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Stuck in the middle with EU: dealers clash over FRTB timing
Largest banks want Commission to delay implementation, but it’s not the legislator’s only option
Housing price diffusion study offers lessons for quants – Bouchaud
Patterns seen in how heat spreads also show up in markets, research shows
CPMI-Iosco report highlights gaps in CCPs’ variation margin practices
Survey finds only a third implement VM pass-through, just 15% net client and house accounts
Risk data
Overcoming Markowitz’s instability with hierarchical risk parity
Portfolio optimisation via HRP provides stable and robust weight estimates
BoE warns over risk of system-wide cyber attack
Senior policy official Carolyn Wilkins also expresses concern over global fragmentation of bank regulation
Bloomberg offers auto-RFQ chat feed – but banks want a bigger prize
Traders hope for unfettered access to IB chat so they can build their own AI-enhanced trading tools
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Bank regulation
Rostin Behnam’s unfinished business
Next CFTC chair must finish the work Behnam started on crypto regulation and conflicts of interest
The Emir error reports that cost banks millions
Dealers lambast onerous EU requirement to notify clients of all errors and omissions
European Commission in ‘listening mode’ on potential FRTB changes
Delay or relief measures on the table after UK postpones start of Basel III to 2027
Basel stops short on wrong-way risk
New guidelines a step in right direction, but experts warn they won’t prevent another Archegos
Risk Quantum
Data insights, delivered daily
Risk Quantum tracks thousands of data points across hundreds of metrics from organisations that represent a cross-section of the financial system. Published daily, articles are short and broken into chunks – the facts, the context and a brief commentary – and use data visualisations to get each story across.
CPMI-Iosco report highlights gaps in CCPs’ variation margin practices
Survey finds only a third implement VM pass-through, just 15% net client and house accounts
Counterparty Radar
Matchmaking and benchmarking for OTC derivatives
Counterparty Radar is based on position data from around 20,000 US mutual funds and ETFs, rolled up to the manager level – it shows the OTC derivatives they have on their books, and who they traded them with, providing unique insights into an important market segment. More info
Franklin Templeton dethrones MSIM as top FX options user
Counterparty Radar: MSIM continued to cut RMB positions in Q3, while Franklin Templeton increased G10 trades
Foreign exchange
Does no-hedge strategy stack up for mag seven mavericks?
At Amazon, Meta and Tesla, the lack of FX hedging might raise eyebrows, but isn’t necessarily a losing technique
Isda to finalise drafting updated FX definitions this year
New definitions on disruption events and fallbacks are core focus
Amazon, Meta and Tesla reject FX hedging
Risk.net study shows tech giants don’t hedge day-to-day exposures
Iosco mimics industry codes to tackle pre-hedging dilemma
Advocates breathe sigh of relief, but Iosco release carries suggested restrictions
Risk.net’s top 10 investment risks for 2025
Fresh concerns this year include a trade war, a stock market crash and growing social discord
Central clearing
Treasury clearing timeline ‘too aggressive’ says BofA rates head
Sifma gears up for extension talks with incoming SEC and Treasury officials
Initial margin requirements hit record highs at major CCPs
Tumultuous third quarter sees $94bn surge across 14 CCPs
FCMs call for more oversight of self-clearing CCP members
Clearing firms worry that PTFs and market-makers joining CCPs en masse will increase systemic risk
Clearing members ponder the purpose of CME’s mystery FCM
Some think licence will be used to boost crypto clearing capacity, but many questions remain
Op risk benchmarking
Our new research service compares op risk practices at financial institutions – from staffing to AI safeguards, key controls to board reporting packs.
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