Opinion/Our take
The signs of tacit collusion in the dividend play trade
Game theory and real-world data point to a different understanding of how arbitrage in markets works
Balanced trading is calming zero-day volatility fears
UBS finds little evidence that 0DTE options exacerbate volatility
How a machine learning model closed a hidden FX arbitrage gap
MUFG Securities quant uses variational inference to control the mid volatility of options
The AOCI elephant in the DFAST room
After March’s banking crisis, Fed stress tests should adopt harsher and wider ranging rate scenarios
The Catch-22 of US banks’ liquidity buffers
US banks are using held-to-maturity bonds to underpin liquidity adequacy, grating against accounting guidance. What happens if they’re forced to sell?
Inflationary forces (and microbial soups)
The hold of central banks over inflation may be weaker than we thought
What happens when a bank drops off the systemic risk radar?
Russia’s Sberbank skipped this year’s G-Sib assessment. But just because a bank is invisible doesn’t mean it no longer poses a risk
Europe’s regulators play ‘time the downturn’ with CCyB
Indicators justify hikes in countercyclical capital buffer, but shock-driven recession looms large
Pension funds foresaw margin meltdown (a decade ago)
Years of warnings went largely unheeded. Questions may now spread to post-crisis clearing and margining project
Net-zero pledges bring big unknown for credit risk
Uncertainty on how governments plan to curb emissions adds political dimension to credit quality assessments
Time to shine: corporate FX’s surprise glow-up
Corporate FX enjoys its time in the sun as currency headwinds spark corporate hedging needs
EU G-Sibs’ score win is political boost, but no panacea
Carve-out of intra-bloc exposures from BCBS score enshrines banking union, but produces little
Why machine learning quants need ‘golden’ datasets
An absence of shared datasets is holding back the development of ML models in finance
Why even the safest stablecoins could fail
Settlement delays, insolvency risks mean collateralised coins could falter
No soft landings in flight to safety from Russia
Impact of Ukraine invasion hit bank balance sheets hard; its effects look set to continue
The murky world of transparency disclosures
Lack of data granularity on Russian exposures should prompt a rethink by regulators and banks alike
Ukraine conflict reminds quants that operations matter
Quants cannot ignore real-world frictions such as sanctions and market closures
Equity markets have become so complex as to defy explanation
Experts struggle to rationalise wild swings in a market that is almost unrecognisable
Covid isn’t killing corporate entertaining – it’s dead, anyway
For a generation of bankers and vendors, client hospitality was part of life. But the party is winding down
Libor battles aren’t over, but the war is won
Transition will shift into new phase next year, leaving systemic threats behind
EU’s Basel III delay invites all to play for time
The message not to dilute reforms got lost on the way from Frankfurt to Brussels