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ETF options: the market’s latest credit hedge
Investors look to derivatives on fixed income exchange-traded funds to manage credit risk exposure
The slow corporate embrace of CSAs
Risk.net research finds 28 of 50 large companies now have CSAs – but has the trend run its course?
Solving final value problems with deep learning
Pricing vanilla and exotic options with a deep learning approach for PDEs
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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
IBA, Refinitiv go live with regulated term Sonia rates
First deals linked to new benchmarks are likely to be in trade finance
Big Figure
SLR relief here to stay?
A temporary adjustment to the calculation of the supplementary leverage ratio (SLR), which lowered capital requirements for top US banks, should be made permanent, executives at JP Morgan argue. In April 2020, the Federal Reserve allowed banks to carve out US Treasuries and excess reserves from the calculation of their total leverage, which acts as the denominator of the SLR. The adjustment was projected to cut $17 billion off top lenders’ binding Tier 1 capital requirements. The relief is due to expire on March 31.
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Regulation
French regulator questions need for share trading equivalence
Esma’s reinterpretation ahead of Brexit reduces need for equivalence system, says AMF official
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Comment
Union beckons for the three quant tribes
Jumbo Goldman 1MDB fine upends 2020 trend to lower losses
Op risk data: In fewer reg fines, US took its lumps in 2020
Random matrix theory provides a clue to correlation dynamics
Our Take
Why US dollar Libor spreads may be mispriced
Fed stress tests find critics on all sides
Setting boundaries for neural networks
25 years of Asia Risk