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Don’t fret about elevated skew, vol experts say
Extreme relative cost of tail risk hedging is driven by flows more than fear
This quant firm cut 90% of its compute costs. Here’s how
Quantbot Technologies uses ‘smart data routing’ to stop runaway spending on data and computing
Green push from SEC could trigger another ‘Enron’, says Peirce
SEC commissioner warns that mandating ESG disclosure standards would distort capital flows
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Quotes
There isn’t anything that really constrains them [the US Financial Stability Oversight Council] from going back to a focus on systemically important non-bank institutions and… the transmission channels
Marc Saidenberg, EY
There’s really no downside to scenario analysis unless it causes you to do something that harms you, and that’s pretty rare
Aaron Brown, formerly of AQR
When you look at the volume on the private bank business [in autocalls] it is a multiple compared to last year. It’s a very, very big shift for investors
Cross-asset sales head at a US bank in Hong Kong
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Regulators setting climate rules would be ‘enormous failure’
Risk Live: ‘Trust markets’ not regulators to move capital away from big carbon emitters, says LGIM
Big Figure
Margin mayhem
Insurers and pension providers in the eurozone likely exacerbated the run on the region’s money market funds (MMFs) in March, as they withdrew cash en masse to cover huge margin calls on derivatives triggered by Covid-induced volatility. Researchers at the European Central Bank found a strong correlation between MMF inflows and outflows and the variation margin payments made to and from insurance corporations and pension funds related to their interest rate and currency derivatives.
Read the full articleRisk Management
Show your workings: lenders push to demystify AI models
Machine learning could help with loan decisions – but only if banks can explain how it works. And that’s not easy
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Hedge funds and the rebound in collateral velocity
If dogecoin goes to the moon, a risk manager should go too
Our Take
How XVA quants learned to trust the machine
The limits of a softly-softly approach on climate in China