Opinion
Commodities surge presents UMR test for Asia’s sell side
Increased interest in commodity exotics comes amid scrutiny of margin calculation models
Why fears about quantitative tightening are overblown
The benefits of collateral availability may outweigh the monetary liquidity withdrawn by central banks
Will last look disclosures come to FX derivatives?
JPM and NatWest have published their swaps and options last look windows – will others follow suit?
Mediobanca’s Generali deal revives an old sec lending concern
BoE warns against lending shares to borrowers aiming to influence AGM votes, but will anyone outside the UK listen?
A new way to calculate conditional expectations
Gaussian distributions can sharpen one of the most commonly used tools in quant finance
Op risk data: SEC says no to Charles Schwab robo-adviser
Also: China steps up scrutiny of wealth management products; Libor fines still rumble on. Data by ORX News
EU G-Sibs’ score win is political boost, but no panacea
Carve-out of intra-bloc exposures from BCBS score enshrines banking union, but produces little
Op risk data: Glencore hauled over the coals in $1bn+ bribery probe
Also: Russian banks in fraud fails; Citi’s fat-finger fumble; devil’s in the data detail. Data by ORX News
Nickel debacle weakens UK’s case on clearing supervision
LME episode comes amid scrutiny of UK regime and fresh Brexit row
Why machine learning quants need ‘golden’ datasets
An absence of shared datasets is holding back the development of ML models in finance
Reviving the lost art of perturbation for exotic pricing
Natixis quants find novel way to speed up volatility smile modelling
Why even the safest stablecoins could fail
Settlement delays, insolvency risks mean collateralised coins could falter
No soft landings in flight to safety from Russia
Impact of Ukraine invasion hit bank balance sheets hard; its effects look set to continue
How to stop stablecoins from hoarding precious collateral
Repo markets expert and crypto bank chief exec think Fed reserves are the right answer
Op risk data: Deutsche greenwashing fine a regulatory red flag
Also: Class claim costs CA tribe $500m; Essilor eyeballs JPM in fraud case; Bank of Italy con job. Data by ORX News
Pricing data is key to unlocking FX swaps e-trading
Digitec’s Stephan von Massenbach on why automation is needed for e-trading to reach its potential
Is Citi’s SA-CCR hit a sign of things to come?
Higher capital costs for dealing in uncollateralised FX swaps and forwards could impact banks and clients alike
Only regulators can clear up Credit Suisse’s Archegos mess
Shareholders were right to keep officers and directors on the hook until all the facts are known
How to model potential exposure, post-Archegos
BofA quant’s model considers the correlation between market shocks and counterparty defaults
Hedging inflation may never have been trickier
Effective hedging depends on what’s causing prices to rise
The $1 trillion shortfall if private equity bets turn sour
Investors have to keep sending money to private equity firms even if returns crumble, says hedge fund executive
Russian ruble trading steps back in time
Wild spread swings see offshore RUB market and electronic trading disappear
The murky world of transparency disclosures
Lack of data granularity on Russian exposures should prompt a rethink by regulators and banks alike
Initial margin: the final act
Practice makes perfect, the saying goes. When it comes to the final wave of implementation for uncleared margin rules, however, this may not hold true