Opinion
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
Why the survival of internal models is vital for financial stability
Risk quants say stampede to standardised approaches heightens herding and systemic risks
Shaking things up: geopolitics and the euro credit risk measure
Gravitational model offers novel way of assessing national and regional risks in new world order
A market-making model for an options portfolio
Vladimir Lucic and Alex Tse fill a glaring gap in European-style derivatives modelling
How AI agents could become investing’s crash test dummies
Firms mull the use of chatbot simulations to test organisational set-ups
Start planning for post-quantum risks now
Next-gen quantum computers will require all financial firms to replace the cryptography that underpins cyber defences, writes fintech expert
Op risk data: Two Sigma pays the price for model mess
Also: KuCoin’s AML fail, Angola bribes bite Trafigura, and Trump’s green scepticism. Data by ORX News
Cool heads must guide financial regulation of climate risk
Supervisors can’t simply rely on ‘magical thinking’ of market discipline, says Sergio Scandizzo
Podcast: Alexandre Antonov turns down the noise in Markowitz
Adia quant explains how to apply hierarchical risk parity to a minimum-variance portfolio
How a serverless risk engine transformed a digital bank
Migrating to the cloud permitted scalability, faster model updates and a better team structure
Why did UK keep the pension fund clearing exemption?
Liquidity concerns, desire for higher returns and clearing capacity all possible reasons for going its own way
UBS’s Iabichino holds a mirror to bank funding risks
Framing funding management as an optimal control problem affords an alternative to proxy hedging
Op risk data: Mastercard schooled in £200m class action
Also: Mitsubishi copper crunch, TD tops 2024 op risk loss table. Data by ORX News
Transforming stress-testing with AI
Firms can update their stress-testing capability by harnessing automated scenario generation, says fintech advocate
Trump 2.0 bank supervision: simpler but no soft touch?
Republican FDIC vice-chair Travis Hill wants more focus on financial risk instead of process
Lots to fear, including fear itself
Binary scenarios for key investment risks in this year’s Top 10 are worrying buy-siders
Podcast: Alexei Kondratyev on quantum computing
Imperial College London professor updates expectations for future tech
BlackRock on how modern portfolio theory is misunderstood
Standard asset allocation is likely sub-optimal in a changing world, say strategists