China set to extend NDF trading scheme for onshore banks
CFETS expected to introduce RFQ functionality and more currencies for non-deliverable forwards
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
Estimated stress losses at CME, Eurex and LCH surge to record high
Latest projections likely behind increases in contributions to CCPs’ default funds in Q2
EU banks fear loss of NSFR repo relief
European Commission must decide by next June; other jurisdictions adopted softer calibration
Running the numbers on Barr’s Basel III endgame revisions
Fed vice-chair’s plan to ease capital requirements for big banks still lacks critical details
UBS Americas’ clearing rate dips post Credit Suisse integration
US arm of Swiss bank cleared $47bn in notionals in the second quarter, the lowest since end-2021
Backtesting correlated quantities
A technique to decorrelate samples and reach higher discriminatory power is presented
Could Trump presidency herald $27bn margin call on World Bank?
Think-tank’s policy plan to pull US out of multilateral threatens AAA rating, ending collateral exemption
New data reveals Pimco is top Ucits interest rate swaps user
Counterparty Radar: US managers and dealers reign supreme in European retail fund space
Goldman appoints new financial risk head
Promotion sees Josh Schiffrin oversee strategy and financial risk, including trading supervision
Op risk data: Shady loans robbing Reliance of $1.1bn
Also: H20’s less-than-liquid holdings, Ripple ripped for $125m, and more WhatsApp slaps expected. Data by ORX News
Endgame manoeuvre: US banks put SLR reform back in spotlight
Plan to ease Basel III brings renewed focus to impact of leverage ratio on US Treasury market
IM and default funds drive big variance in EU bank CCP exposures
BNP Paribas accounts for 55% of top dealers’ €126 billion exposures
Forecasting the Volatility Index with a realized measure, volatility components and dynamic jumps
The authors put forward the REGARCH-2C-Jump model to forecast VIX, with results suggesting that this model can outperform other models in VIX forecasting.
BIS warns of growing offshore reinsurance risk
Deals by private equity-backed life firms could mask risk in $25 trillion industry, report says
Regulators want to fix AT1s. Investors want restraint
Tweaking the instrument that regulators love to hate may be the only way to prevent its abolition
More disclosure touted to temper pre-hedging ills
Transparency could help investors choose a dealer, but will they use the disclosures?