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Axoni readies blockchain platform for equity swaps
Service aims to smooth swaps reconciliation – ‘the Holy Grail’ – for Goldman, Citi and other backers
Europe’s regulators grope for value of software
In the US, the cost of software is not taken out of capital. Europe is fumbling for something similar
VAR lookbacks should shift dynamically, research suggests
Change-point analysis method helps identify regime shifts in equities markets, quants claim
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Risk Quantum
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Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
Editors' choice
Esma proposal may limit short-selling
Reporting requirement would bar securities without LEIs from being used in financing transactions
Big Figure
Paper cuts
Japanese banks Norinchukin and Nomura have switched to a new system for calculating counterparty risks, which cut trillions of yen from their leverage exposures. The effects on risk-based capital, however, were different for each. The two banks adopted the Basel Committee-mandated standardised approach for measuring counterparty credit risk in the first quarter of this year.
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Comment
Swaps data: Fed’s change of tack on rates fuels volume rise
Op risk data: Mifid fines hit $140m
Credit data: no-deal Brexit threatens UK retail sector
FRTB internal models in fight for survival
Our Take
Trading venues could help enforce the forex code
The machines are coming for your pricing models
Fishing for collateral with neural nets
Can robots learn to manage risk?