JP Morgan
The machines are coming for your pricing models
Deep learning is opening up new frontiers in financial engineering and risk management
Deep hedging and the end of the Black-Scholes era
Quants are embracing the idea of ‘model free’ pricing and hedging
Banks queasy over idea of building cyber trust
They agree that sharing intel on cyber threats is a good thing. But that doesn’t mean they want to
Forex ‘last look’: how non-banks stack up
Research shows patchy disclosures, plus differences from banks on pre-hedging and rejected orders
JP Morgan first to issue SOFR-linked preferred stock
BofA, Goldman Sachs and others are also preparing for Libor’s end
Global banks grapple with China joint ventures
Offshore lenders weigh raising stakes in local securities houses despite tight margins
‘Living wills’ show some G-Sibs will be simpler to resolve
Four big banks reported fewer wind-up entities in 2019 resolution plans compared with 2017
Post-CCAR share buybacks up 30% for US G-Sibs
Dividend up 18% on average following latest stress test cycle
State Street falls behind in the custody assets race
The gap between BNY Mellon and State Street rose to $2.8 trillion at end-June
FICC dominates US Treasury repo in Q2
Clearing house’s sponsored programme claimed $449.7 billion of US Treasury-backed trades
JP Morgan equity VAR surges 56%
Total trading VAR stood at $44 million for Q2
UBS exec: first trades via USC could take place this year
Risk Live: utility settlement coin project backed by group of banks moving “incredibly fast”
JP Morgan warming to derivatives-based term RFR rates
Risk Live: Unlike Libor, the market has a say in them. (Though they may not be real term rates, executive muses)
DFAST: JP Morgan accounts for one-fifth of projected losses
Bulk of losses would come from bank’s loan portfolio, projected to incur total losses of $60.3bn
JP Morgan’s Hudson: innovation stuck in trading web
Risk Live: Digital head floats shared platform, rather than “point solutions”
US parries EU jab on CCP oversight
CFTC’s Pan questions Esma’s “very complex” test; EC’s Pearson calls it “more intelligent” than US’s
CCAR: JP Morgan, Capital One adjust planned capital actions
Two banks see stressed capital ratios fall below regulatory minimums at first attempt
ABA scenario analysis project could aid CCAR comparability
Scheme to agree on common risk drivers could help Fed benchmark risk exposures, says JP op risk expert
Asia moves: New CEOs at Credit Suisse and ANZ, Invesco gets new MD, and more
Latest job changes across the industry
Non-systemic US banks shy away from short-term funding
Mid-sized non-G-Sibs have average STWF score of just 17.1%
RWA density at JP Morgan drops to six-year low
Bank’s asset portfolio has become less risk-heavy under standardised approach since 2013
Goldman Sachs leads US firms on non-bank assets
Non-bank assets of G-Sibs equivalent to 32% of total consolidated assets
US mid-sized banks pile into intra-financial system assets
Non-G-Sibs over $100 billion in size hold 85% more of other banks’ assets than in 2014