News
BoE to step up scrutiny of daily liquidity risks
Regulator wants more data on cashflow mismatches, but no plans for Pillar 2 charge yet
Lingering Euribor may hit €STR futures prospects
Bourses question viability of euro RFR contracts as Euribor reform efforts remove transition incentives
Capitalab completes first compression run with SGX
Compression efficiency in SGX Nikkei 225 options could be as high as 50%, Capitalab says
ABA scenario analysis project could aid CCAR comparability
Scheme to agree on common risk drivers could help Fed benchmark risk exposures, says JP op risk expert
RBNZ places country’s largest bank under scrutiny
ANZ must report on director oversight and capital levels
CVA, debt raising said to drive SoftBank CDS trading
Volumes rise as tech giant’s debt spree forces banks to hedge their counterparty exposure
Fire sales turn a crash into a crisis, simulation shows
‘More realistic’ core-periphery model leads to wipeout of network if several nodal banks default
UBS unleashes Orca for rates clients
Machine learning algo trawls liquidity pools to slash US Treasury trading costs
HKEX boosts member credit risk monitoring
Hong Kong exchange’s several hundred clearing members pose complex default risk correlations, says chief risk officer
CICC Hong Kong scrutinises quant strategies after sector's woes
Asset manager strives to understand better the drivers of risk premia returns
Privacy laws crimp bank efforts to snoop on traders
Banks want to surveil employees to prevent malfeasance. GDPR is hobbling those efforts
Libor reform threatens hedge accounting for loans
Changes to loan terms may nullify contracts and create balance sheet volatility
FCA: loan market shouldn’t wait for forward rates
Development of new term benchmarks is no excuse to delay transition, says Schooling Latter
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
Keeping the robots honest
Human overseers are in short supply in an arena where losses can be crippling in minutes
Basel closes in on IM offset for leverage ratio
US seen as obstacle to consensus; committee expected to allow netting of margin against PFE only
Citi culls HFTs from FXPB client list
HC Technologies, Jump Trading and Virtu Financial among those told to find a new prime broker
Basel set to update op risk and resilience principles
Op risk working group to issue core ‘indicators of resilience’ proposal as update to 2011 principles
Business lines must answer for ML biases – OCC’s Dugan
Banks cannot blame developers or vendors for faulty machine learning models, says regulator
Forex prime brokerage fee jump unlikely, say dealers
HSBC and NatWest say client charges unlikely to rise significantly despite new margin costs
Crédit Agricole’s head of forex options departs
Andrew Soper leaves French bank to pursue other opportunities
UBS introduces smart contracts for structured products
Swiss bank aims to tackle shrinking margins by automating workflows and cutting trade processing 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
Asset managers urged to sign global forex code
Firms risk hit to reputation by not committing to standards on market practice, investor says