GARP
What do regulators need from governments on climate change?
To reduce the number of climate risk scenarios, lawmakers need to start being more specific
Energy firms call for central bank support to cover margin spikes
EFET warns energy market participants risk being unable to meet “unprecedented margin requirements”
Credit default swaps on Russian companies face uncertain future
With CDS auctions on sanctioned companies unlikely, traders may have to rely on dealer estimates
Russia sanctions throw derivatives market into disarray
Lawyers say western banks face illegality terminations; industry groups plan deliverable ruble workaround
Russia sanctions put spotlight on banks’ dirty laundry
As punitive measures against Moscow increase, so do the risks to banks from financial crime
EU looks to close Brexit escape route from ECB supervision
Changes to capital regulation would stop national rulebook arbitrage deployed post-Brexit
JP Morgan testing deep hedging of exotics
Neural network trained to hedge complex options using simulated data expected to go live this year
The bank, the vendor, the turrets and the golf day
After DBS switched supplier, a row broke out, raising questions about entertainment and influence
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
Buy-side traders start to cool on ESG-deficient dealers
Managers adopting ESG metrics in counterparty evaluations may exclude dealers that aren’t up to scratch
Counterparties clash over ‘dirty’ CSAs
Dealers and clients struggle to agree optionality value of posting bonds in cash-and-bond CSAs after Eonia conversion
Smaller US banks make case for credit-sensitive rates
BSBY and Ameribor emerge as preferred Libor successors for some regional lenders in multi-rate approach
Down but not out: US Libor trading continues amid ban
Outgoing rate hits market share lows in US swaps but little dent made in listed markets
Investment fund leverage: the known unknowns
More work needed on first-mover redemption incentives and margin calls, says Iosco chief
Quants turn to single stocks to revive intraday trend strategy
Retail trading boom has made intraday single-stock strategies more viable
Review of 2021: Default, revolt, reform
Archegos, GameStop, the last days of Libor – markets just about coped in a bleak and disorderly year
MSCI’s temperature scores stir angst among green investors
Ratings firm says world’s biggest wind power company will produce more global warming than Shell
Bank-run fund derivatives platforms hit records
JP Morgan’s Nexus has seen balances double, while AUM on UBS’s Neo have tripled
Does regulators’ favourite climate risk metric measure up?
FSB and Basel Committee back climate VAR, but practitioners will take some convincing
EBA warns banks over loan-loss model tinkering
Senior executive says methods of adjusting IFRS 9 models to “smooth” outputs should be investigated
BofA clearing vet leaves to launch start-up
Brooks Stevens plans new venture after 27 years with Bank of America and Merrill Lynch
Quants see promise in Bayesian machine learning
Risk USA: probability theory may hold key to creating ‘self-aware’ AI
Don’t follow the models: they’re lost, too – risk managers
Risk USA: managers cite Covid, repo crisis and geopolitical risks as examples of model failures
Neural networks show fewer false positives on bad loans – study
Machine learning method edges regression techniques in linking nonlinearities among delinquent borrowers