Risk.net
Latest on Investing
R-nought is the wrong number for markets, academics say
New research suggests volatility of transmission matters more for asset prices
Choppy markets revive quest for RFQ’s ‘magic number’
Deutsche argues for smaller, stronger panels; Citi offers better prices for 'full amount' trades
At height of Covid crisis, eurozone MMFs scrambled for cash
MMFs hold the bulk of eurozone banks’ commercial paper
Latest
Quotes
Electronic trading saw a breakdown in functionality during the height of the volatility spike
Jason Fromer, Manulife Investment Management
Some clients will show a side like, ‘I’m looking for left-hand-side euro/US dollar’... What we saw was very sharp market impact
Al Saeed, Citi Velocity
The industry needs to be able to demonstrate that we can transition to new benchmark rates in a way that’s fair for market participants, and that it does not result in arbitrary value transfer
Jonathan Campbell, Credit Suisse
Editor's Choice
Two quants use options pricing tools to model Covid-19
New tool aims to gauge wider cost of virus control measures
Big Figure
Crude's wild ride
Hedge funds and commodity futures traders built up long positions on WTI futures in the week to April 21, the day after prices for the front-month contract dropped to -$38.10 a barrel. Data from the Commodity Futures Trading Commission shows participants labelled “money managers”, a category that covers commodity trading advisers, commodity pool operators and hedge funds, were long 324,667 contracts on April 21, the most since January 7 and almost 10% up on the week prior.
Read the full article7 days in 60 seconds
Climate charges, CCP contagion and the post-Libor world
The week on Risk.net, May 23-29, 2020
Receive this by email
Comment
Negative oil prices put spotlight on investors
When are index delays justified? Industry standards are vital
Our Take
Libor deadlines – the dominoes start to fall
Full stream ahead for bonds