News
Goldman, Morgan Stanley push for CCAR changes
Balance sheets will shrink in a crisis, not grow, trading houses argue
New Chinese forex crackdown to hit corporate hedging
Despite new reserve requirement, dealers say ‘maturity’ in risk management is here to stay
LCH-Eurex basis falls 80% as insurers head to Frankfurt
Fixed rate available at Eurex has dropped from 1.35bp to 0.25bp in past two months
UBS faces capital hike from credit model curbs
Bank estimates Sfr35 billion jump in RWAs from Basel III, with credit modelling one driver, says CRO Bluhm
Options pricing shows next few years crucial for US coal
Carbon trading outweighed by building and fuel cost, research finds
Mattatia makes surprise move to MSCI
Former SG equity derivatives structurer was set to join BNP Paribas
OCC stands by margin model as regulators investigate
As watchdogs probe Q1 breaches, CCP executives insist margin models worked as intended
Podcast: SocGen quants on exotics calibration, machine learning and autocallable pricing
Deep learning techniques are being explored by the quants to speed up exotics pricing
ECB looks to ‘accelerate’ Ester publication
Industry pleas to publish new risk-free rate earlier may be finally answered
Money funds get S&P green light to buy SOFR notes
After many funds were shut out of first SOFR issuance, agency has now approved new benchmark
Investors cheer debut Fannie SOFR note launch
Healthy demand could have been higher if S&P had approved benchmark
CLS seeking legal fix for Brexit settlement threat
Market infrastructure firm wants EU27 to protect trades in insolvency by tweaking local laws
UBS AM joins buy-siders building central data science teams
Data science unit will serve firm’s non-quant investment staff
Banks call for revamped G-Sib surcharge
Fears surcharge will raise post-stress capital requirements under proposed new buffer
Banks still face risk of Fed disapproval on exposure limits
Rules loosened on affiliated counterparties, but supervisor can reject banks’ findings
ECB mulls response to French leverage ratio exemption
Supervisor could rewrite justification annulled by EU General Court, or appeal the ruling
Industry seeks smaller ‘big bang’ for margin
New study supports sixfold hike in 2020 compliance threshold to avoid “dormant” margin accounts
Oversight row could block EU firms from US clearing – Giancarlo
Europe’s planned post-Brexit CCP reforms “irreconcilable” with US rules, says CFTC chief
TP Icap fires Phizackerley, and more
Latest job changes across the industry
Quantum computers a ‘viable’ choice in portfolio optimisation
New technology can help solve previously unsolvable problems, says machine-learning specialist
GDPR uncertainty could spell trouble for machine learning
Advisers warn of discrepancy in advice to regulators over automated decision-making
Fed’s Quarles critical of opaque Libor data
ARRC chair Sandra O’Connor also questions IBA transparency
Trade war threatens Korea autocall losses
Dealers warn of $240 million in hedging losses if HSCEI index slides further
CCAR ‘apocalypse’ leads to excess bank capital, says lobbyist
Head of new trade body says Fed should average capital requirements over multiple scenarios