UBS
Japanese banks inching away from US CLO market
New rules prevent firms investing in CLOs where originator is not obliged to retain risk
Not random, and not a forest: black-box ML turns white
Bayesian analysis can replace forest with a single, powerful tree, writes UBS’s Giuseppe Nuti
Trading units of Swiss banks move in opposite directions
Over three years, Credit Suisse has cut RWAs allocated to trading 17%; UBS has increased them 46%
People moves: Barclays’ investment bank chief exits, Citi president to retire, Vos promoted at BNY Mellon, and more
Latest job changes across the industry
Nordic, UK banks have highest countercyclical buffers
Nordea, Lloyds and RBS had the largest add-ons of banks surveyed
LCR surges at UBS as HQLA billows higher
Ratio of liquid assets to stressed cash outflows hits 154%
Higher op risk charge follows UBS tax fraud verdict
Clash with French courts adds $2.8 billion to op RWAs
Dealers go quiet on Turkey research
Seven banks have not covered this week’s lira meltdown, following investigation of JP Morgan
UBS hires Finma banks chief amid risk reorg
Schoch move comes after bank carves op risk and compliance unit out of central risk function
Patchy response to Isda’s back office of the future
Some banks are quiet, while clearing houses seem split on uptake of Isda data standardisation project
Swiss banks pared securitisation exposures in 2018
Credit Suisse cuts holdings 24%; UBS 80%
A blueprint for alternative data in asset management
UBS Asset Management’s data chief describes how alternative data can aid the investment process
Energy Risk Commodity Rankings: the return of geopolitical risk
Geopolitical tensions introduced extreme volatility to many commodity markets in 2018, while environmental markets began to take off
Quants clash: machine learning or linear models?
Some studies say the algorithms beat the common models; other studies say the opposite
People moves: SocGen changes at the top, new global markets head at HSBC, compliance switch at Natixis, and more
Latest job changes across the industry
UBS wins approval for €32bn Brexit swaps transfer
Decision tests boundaries of deposit-taking element, after Barclays had part of its earlier transfer rejected
Caveats and slapped wrists in Barclays’ Brexit swaps switch
Judge blocks transfer of some trades from non-deposit taking entity and slams “unrealistic” timeline
Calling out autocallable pricing
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
Data mining, machine learning and problems with autocalls
The week on Risk.net, January 19–25, 2019
UBS warns of $6.5bn jump in credit RWAs in Q1
Credit and counterparty RWAs stood at $147.9 billion at end-2018, up $1.6 billion from the third quarter
Dabbling in data science won’t cut it
Banks are seeking data-led boost for research arms – only a few will succeed
Eurostoxx dislocations signal autocall hedging pain
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
Stock slump dents income, hikes VAR by 22% at UBS
Income from equity derivatives trading plummeted $47 million quarter-on-quarter
Banks bet on data to rescue research
Barclays, Morgan Stanley, UBS among those using data science to pep up their research offerings