Opinion
Machine learning, Asian margins and model risk
The week on Risk.net, November 10–16, 2018
How to stress-test portfolios for Brexit and trade wars
Options markets point to likely market moves in different scenarios, write StatPro risk specialists
Lobbing out the Clobs?
As more prop traders go bilateral, what does it say about – and mean for – market liquidity?
Credit data: rate hikes put borrowers on the rack
Default risk climbing for heavily indebted companies as US rate hikes continue, says David Carruthers
Swaps data: cleared vs non-cleared margin
Growing margin burden for non-cleared swaps means cleared margin is likely to grow further, argues Amir Khwaja
Machine learning, Libor and an inside view of Jump
The week on Risk.net, November 3–9, 2018
In EU stress tests, everyone’s a loser
European Union-wide stress tests deserve a 'Could do better'
Asian exotics desks need to slash risk
Time for structured products desks to curb their appetite for risk
How replication simplifies pricing of vol exotics
Barclays quants replicate knock-out corridor swaps using barrier options in bid to make pricing easier
Op risk data: conduct risk losses top $600 billion since 2010
Swift hack targets State Bank of Mauritius; Capital One, Mashreq, hit by AML fines. Data by ORX News
Humans struggle to keep pace with machine learning
Banks and regulators grapple with ‘XAI’ challenge
EU no-action, double capital and Nasdaq loss
The week on Risk.net, October 27–November 2, 2018
The aftershocks of Einar Aas
Energy could be particularly badly affected by the €114m default of Nasdaq power trader Einar Aas
Lesson from alt premia’s horrible year: be patient
Investment approach’s diversification benefits can’t be relied on in the short term
BlackRock, risk models and regulatory relief
The week on Risk.net, October 20–26, 2018
All the news that’s fit to print
While the benefits of the information revolution are clear, the risks it brings should not be underestimated, says Andrew Lo
Risk.net podcast: OCC’s Fennell on Nasdaq breach, crypto and ‘skin in the game’
Clearing house is “seriously considering” contributing to own default waterfall
Blockchain won’t help the UK to go P2P
Legal and practical problems mean blockchain is unlikely to change the UK’s grid, writes energy expert
Libor, Brexit and a renewed margin dispute
The week on Risk.net, October 13–19, 2018
Lessons from two commodity defaults
Regulators and exchanges need to learn from the Greenhat/PJM and Norwegian Nasdaq defaults
Brexit OTC mutation, chaperones and SA-CCR
The week on Risk.net, October 6–12, 2018