Asset management
Dealers rush to redeem high-yielding structured notes
An estimated $60 billion of structured notes are at risk of being called before year-end
CME no longer looking back to Lehman
Changes to rates margin model move CCP into line with rivals
Mifid redux? Esma insists on LEIs for repo collateral
Mifid-style ruling will bar firms from using securities without identifiers in financing transactions
Buy side continues with IM prep despite delays
Firms looking at custodian types, docs and trading strategies to optimise margin
Sefs stall, but more liquidity may be coming
The hoped-for competition among Sefs never was. But banks and prop traders might be facing off on swaps
Esma proposal may limit short-selling
Reporting requirement would bar securities without LEIs from being used in financing transactions
Clients demand access to CCP default auctions
“In a default, we are comfortable taking on risk and can move quickly,” says DRW’s Wilson
Splits emerge over ‘pre-cessation’ fallback triggers
CCPs say cleared swaps will move to new rates if Libor is no longer representative of markets
Pimco deploys neural net model in agency bonds
Old models for $7 trillion mortgage market overstate risk in some cases, asset manager says
Six big forex market-makers call for end to last look
Citadel Securities, Jump and Virtu among those repudiating controversial practice
Goldman improves execution ‘by 50%’ with new algos
Bank uses neural networks and other AI tools to cut slippage in stock trading
The rise of the robot quant
The latest big idea in machine learning is to automate the drudge work in model-building for quants
QMA’s Dyson: AI a ‘wonderful marketing concept’
Quant firm sceptical about using artificial intelligence to seek out tradable strategies
Dual IM relief may slash 2020 docs burden by 90%
Isda sees around 8,000 counterparty relationships lifted from phase-five repapering
GAM Systematic’s Ewan Kirk is sticking to his guns
Have markets changed? “They always do,” says quant fund CIO
Gaps emerge in US plan to regulate non-bank systemic risk
Former regulators say FSOC may struggle to measure systemic risk in repo, loan markets
IM big bang split confirmed with new $50bn threshold
Addition of sixth compliance phase looks set to slash September 2020 in-scope entities by more than half
AllianceBernstein uses AI to sidestep ‘growth trap’
Random forest model aims to sort success stories like Amazon and Netflix from fast-growth losers
PanAgora uses NLP to cut through Chinese cyber speak
Fund builds Mandarin-reading algo to gauge sentiment of retail investors
Regulators plan to delay IM ‘big bang’ – market sources
Most see final phase of initial margin rules coming a year later, in September 2021
AQR takes step into exotic trend following
$200-billion quant firm joins those plugging new take on strategy that’s struggled
Can robots learn to manage risk?
Will machine learning transform risk management or give birth to a new breed of model risk? Probably both
How AI could tear up risk modelling canon
BlackRock, MSCI, LFIS among firms looking to replace traditional, linear risk models