Opinion
A European watchdog with more bark than bite
The European Central Bank’s soft approach could be storing up trouble for the future
My kingdom for the right copula
Copulas can still deliver if chosen with due attention to intuition and data, says quant fund chair
March’s clearing failures give new life to an old idea
Futures industry snubbed chance to build post-trade utility before. Now, it really needs one
Putting the H in XVAs
Barclays quant proposes methodology for factoring hedging costs into derivatives valuations
Op risk data: Chronic corruption charges cost Deutsche dear
Also: Wells Fargo fee fight; Nasdaq queers Emir reg; Covid keeps AML fines in line. Data by ORX News
If stablecoins are money, they should be backed by reserves
The growth of stablecoins could reduce the supply of safe collateral available to markets
Repair the leverage ratio, revive the repo market
Domestic currency government bonds and repo should be exempted, suggests former supervisor
Union beckons for the three quant tribes
Studies may be deferred, but future for grads is bright, argues UBS’s Gordon Lee
Why US dollar Libor spreads may be mispriced
Fallback spreads for all currencies could be fixed together, even if some benchmarks survive past 2021
Fed stress tests find critics on all sides
Conflicting results fuel arguments over dividends and buybacks
Setting boundaries for neural networks
Quants unveil new technique for controlling extrapolation by neural networks
Op risk data: In fewer reg fines, US took its lumps in 2020
Also: Retro Russian embezzlement fines; Barclays slapped for lack of forbearance. Data by ORX News
Random matrix theory provides a clue to correlation dynamics
A growing field of mathematical research could help us understand correlation fluctuations, says quant expert
25 years of Asia Risk
As the region continues to undergo major changes, we look to what the future may hold
Can CCPs zone in on improved margin buffers?
Dynamically adjusting margin add-ons could reduce cyclical funding demands
Risk committees: designing a horse and getting a camel?
When we examine what’s required of them, do risk committees hold water, asks ex-SEC risk oversight chief
Bank capital, margining and the return of FX
The week on Risk.net, December 12–18
Hedge fund losses, CLS and a capital floor
The week on Risk.net, December 5–11
Fallback dodgers walking a difficult path
Firms avoiding signing the Isda protocol will face challenges, say industry figures
Op risk data: Brazil’s Líder unredeemed
Also: CEO clawbacks; Barclays timeshare trials; Fifa bankers’ foul play. Data by ORX News
EU banks and state-backed loans: bad news with a long fuse
EU banks face a time bomb as public guarantee schemes expire next year
Never mind the buffers: Covid reveals deeper flaws in Basel III
Tweaking discretionary capital buffers won’t address all the prudential issues raised in 2020
Direct clearing could solve CCP concentration risk
Allowing more clients to self-clear can reduce CCPs’ reliance on a few firms, says ex-Chicago Fed adviser
Capital buffers, contingent hedges and USD Libor
The week on Risk.net, November 28–December 4