News
Fed pushes big banks to calculate CVA for CCPs
Banks including JP Morgan and Credit Suisse told to quantify exposure to CCPs for annual stress tests
Japan regulation sparks hunt for new annuity products
Foreign currency products hit by push for transparency on forex risk and charges
DTCC in talks to clear MarketAxess bond trades
Market-first move could cut platform’s costs and counterparty risks
Banks quiet on Libor legacy transition, say Asian clients
Hong Kong Electric Company and APG Asia say dealer engagement on amending products is limited
Singapore banks ramp up cyber scenario analysis
StanChart building out scenario library as dealers up use of technique to gauge spending on defences
JP Morgan turns to machine learning for options hedging
New models sidestep Black-Scholes and could slash hedging costs for some derivatives by up to 80%
Apac banks call for regulatory push on AML tech
“Regulators have got to stop being okay with how things currently are,” says financial crime head
Push harder on cyber intel sharing, Apac regulators told
Regulators must work with banks to foster trust on cyber threat intelligence sharing, say execs
Podcast: Venturelli and Kondratyev on quantum annealing
Authors show how quantum theory could aid portfolio construction
Fund ratings flip as 2008 losses fade from view
Over 90% of top-rated US equity funds have betas greater than one
Royal Commission report sparks conduct risk changes at ANZ
Regulators must work with banks on conduct risk rules to avoid “box-ticking exercise”
Talk of delaying IM ‘big bang’ sparks backlash
EC official's recent comments may hamper compliance preparations, dealers say
Cantab finds ‘value-add’ in alternative datasets
Quant firm estimates how much alpha new data can add before putting it to use
Singapore tech risk guidelines spark scramble for IT talent
Watchdog asks banks to demonstrate tech expertise among board and senior management
LCH veteran Davie set to depart
Clearer looking to fill new role in head of SwapClear and listed rates
Danske Bank hires Alexandre Antonov
Risk’s 2016 quant of the year to join Danish firm from Standard Chartered
Stick to core skills or risk data overload, says Goldman quant
Data-as-a-service chief says asset managers risk being swamped by new types of information
BoE makes climate risk a hot topic for banks
Financial institutions must entrust oversight of climate risk to named individual under senior managers regime
Buy side bemoans gaps in EU benchmark register
Missing detail in approved index list could undermine compliance with new benchmarks regulation, investors warn
Quants blame crowding and concentration for bleak 2018
Funds are still struggling to explain why so many of them did so badly last year
Swaps users mull ‘big bang’ for SOFR discounting
Cleared and bilateral US dollar swaps could move to SOFR discounting on the same day in 2020
Lack of buy-side repo backstop a concern – Citi repo head
Growth of client repo books could create liquidity crunch, says Grigorios Markouizos
Japanese banks inching away from US CLO market
New rules prevent firms investing in CLOs where originator is not obliged to retain risk
China Minsheng and SocGen team up for quant index product
CMBC Macro 1 signal index attracts $580 million as investors adapt to products without performance guarantees