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On the offensive – Seeking a new edge, buy-side invests in portfolio and risk analytics
A fast-moving, headstrong hedge fund – hit by rare losses after a black swan event touched on an overweight country exposure – ponders adding fresh quantitative expertise. Much to traders’ chagrin, the chief investment officer and chief operating officer…
Europe struggles to get a grip on derivatives transparency
Mifid reporting has fallen short of US swaps data, but national regulators are partly to blame
Swaps data: the allure of liquidity
Liquidity in OTC trading concentrates at one venue, or splits across three, writes Amir Khwaja of Clarus FT
Mifid transparency, FRTB and alternative data
The week on Risk.net, April 30–May 4, 2018
Asia moves: HKEX appoints Cha, CSFS names new chief strategist and executive director, and more
Latest job changes across the industry
Credit data: firms with fewer well-paid women are riskier
Gender pay gap disclosures could be a proxy for credit risk, writes David Carruthers of Credit Benchmark
Podcast: Roos on swaptions arbitrage and benchmark reform
Benchmark reform means additional work for rates quants
Risk ratings, swaps margin and riding bubbles
The week on Risk.net, 21–27 April, 2018
Swaptions basis secrets, risk capital changes and forex hedges
The week on Risk.net, 14-20 April, 2018
The rapid evolution of compression: Keeping pace with optimisation activity
Sponsored forum: Capitalab
Chinese KYC, bankruptcy problems and SOFR swap clearing
The week on Risk.net, April 7–13, 2018
Podcast: Fries on Monte Carlo, Greeks and the future of AAD
Research on AAD is not complete until it becomes easier to implement, says quant
The new world of risk analytics
Webinar: SAS
Sponsored video: Thomas Lee, Vivo Security
Thomas Lee, chief executive and co-founder of Vivo Security – a start-up firm based in Silicon Valley and sponsors at OpRisk North America – talks about how special the banking industry is to Vivo Security and why its approach to model risk management…
Regtech – Enabler of the shift from compliance to performance
Survey report & white paper | Moody's Analytics
Rogue trading, fixing Vix and pruning Libor
The week on Risk.net, March 30-April 6, 2018
How not to control trading behaviour
Quants show popular risk measures fail to limit risk-seeking behaviour among traders
Credit data: UK retail sector’s woes continue
High street fails to get over Christmas slump; elsewhere, global PDs remain in flux, writes David Carruthers of Credit Benchmark
CCP losses, holdco wars and equity derivatives margin
The week on Risk.net, March 24-29, 2018
ECL regimes a volatile brew of risk and accounting
Fed asks banks to propose a solution to address CECL-CCAR mismatch
People moves: BAML loses two in exotics, BNPP’s global markets overhaul, and more
Latest job changes across the industry
The renewable future
The shift to solar and wind is creating new challenges
Vattenfall’s new trading head, new COO for Aegis, and more
Latest job changes across the industry
