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Nomura plans more hires in equity derivatives, eyes China
Unit head also sees potential in Hong Kong listed market and in demand for bespoke products
Eurostoxx dislocations signal autocall hedging pain
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
Factor timing: scant upside, big downside
Stock selection trounces “tempting” factor timing in study
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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
Pooled resources offer way to keep credit models afloat
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
Big Figure
Ice not in the Clear
Ice Clear Europe reported a peak margin breach of $1.2 billion in the third quarter of 2018 – the largest since public disclosure began in 2015. Prior to this, the CCP’s largest margin breach was $65.5 million and occurred in the fourth quarter of 2017.
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Comment
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Swaps data: volumes up amid volatility
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Our Take
Credit risk quants are hitting the tech gap
A tale of two CCPs
Does credit risk need an expected shortfall-style revamp?
Learning algos that learn how to learn