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Winton’s David Harding on turning away from trend following
Founder explains decision to scale back weighting of strategy that made firm’s name
Tired of overshooting, BNY Mellon revamps stress test model
Capital distributions crimped by conservative CCAR estimates
Asian LNG derivatives trade surges on increased hedging
Expectations grow that a long-awaited Asian gas derivatives market is emerging
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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.
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Symphony bots march on Bloomberg
New chat system touted as sales and trading game-changer, as banks build hundreds of add-ons
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Big Figure
Under the floor
Bank of America Merrill Lynch fell below the so-called Collins floor in the second quarter of 2018, meaning its modelled risk-weighted assets (RWAs) were lower in value than those calculated by regulator-set standardised approaches. BAML cut its modelled RWAs – those calculated using the advanced approach under regulatory rules – by $20 billion (1.4%), from $1.457 trillion to $1.437 trillion, in the three months to June 30.
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Digital offices, Brexit swaptions and forex derivatives
The week on Risk.net, July 7-13, 2018
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