Opinion
Op risk data: DeFi-ant crypto hacker steals $610m
Also: Amundi fined for index manipulation; Wells pays out over client fraud. Data by ORX News
Machines can read, but do they understand?
A novel NLP application built on a Google transformer model can help predict ratings transitions
A defence against the next convexity crunch
Crédit Agricole rates traders describe a new way of hedging the risk of bond convexity
A new metric for liquidity add-ons: easy as ADV, but better
Proposed measure allows brokers to calculate stable, stock-specific liquidity add-ons
Could prime of primes go pop?
The PoP market is booming, but some tier one banks are wary
The unintended consequences of ring-fencing
Rules aimed at protecting UK depositors may be putting too much froth into the credit market
Op risk data: Westpac and Sumitomo among four banks hit by $359m fraud
Also: Misinformation in Lloyds Bank insurance renewals; AML fail at Amex France. Data by ORX News
It’s time to call time on leisurely disclosures by CCPs
When clearing houses falter, markets should not be kept in the dark for months on end
Building forward-looking scenarios: why you’re doing it wrong
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
Derivatives pricing starts feeling the heat of climate change
Quants find physical and transition risks can lead to significant rise in CVA
‘It’s the economy’: forecasting an op risk climate change spike
History of op risk suggests economic impacts of climate change could exacerbate losses, writes op risk head
Libor is ending, and corporates need to know their options
Banks must speak to Main Street now if US Libor transition is to succeed, argue ARRC working group leaders
G-Sib regime: something’s broken
US banks are taking the Fed for a ride – it’s time to address the issue
Op risk data: Robinhood to pay $70m for meme stock failings
Also: Deutsche Bank’s wine corked after €10m FX swaps settlement. Data by ORX News
The case for reinforcement learning in quant finance
The technology behind Google’s AlphaGo has been strangely overlooked by quants
Confusion reigns as US prepares for Libor’s end
Mixed messages from US regulators make it more difficult to plan for life after Libor
How XVA quants learned to trust the machine
Initial scepticism about using neural networks for derivatives pricing is giving way to enthusiasm
The limits of a softly-softly approach on climate in China
Asset managers must put pressure on the companies they invest in
Time for BoE to rethink the leverage ratio
The disparity of treatment keeps UK banks on an unlevel playing field
Synthetic data enters its Cubist phase
Quants are using the theory of rough paths to distil the essence of financial datasets
Who’s afraid of the RPI-CPIH judicial review?
RPI trading booming as market ignores legal challenge to the transition
Hedge funds and the rebound in collateral velocity
Reuse rate of collateral points to growing fragility and interconnectedness in financial markets
Op risk data: UBS, Nomura, UniCredit hit with $450m cartel fine
Also: State Street collared for expense overcharging; S&P’s Vix mix-up. Data by ORX News
Clock auctions: a stitch in time for Libor?
MIT professor says Nobel-inspired mechanism could cut basis risk and ease $74trn Libor shift