News
Hedge funds rev up short-vol trade in zero-day options
Firms are capping exposures to avoid a rerun of 2018’s ‘Volmageddon’ unwind
Climate risk overlays unnerve model-validation teams
Risk Live: Model risk managers fear they lack the data or skills to properly test expert judgement
EBA seeks to tighten up uneven prudent value adjustments
Regulator to consult ‘soon’ on changes to improve consistency of capital deductions
Degree of influence 2023: Quants thrive on volatility
Climate, crypto and market impact also featured among the top research topics in 2023
AI model uses quantum maths to learn like a human
Could the next big breakthrough in machine learning come from the world of finance?
Dutch pension reforms face political uncertainty
Elections cast doubt on pension funds’ ongoing transition to defined contribution structure
Euro RFR group shuts down amid ongoing benchmark uncertainty
Working group calls time on transition despite split opinion on Euribor’s long-term future
Post-Brexit divergence puts EU subsidiaries on the rack
Banks face choice between higher staffing costs or over-engineered processes at UK headquarters
SEC criticised for belt-and-braces ban on volume-based pricing
Legal experts question need for rules to prevent firms disguising agency trades as proprietary
PFZW’s payout to pensioners jolts euro swap curve
Dutch retirement fund’s announcement of unexpectedly large indexation takes market by surprise
Better tech brings threat of two-speed trading in fixed income
Smaller asset managers may get left behind as automation allows the big players to prosper
Buy side still prefers bilateral repo despite LCH margin update
New model will cut margin faster after stresses abate, but costs still high for directional trades
Bank QIS teams take zero-day options plunge
JP Morgan sees better risk/reward profile for 0DTE-based trend strategies
Margin failings raise concern over Treasury basis trade
Opaque models at clearing houses cast doubt on calculations for concentration add-on
FX HedgePool launches all-to-all FX swaps matching
P2P platform starts daily matching and opens up to banks, hedge funds and ECNs
SEC expected to protect CRT in conflicts of interest rule
Decision could come as early as today; high hopes for credit risk transfer exemption
Can machine learning help predict recessions? Not really
Artificial intelligence models stumble on noisy data and lack of interpretability
US life insurers piled into index options in Q2
Counterparty Radar: Lincoln Financial, Global Atlantic lead expansion; Goldman claims top dealer spot
Huatai launches its first Hong Kong CBBC
Two more securities houses set to follow Chinese firm into Hong Kong’s listed structured products market
SEC official defends delayed dealer registration rule
Regulator says market should be treated like equities, but PTFs warn it will harm market liquidity
PTFs loaded up on US Treasuries during SVB collapse
Treasury official says non-bank interdealer market share rose 10 percentage points in March as dealers retreated
Decarbonising passive funds costs next to nothing – research
Low-carbon versions of index trackers face negligible return drag, paper suggests
New UK clearing rules: same as the old rules?
Clearing experts doubt UK regulation can diverge significantly from Emir and global standards
SEC to delay US Treasury clearing mandate, dealer rule
A final vote on proposed US Treasury market reforms is now expected in early 2024