Markets
There aren’t many people who exclusively trade derivatives these days – buy-side execution desks increasingly work across product silos. As a title that has spent most of its life focusing on derivatives, Risk.net has had to broaden its coverage.
This category is home to trading and execution coverage that ventures beyond derivatives, but retains a focus on interesting, structural issues. Among other topics, you’ll find articles here on repo and funding, bonds and yield curves, front-office technology, operational efficiency, clearing and margining.
Algo fears spark hunt for neutral checks on forex code compliance
Banks seek third-party quantitative methods for confirming activities done in their names are aligned with the principles
How collateral scarcity reshaped the US yield curve
QE and demand for high-quality liquid assets have suppressed short-term rates, argue IMF economists
A look under the hood of Span 2, CME’s new margin engine
VAR-based framework has new ways of netting contracts and setting volatility floors and more
Trading venues could help enforce the forex code
ECNs have the power to boost last look disclosures, but aren’t keen to be the code police
Pimco deploys neural net model in agency bonds
Old models for $7 trillion mortgage market overstate risk in some cases, asset manager says
Six big forex market-makers call for end to last look
Citadel Securities, Jump and Virtu among those repudiating controversial practice
Goldman improves execution ‘by 50%’ with new algos
Bank uses neural networks and other AI tools to cut slippage in stock trading
JP Morgan first to issue SOFR-linked preferred stock
BofA, Goldman Sachs and others are also preparing for Libor’s end
Sovereign spreads and Target2 anomalies
Widening risk imbalances between eurozone member states threaten monetary union, says Italian regulator
Quant Lipton pans Facebook’s Libra
Former Bank of America exec sees more potential in rival projects, such as utility settlement coin
Rival FXPBs scoop up former Citi clients
BNP Paribas, Deutsche Bank among those taking on clients axed by the US bank, plus others worried they’ll be next
Avoid floating rates on non-cleared repo – ICMA
€STR won’t be published until October, but its next-day publication will make settling complicated
Drax, Brevan and the rise of the agency broker
JB Drax has become a key broker for at least 15 buy-side firms, including Brevan Howard. But what is driving the success of the secretive agency broker and its peers?
Banks and prop shops expect more trading tie-ups
Risk Live: White-labelling a new battleground, with Barclays, BNP, Citadel and Jump touting price streams
JP Morgan’s Hudson: innovation stuck in trading web
Risk Live: Digital head floats shared platform, rather than “point solutions”
Goldman and SG on alternative data: do believe the hype
Risk Live: New data will “completely transform the landscape” of investing, says SG's Albert Loo
JP Morgan AM creates Taiwan trading hub
New local centre aims to channel orders in bulk, cutting price slippage
ETF investing – Building better portfolios
At the Asia ETF Forum 2019, Hong Kong Exchanges and Clearing (HKEX) welcomed industry experts from around the region to six key Asian exchange-traded fund (ETF) cities, offering attendees an updated view on the growing ETF market in Asia. This article…
UBS unleashes Orca for rates clients
Machine learning algo trawls liquidity pools to slash US Treasury trading costs
Fund builds virtual analyst to do ‘grunt work’
Equities unit at Principal Global Investors wants its analysts analysing, not rooting through email and research reports
Citi culls HFTs from FXPB client list
HC Technologies, Jump Trading and Virtu Financial among those told to find a new prime broker
Forex prime brokerage fee jump unlikely, say dealers
HSBC and NatWest say client charges unlikely to rise significantly despite new margin costs
No alpha in hedge funds’ average short positions – research
A strategy betting against low conviction shorts beat a benchmark model by 6% in back tests
From memos to texts, algos fish for signals in-house
Hedge funds turn to natural language tools to pry more value out of their analysts’ internal writings