News
Market mean reversion takes longer than expected – CFM quants
Research on how long trends last could help avoid fallout from drawdowns like February’s
New BoE stress test puts focus on banks critical to UK
Annual test will attempt to gauge impact of IFRS 9
CECL vs CCAR: banks fear loan-loss reserves mismatch
Lifetime loan loss estimates will look much worse under CCAR stress scenarios than accounting measure
CFTC set to partner with SEC on CDS supervision
Move could open the door to single-name clearing mandate, say experts
SEC liquidity rule delay a double-edged sword for asset managers
Some mutual funds say a staggered approach to implementation will add to their workload
Libor concerns prompt switch to Sonia swaps
Move by some UK LDI managers has steepened Sonia-Libor basis
Regulators lean towards contractual bail-in for China TLAC
New legislation would not be required, but weak bankruptcy law could unnerve investors
FCMs warn CCPs not to compete on margin
Equity moves in February exceeded margin posted against some cleared products
CFTC commissioners lash out at EC clearing proposal
Push to expand oversight of US CCPs is “clear breach” of 2016 equivalence deal, Quintenz says
Esma investigating Mifid trade data publishers
European regulator warns approved publication arrangements could be breaking the rules
Quants warn over flaws in machine learning predictions
Six quants debate whether the tool can adjust to paradigm shifts in financial markets
Neural network learns ‘universal model’ for stock-price moves
Relationships between order flow and price “are stable through time and across stocks and sectors”
European supervisors may step in over Priips confusion
Differences in how issuers disclose product costs harming comparability, observers say
Banks make new push on FRTB’s P&L test
Industry calls for series of changes as regulators prepare new consultation, says Nomura’s Epperlein
Don’t count on vol regime change – BlackRock quant
“This time next year volatility will most likely be low,” says Fishwick
Treasury official calls on Fed to review FBO rules
Senate bill aims to relax US Sifi threshold but offers no relief for foreign banks
Canada’s banks go it alone with FRTB data utility
Local lenders reject advances of major data utilities to build own solution
Month of higher vol spurs equity derivatives trading
Turmoil benefits total return futures, cross-asset arbitrage and dispersion
Deutsche adds senior quant to risk methodology team
Theis leaves role as head of market models at Standard Chartered to join German bank
Nikkei sell-off puts Japanese autocall dealers on alert
Risk recycling may backfire if index slump continues
Latvian bank collapse casts doubt on moratorium plan
Lobbyists say handling of ABLV shows flaws in EC’s pre-resolution stay concept
Podcast: Mercurio on Libor, fraud and writing models on a plane
Post-Libor environment and financial crime detection to drive future research, says top quant
Deutsche joins Goldman in change of FX terms
German bank offers to share price-move gains with clients
Senate bill will not hurt big bank oversight – Powell
Fed chair says raising of Sifi threshold will not affect application of enhanced standards