GARP
Good citizenship can signal better creditworthiness – study
Environmental and social behaviour predicts credit ratings in North America – less so in Europe
Investors rethink ops resilience for a pandemic-proof future
Shift to remote working sees asset managers focus on comms, tech and cyber risks
Clearing banks show they’ve learned lessons of the past
CCP members were able to meet massive margin calls in March. But could they do it again?
EU’s Brexit clearing grab slow to lift off
Clearing members say clients aren’t transferring material volumes from LCH to Eurex rapidly
‘Improving’ Mifid post-trade transparency splits markets
Mooted changes to Europe’s transparency regime are dividing markets – largely along functional lines
SA-CCR adoption may spur wider FX swaps clearing
With up to 90% lower exposures on offer, dealers say capital benefits could outweigh margin costs
Oil funds want to reduce risk. Will investors let them?
Despite posting big losses, funds that track front-month contracts remain popular with investors
Why a European bad bank may not be the right answer
Types of loans most likely to become distressed due to coronavirus don’t suit EU-wide solution
Beware of cliff edge in Libor fallbacks
Derivatives users may see a sudden change in the value of payoffs when Libor ends, Coremont analysts write
Banks eye post-pandemic shake-up of op risk scenarios
Firms seek better handle on impact of global shocks, and hope to avert regulatory attention
Contagion can spread via cross-asset links, ECB study shows
Research throws more light on the hidden risks of central clearing
Firms hone use of new data to pick Covid-19’s winners
Investment managers are starting to use alternative data to assess the pandemic’s effect on individual stocks
European regulator U-turns on synthetic securitisations
Deals with use-it-or-lose-it mechanism can qualify for capital relief, EBA policy expert says
Attention turns to Esma after UK quashes CSDR buy-ins
Esma launched informal review just before UK Treasury opted out of settlement regime
Funds warm to Esma liquidity rules after Covid crisis
Funds are embracing stress-testing, and swing pricing, after “a real liquidity crisis” in March
Conduct risks stalk banks in Libor transition
As replacement rate concerns become more pressing, firms fear Libor lawsuits and regulatory wrath
Eurex’s risk chief on the need for boring models
Banks need stability and predictability of VAR-based margin when volatility spikes, says clearing house CRO
A tale of two (or three, or four) models
Performance measure based on quality of replicating portfolios outperforms ‘P&L explain’, new paper claims
Collateral must be part of monetary policy equation
Incorporating collateral efficiency into IS-LM model reveals side-effects of QE
Credit data: coronavirus takes toll on corporates
Financials weathered the first phase of the lockdowns, but most other sectors were hit hard
Bachelier – a strange new world for oil options
Model tuned to negative prices has implications for pricing, margining and delta hedging
Regulatory lenience over Covid-19 must be carefully judged
Former ECB supervisory board member says unwinding regulatory relief later will take courage
What quants can learn from the Covid crisis
More nowcasting, less backtesting, and strategies that adapt to new regimes: a manifesto from Lipton and López de Prado