Opinion
Sebi unravels Jane Street’s ‘sinister’ trades
US trading firm barred from Indian securities market after “disregarding” February warnings
US banks’ VAR shortfalls are wrapped in a black box
Public disclosures only allow crude approximations of loss size and timing
Podcast: Villani and Musaelian on a quantum boost for machine learning
Classical methods struggle with highly dimensional problems. Quantum cognition takes a different approach, as hedge fund duo explain
The VAR-centric models that never were
Often spotlighted, rarely dominant – VAR plays a surprisingly small role in most IMA stacks
Why AI-enhanced risk management is vital for open finance
In bank-fintech partnerships, AI can be both a source of operational risk and a solution to it
Op risk data: Rates bait and switch incurs Capital One punishment
Also: Crypto firms suffer cyber setbacks, Umpqua in Ponzi play, and QSuper premium palaver. Data by ORX News
A mix of Gaussian distributions can beat GenAI at its own game
Synthetic data is seen as the preserve of AI models. A new paper shows old methods still have legs
Bunds’ hedging role for euro swaps still in question
Dealers seek ultimate hedge for euro swaps amid EGB rush following Trump tariffs
Podcast: Fabrizio Anfuso on computing for Archegos-like event exposures
BoE quant discusses top-down counterparty risk framework using Gaussian distributions and copulae
Why EU banks have snubbed revised green finance metric
Banks steer clear of Banking Book Taxonomy Alignment Ratio in droves
Op risk data: BofA biffed for $540m over insurance fund swerve
Also: Suspected French Ponzi, Banco Itaú’s overcharging kerfuffle, and power outage in Iberia. Data by ORX News
Banks seek to advance predictive pricing models
AI and machine learning-based tools could give FX desks the power to forecast currency movements
Rising systemic risk demands a new risk management paradigm
Reinsurers need insurance-linked securities to share burden of climate-related catastrophic risk
Op risk data: Luna crypto chicanery shrinks Galaxy coffers
Also: Down under and dirty – motor finance scandal comes to Oz, and 2024 in review. Data by ORX News
Why AI will never predict financial markets
Laws that govern swings in asset prices are beyond statistical grasp of machine learning technology, argues academic Daniel Bloch
Getting a handle on model parameters
Mean reversion in rate parameters opens the door to dimensionality reduction
The case for believing in a Bessent put
Money market funds could prove critical in efforts to control 10-year yields
FRTB may bite harder for Europe’s CVA modellers
Farther reach of advanced approach and lighter load on total requirements mean limited takeaways from Canada and Japan’s implementation
Japan, Basel III and the pitfalls of being on time
Capital floor phase-in delay may be least-worst option for JFSA as US and Europe waver
Podcast: adventures in autoencoding
Trio of senior quants explain how autoencoders can reduce dimensionality in yield curves
FX traders revel in March Madness
Chaotic Trump policies finally bring diversity to flows – to the delight of market-makers
Op risk data: Crypto hack bites Bybit; fat-finger flurry at Citi
Also: OKX gets AML scold, UK motor finance fiasco revs up. Data by ORX News
Podcast: Lyudmil Zyapkov on the relativity of volatility
BofA quant’s new volatility model combines gamma processes and fractional Brownian motion
Market knee-jerks keep VAR models on their toes
With a return to volatility, increased backtesting exceptions show banks’ algos are stretched