Risk.net
Latest
Bank disruptors: Crédit Ag taps AI to lure swaptions business
Machine learning model predicts client demand with high accuracy, giving traders an edge in pricing
LCH targets hardwired pre-cessation triggers
Proposal aims to align transfer pricing for cleared and bilateral markets in the event of split on ‘zombie Libor’ triggers
Neuberger Berman gets its Sherlock on
Asset manager deploys quant-cum-sleuth to sniff out portfolio risk
Latest
Risk Quantum
Data insights, delivered daily
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
Trading venues decry disruptors as MTF battle heats up
Unregulated tech vendors accused of operating as de facto venues; a claim dismissed as “entirely outrageous”
Big Figure
Sonia’s greatest hit
Swaps trades referencing the Sterling Overnight Index Average (Sonia) soared to at least four year highs in early January, according to data from the Depository Trust & Clearing Corporation’s (DTCC) trade repository. The £174 billion ($226 billion) and £154 billion in notional traded on January 9 and January 10, respectively, made the days both the largest single and largest consecutive trading days for Sonia-referencing swaps since at least the start of 2016, and possibly all-time for trades reported to the DTCC.
Read the full article
7 days in 60 seconds
Disruption, CCP default and the latest Libor problem
The week on Risk.net, January 18–24, 2020
Receive this by email
Comment
Signing the Libor fallback protocol: a cautionary tale
Op risk data: regulator fines tumble by $5bn in 2019
Swaps data: have SOFR and Sonia swaps and futures lived up to expectations?
Top 10 operational risk losses of 2019
Our Take
EU compounding confusion creates headaches for banks
Allocation models that know their unknowns
When a lapse in concentration is no bad thing
Small, speculative clearing members – are they worth the risk?