Feature
Quants use AI to cut through murk of ‘sustainability’
Separating the wheat from the chaff is fundamental to ESG investing. Machine learning can do that
SOFR, so bad: liquidity lags transition ambitions
Thin current trading may lead to poor fallback choices, and dim SOFR’s appeal ahead of Libor’s death
Prop traders sound warning over EU capital regime
Non-banks fear topsy-turvy capital requirements under new rules based on clearing margin
Basel haircut floors threaten securities financing desks
Banks fear capital hit unless regulators provide exemption for stock borrowing
Unmoved, Fed stands by G-Sib surcharge
Facing down frenetic lobbying and even US Treasury, central bank doesn’t blink on surcharge
AI moves into middle office at energy firms
Energy firms explore how artificial intelligence can boost returns
Quant guide 2019: industry entrants face cultural ‘abyss’
Divide between industry and academia worries practitioners and professors
Non-payment insurance grows as banks shun stuttering CDS market
Credit portfolio managers explore insurance contracts to offset risk from loan book
Eurostoxx dislocations signal autocall hedging pain
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
Banks bet on data to rescue research
Barclays, Morgan Stanley, UBS among those using data science to pep up their research offerings
Fed’s MBS exit surprises some with muted rates vol
Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared
Regulators rethink Volcker overhaul to solve accounting glitch
Bankers urge cancellation of new definition of prop trades that could capture liquidity buffers
For US banks, billions in regulatory manna
The unwind should help mid-tier banks, but the G-Sib impact is a complex balancing act
A threat to the Ion throne?
Banks need connections to e-trading venues; they don’t want the other services that come with them
Shipping and energy firms revisit hedging on IMO 2020
Upcoming shipping rules set to impact fuel prices across the energy complex
Pooled resources offer way to keep credit models afloat
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
Industry lukewarm on proposed ‘quick fixes’ to Priips rules
Many fear performance scenarios will remain misleading and expose providers to mis-selling claims
The funhouse mirror of CLO equity hedges
CLO equity cannot be directly hedged, so people are buying approximations and hoping for the best
CLO scare: could rated tranches see losses?
Structures are more solid, but loans are dicier, and recovery rates may be disintegrating
Rumble in the IM jungle: how new platforms match up
After testing rival margin services, banks now have to pick a favourite – one has better tech, the other is cheaper
Brexit set to jack up banks’ capital costs
Split into UK and EU arms will reduce netting benefits and capital flexibility
Basel’s archaic op risk taxonomy gets a makeover
Industry moves to revise out-of-date categories that feature risks such as cheque fraud
As Brexit looms, Mifid transparency faces the chop
EU law and equivalent UK draft threaten to split and undermine trade disclosure rules