Comment
From fringe to forecast: why bitcoin now moves like a currency
LMAX data finds crypto prices react to macro market events as quickly as EUR/USD
Podcast: Villani and Musaelian on a quantum boost for machine learning
Classical methods struggle with highly dimensional problems. Quantum cognition takes a different approach, as hedge fund duo explain
Why AI-enhanced risk management is vital for open finance
In bank-fintech partnerships, AI can be both a source of operational risk and a solution to it
Op risk data: Rates bait and switch incurs Capital One punishment
Also: Crypto firms suffer cyber setbacks, Umpqua in Ponzi play, and QSuper premium palaver. Data by ORX News
Podcast: Fabrizio Anfuso on computing for Archegos-like event exposures
BoE quant discusses top-down counterparty risk framework using Gaussian distributions and copulae
Op risk data: BofA biffed for $540m over insurance fund swerve
Also: Suspected French Ponzi, Banco Itaú’s overcharging kerfuffle, and power outage in Iberia. Data by ORX News
Rising systemic risk demands a new risk management paradigm
Reinsurers need insurance-linked securities to share burden of climate-related catastrophic risk
Op risk data: Luna crypto chicanery shrinks Galaxy coffers
Also: Down under and dirty – motor finance scandal comes to Oz, and 2024 in review. Data by ORX News
Why AI will never predict financial markets
Laws that govern swings in asset prices are beyond statistical grasp of machine learning technology, argues academic Daniel Bloch
Podcast: adventures in autoencoding
Trio of senior quants explain how autoencoders can reduce dimensionality in yield curves
Op risk data: Crypto hack bites Bybit; fat-finger flurry at Citi
Also: OKX gets AML scold, UK motor finance fiasco revs up. Data by ORX News
Podcast: Lyudmil Zyapkov on the relativity of volatility
BofA quant’s new volatility model combines gamma processes and fractional Brownian motion
Why the survival of internal models is vital for financial stability
Risk quants say stampede to standardised approaches heightens herding and systemic risks
Shaking things up: geopolitics and the euro credit risk measure
Gravitational model offers novel way of assessing national and regional risks in new world order
Start planning for post-quantum risks now
Next-gen quantum computers will require all financial firms to replace the cryptography that underpins cyber defences, writes fintech expert
Op risk data: Two Sigma pays the price for model mess
Also: KuCoin’s AML fail, Angola bribes bite Trafigura, and Trump’s green scepticism. Data by ORX News
Cool heads must guide financial regulation of climate risk
Supervisors can’t simply rely on ‘magical thinking’ of market discipline, says Sergio Scandizzo
Podcast: Alexandre Antonov turns down the noise in Markowitz
Adia quant explains how to apply hierarchical risk parity to a minimum-variance portfolio
How a serverless risk engine transformed a digital bank
Migrating to the cloud permitted scalability, faster model updates and a better team structure
Op risk data: Mastercard schooled in £200m class action
Also: Mitsubishi copper crunch, TD tops 2024 op risk loss table. Data by ORX News
Transforming stress-testing with AI
Firms can update their stress-testing capability by harnessing automated scenario generation, says fintech advocate
Podcast: Alexei Kondratyev on quantum computing
Imperial College London professor updates expectations for future tech
Op risk data: Santander in car crash of motor-finance fail
Also: Macquarie fined for fake metals trade flaws, Metro makes AML misses, and Invesco red-faced over greenwashing. Data by ORX News
‘It’s not EU’: Do government bond spreads spell eurozone break-up?
Divergence between EGB yields is in the EU’s make-up; only a shared risk architecture can reunite them