Opinion
Follow the moneyness
Barclays quants extend Bergomi’s skew stickiness ratio to all strikes
EU’s Basel III delay invites all to play for time
The message not to dilute reforms got lost on the way from Frankfurt to Brussels
Op risk data: Deep woe as deep voice clone cons UAE bank
Also: ING mirrors ABN client loan loss; CS lands huge fine for tuna bonds. Data by ORX News
Blame to spare in UK energy supplier debacle
Price cap was part of the problem, but lack of hedging and oversight also contributed
Estimating loan loss provisions may have just got easier
Commerzbank quant proposes shortcut to calculate lifetime loan loss reserves
After FTSE inclusion, China bonds still face CNY hedge hurdles
Lack of pricing competition and costly hedges top buy-side hurdles to investing in China, says ChinaFICC CEO
Stable mates: the interoperability of cryptocurrencies
Why central bank reserves could be a better option for backing stablecoins than Treasuries
Bond hedging: China must be bolder
Opening access to bond futures market for foreigners could give big boost to China govvies market
Op risk data: Crypto exchange BitConnect hit with $2bn lawsuit
Also: Legacy €1bn tax liability levied on WestLB ‘bad bank’; ABN and Wells Fargo compensate clients. Data by ORX News
An ‘optimal’ way to calculate future P&L distributions?
Quants use neural networks to upgrade classic options pricing model
Citi reorg the final note in failed swaps clearing model
Strategic shift from OTC clearing powerhouse to client support function marks the end of an era
Climate risk: the writing is on the wall
For the EU financial sector, climate risk is inescapable, but it could be tamed
Overhyped green status is no longer a risk-free sales tool
Asset managers’ ESG claims will now be more closely scrutinised following DWS allegations
OTC derivatives clearing: no turning back
Clearing advocates have plenty of reasons to feel optimistic about the future
Algo sniffers make a tough business tougher
FX spot is already a hard game for many LPs and the rise of skew sniping only makes things harder
Op risk data: DeFi-ant crypto hacker steals $610m
Also: Amundi fined for index manipulation; Wells pays out over client fraud. Data by ORX News
Machines can read, but do they understand?
A novel NLP application built on a Google transformer model can help predict ratings transitions
A defence against the next convexity crunch
Crédit Agricole rates traders describe a new way of hedging the risk of bond convexity
A new metric for liquidity add-ons: easy as ADV, but better
Proposed measure allows brokers to calculate stable, stock-specific liquidity add-ons
Could prime of primes go pop?
The PoP market is booming, but some tier one banks are wary
The unintended consequences of ring-fencing
Rules aimed at protecting UK depositors may be putting too much froth into the credit market
Op risk data: Westpac and Sumitomo among four banks hit by $359m fraud
Also: Misinformation in Lloyds Bank insurance renewals; AML fail at Amex France. Data by ORX News
It’s time to call time on leisurely disclosures by CCPs
When clearing houses falter, markets should not be kept in the dark for months on end
Building forward-looking scenarios: why you’re doing it wrong
Rick Bookstaber and colleagues describe a process for constructing effective scenarios