Opinion
Korea’s ‘worst-of’ times are here to stay
Chinese houses’ success in Korean autocalls could stymie hopes of diversifying the product mix
How to account for banks’ contribution to CO2 emissions
Price adjustments will depend on individual counterparties’ carbon footprints
Balanced trading is calming zero-day volatility fears
UBS finds little evidence that 0DTE options exacerbate volatility
Could intraday FX swaps help reduce settlement risk?
New swap platform hopes to ease funding pains, but can it promote more use of PvP?
Blaming open-end funds for liquidity shocks is closed thinking
Controversial proposals to overhaul how funds manage liquidity risk are based on a fallacy, writes Eric Pan
Talking Heads 2023: A turf war in credit markets
Banks are looking to reclaim territory they previously ceded to market-makers and private funds
Exploiting causal biases in market impact models
Model calibration gains efficiency by including biased but adjusted trading data
Op risk data: WhatsApp fines keep on coming
Also: ‘Five families’ stock-lending cartel pays up; double hit for Wells Fargo. Data by ORX News
The Fed’s stress-test models are inaccurate. Something has to change
First step for US regulator to improve its bank loss forecasts would be to open up its models to public scrutiny, argue two banking industry advocates
FX-style crypto platforms could bridge gap with TradFi
Emergence of execution-only ECNs, prime brokers and clearing houses brings new confidence in crypto
How operational risk managers won a battle and lost a war
Applying op risk capital to US regional banks is positive, but the SMA may not be fit for purpose
Skew this: taking the computational burden off basket options
Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant
Podcast: Artur Sepp on rates volatility and decentralised finance
Quant says high volatility requires pricing and risk management models to be revisited
Shhh, don’t tell: the struggle to keep skew under wraps
Liquidity recycling by clients has made it more difficult for banks to keep skews quiet
Op risk data: UBS lands $380m Archegos loss
Also: BofA billed for bilking customers; red faces over Deutsche greenwashing. Data by ORX News
Podcast: Julien Guyon on volatility modelling and World Cup draws
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
How a machine learning model closed a hidden FX arbitrage gap
MUFG Securities quant uses variational inference to control the mid volatility of options
The AOCI elephant in the DFAST room
After March’s banking crisis, Fed stress tests should adopt harsher and wider ranging rate scenarios
Op risk data: Aussie insurers caught out in chronic pricing misconduct
Also: JP Morgan settles Epstein lawsuit; US in crypto clampdown. Data by ORX News
China needs an RMB liquidity absorber – HK might be the answer
Increasing HKMA’s CNH debt issuance could help cement renminbi’s role in financial markets
Into the quantiverse: real-world pricing goes arbitrage-free
QRM quants claim to have bridged divide across ‘multiverse’ of fixed-income models
The chatbot and the quant: GPT shakes finance education
With smarter large language models, quant grads risk turning into AI-assisted slackers, writes Gordon Lee
Op risk data: Credit Suisse hit for $900m in offshore trust bust
Also: Goldman boys’ club gets the boot; HSBC double whammy; Havilland’s economic sabotage plan. Data by ORX News
A three-point turn in derivative design
Citibank quant’s triangle method allows information geometry to be applied to hedge structuring