Investing
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ETF surge shows ‘worst-of’ autocalls have life in them yet
Assets in older structures have caught up with vol target versions that looked set to dominate
Yen options dealers struggle to hedge intervention risk
Hedge funds’ bets on BoJ intervention are leaving dealers with vol-surface exposures they can’t hedge cheaply
0DTE options and non-banks could accelerate market risk
Risk Live: Risk managers warn trading desks in “uncharted territory” with shocks moving faster
UBS partners with LGT on ‘tricky’ Vix futures QIS
Swiss bank aims to avoid ‘backtest Olympics’ for strategies at risk of overfitting
Top quants on how AI will change some jobs and steal others
Coding skills will matter less and research skills more, say quants in Risk.net straw poll
Featured
How quants are getting the most out of Claude
Agentic tools boost productivity by multiples, but using them takes skill
The SaaSpocalypse shows private markets need risk models
Investors have little idea how bad the losses in private credit are going to be
UK insurers weigh alternatives to funded reinsurance
Tougher-than-expected PRA capital proposals push insurers to explore new sources of yield
Dollar smiles again, but for how long?
Twitchy investors backed the buck during Iran war, but experts are divided on whether this marks a return of the dollar smile
Top quants on what AI tools can and can’t do
Private markets
The race to model private market risks
BlackRock maps holdings to risk factors; competitors aim to get the best from statistical methods
Valuing private equity analytically
A framework that includes liquidity and market completeness for PE valuation
The SaaSpocalypse shows private markets need risk models
Investors have little idea how bad the losses in private credit are going to be
NBFIs expanded at twice the rate of banks in 2024
Run-prone funds drive NBFI asset growth, FSB monitoring report shows
Counterparty Radar
Matchmaking and benchmarking for OTC derivatives
Counterparty Radar is based on position data from around 20,000 US mutual funds and ETFs, rolled up to the manager level – it shows the OTC derivatives they have on their books, and who they traded them with, providing unique insights into an important market segment. More info
How Pimco, Capital Group funds bet on falling US rates
Counterparty Radar: Inflation hedge would soften impact for Capital Group; Pimco’s swaptions structures targeted modest decline
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