Our take
Time to move on from mean-variance diversification
A new diversification measure appears to produce better results than mean-variance optimisation
XVA traders have no time to rest on laurels
Markets have calmed, but they may not be out of the woods yet
FRTB – Getting the fundamentals in place
Step inside an alternate reality, where FRTB was in force during the Covid crash
Rising Level 3 assets threaten bank profits
Dealers are relying on in-house models to value large amounts of complex structured products
Spotting co-movement breakdowns with neural networks
Autoencoders can detect changes in relationship between assets in real time
Why Asia needs to talk about SOFR
Focus on local benchmark reform is “distracting” Asia’s preparations for the end of USD Libor
FX swaps clearing redux
SA-CCR could unleash the potential of clearing, and may ignite some big changes
Clearing banks show they’ve learned lessons of the past
CCP members were able to meet massive margin calls in March. But could they do it again?
Applying the scientific method to investing
The new field of experimental finance goes beyond backtesting
Mind the tax when hedging TRS
New model gauges whether deals are still profitable, after taxes
Time for the standardised approaches to shine
Banks are playing a canny game of capital optimisation by toggling between internal models and regulator-set approaches
Malaysia has triumphed in FX reforms – but what comes next?
Relinquishing currency controls will be a much harder task
Don’t let a good crisis go to waste
As supervisory stress tests take a backseat, banks look for new ways to gauge extreme risks
A positive response to negative oil prices
Overhauling pricing models could reap rewards even if prices don’t cross zero again
A tale of two (or three, or four) models
Performance measure based on quality of replicating portfolios outperforms ‘P&L explain’, new paper claims
Margin scuffle at Eurex blurs lines between risk and returns
Disagreement over liquidity risk add-ons may owe more to self-interest than risk management
Blurred lines in bank capital standards
Boundaries between capital buffers and capital requirements are looking worryingly unclear
Solving the enigma of the volatility smiles
Has the problem of jointly calibrating the volatility smiles of the Vix and S&P 500 been solved?
China commodities regulation: time to end the turf war
Mishmash of regulations still govern China’s financial industry
Faith in the machine
The coronavirus crisis could be a defining moment for machine learning in finance
Three adjustments in calibrating models with neural networks
New research addresses fundamental issues with ANN approximation of pricing models
The open data revolution in banking falls short
Lax Pillar 3 rules are leading to inconsistent data being collected
Outsmarting counterparty risk with smart contracts
A digital transaction system developed by quants at DZ Bank could slash margin costs for derivatives
Why bankers should embrace the Brexit political theatre
Treating equivalence as purely technical might not have the outcome that financial firms want