Risk.net
Latest on Derivatives
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
Latest
Quotes
You cannot have TRY/JPY butterflies that low with TRY/USD flies that high, it didn’t make any sense at all
London-based FX options trader
The problem is the MTF rules are crafted quite generally, and I think there can be some ambiguity
Steven Burrows, senior associate at law firm Fieldfisher
What the IASB indicated in that October Libor paper isn’t what we’ve done in practice today at all
Jessica Taurae, partner at PwC
Editor's Choice
How hedge funds lost big on US dollar Libor delay
Sharp narrowing of fallback spreads may have caused up to $2 billion of losses
Big Figure
Soaring spreads
As funding stresses grew in mid-March, investors liquidated bond holdings in a dash for cash. As a result, asset swap spreads jumped significantly. For instance, the asset swap spread on JP Morgan’s 4.62% bond maturing in May 2021 jumped from 14.37bp on January 17 to a peak of 607bp on March 20, before ending the quarter at 123bp
Read the full articleRisk management
Union beckons for the three quant tribes
Studies may be deferred, but future for grads is bright, argues UBS’s Gordon Lee
Receive this by email
Comment
Strengthening supervisory co-operation in derivatives markets
Swaps data: initial margin soars in Q1 2020
Our Take
Why US dollar Libor spreads may be mispriced
Warrants proving a big opportunity for Asia private banks