Comment
Quantcast Master’s Series: Kihun Nam, Monash University
Melbourne-based programme winks at pension fund sector
CVA capital charges – the gorilla in the mist
The behaviour of CVA risk weights at US banks in 2020 hints at the impact of the Basel III endgame
NMRF framework: does it satisfy the ‘use test’?
Non-modellable risk factors affect risk sensitivity and face practical and calibration difficulties, argue two risk experts
Quantcast Master’s Series: Laura Ballotta, Bayes Business School
The business school prioritises the teaching of applicable knowledge with a keen eye on the real world
Podcast: Iabichino on finance-native neural networks
UBS quant explains how to incorporate financial laws into an AI framework
Quantcast Master’s Series: Dan Stefanica and Jim Gatheral
Baruch College leaders on how they manage the top-ranked quant finance master’s programme
Op risk data: Ghost of Madoff still haunts HSBC
Also: Giant loan frauds hit three global banks, and AWS outage casts a cloud. Data by ORX News
The curious case of the missing volatility risk premium
Volatility investors will need to work harder and smarter to capture value, says Capstone
Op risk data: For Yes Bank, no mercy over insider fraud
Also: Cracking Brazil’s Pix hacks, Macquarie fund fumble, and taxing time for Crédit Agricole. Data by ORX News
US Basel III endgame: counterparty credit risk rumblings
CVA rules need better recognition of clearing and hedging, while SA-CCR netting questions linger
The great term premium comeback
Sovereign bonds are reintroducing risk compensation, opening up new areas of rates innovation, write Barclays rates heads
US Basel III endgame: a credit risk calibration conundrum
If regulators want to finalise the rules, they should strip out gold plate and cancel a haircut
Why flows now rival fundamentals
Geography and market sentiment are having profound impacts on price action, says LMAX’s head of FX data
When AI models malfunction, address the problem not the math
Governance of artificial intelligence models should focus on actionable outcomes rather than interpretability, argues former chief regulator
Op risk data: 1MDB scandal still haunts Wall Street
Also: Woodford in hot water, Salesforce voice phishing hooks multiple firms. Data by ORX News
Crypto’s predictable path from central books to OTC discretion
Demand for bilateral trading as seen in FX is fuelling crypto’s institutional take-up, finds BridgePort
Op risk data: Santander takes hefty historic hit over PPI mis-selling
Also: Brazil’s cyber screw-up, Barclays’ AML mishap, and MAS metes out more AML fines. Data by ORX News
The AI bot that left the garage
Senior operational risk exec explains how hidden third-party feature could lead to systemic risk
The Bank of England’s four pillars for a new CCP rule book
Executive director urges feedback on margin transparency, broader collateral and aiding innovation
Podcast: Muhle-Karbe on the maths behind broker selection
Imperial College’s mathematical finance head introduces new tool to measure slippage and trade quality
Op risk data: GVA and Nobitex in geopolitical risk strikes
Also: UBS chief a target of third-party data hack, internal bank frauds in Asia. Data by ORX News