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How old calibration techniques can be applied to exotics pricing
SocGen quants propose technique to more accurately calibrate exotic options
Machine learning, leverage ratios and a transatlantic dispute
The week on Risk.net, July 21-27, 2018
Asia moves: CBA overhauls leadership team, HK regulator reappoints directors, and more
Latest job changes across the industry
Asia balks at swallowing Mifid whole
Local regulators are right to cherry-pick elements of Europe’s new regime for their own versions
TP Icap fires Phizackerley, and more
Latest job changes across the industry
Short term, LNG view
Excitement over fast-growing LNG markets shouldn't blind us to the potential risks
SOFR, leverage and life after London
The week on Risk.net, July 14-20, 2018
Digital offices, Brexit swaptions and forex derivatives
The week on Risk.net, July 7-13, 2018
AI wide open
The Risk Technology Awards 2018 have highlighted how new technologies are bringing recognition for vendors
A real-life stress test for CCP margin
Thanks to standardised reporting, we can track how clearing houses’ risk profiles have changed over time
‘People who bought this swap also bought Apple’
Dealers hope personalisation algos will help them cut sales costs, but data gaps could be a problem
Swaps data: the big get bigger in cleared swaps
First half of 2018 sees strong growth in cleared OTC derivatives volumes, writes Amir Khwaja of Clarus FT
Initial margin – Preparing for the buy‑side ‘big bang’
Video Q&A: David White, triResolve
Credit data: default risk still growing for Italy’s banks
Despite a drop in the bad loan ratio, default estimates continue to rise, writes David Carruthers of Credit Benchmark
The evolving relationship between finance and risk
Increased regulatory requirements that are expanding the necessity for chief financial officers to be proficient in regulations and advanced big data analytics have seen the relationship with chief risk officers develop to facilitate co-operation as…
Data mining, machine learning and rival discount rates
The week on Risk.net, June 30-July 6, 2018
Podcast: Lo on adaptive regulation, machine learning, bitcoin
MIT quant says next project will be to combine behavioural science with tech such as machine learning
Swaptions vol modelling tweak opens up pricing possibilities
Nomura quant proposes local volatility model that can directly calibrate to swaption smiles
