Our take
EU’s Basel III delay invites all to play for time
The message not to dilute reforms got lost on the way from Frankfurt to Brussels
Blame to spare in UK energy supplier debacle
Price cap was part of the problem, but lack of hedging and oversight also contributed
Estimating loan loss provisions may have just got easier
Commerzbank quant proposes shortcut to calculate lifetime loan loss reserves
Bond hedging: China must be bolder
Opening access to bond futures market for foreigners could give big boost to China govvies market
An ‘optimal’ way to calculate future P&L distributions?
Quants use neural networks to upgrade classic options pricing model
Citi reorg the final note in failed swaps clearing model
Strategic shift from OTC clearing powerhouse to client support function marks the end of an era
Climate risk: the writing is on the wall
For the EU financial sector, climate risk is inescapable, but it could be tamed
Overhyped green status is no longer a risk-free sales tool
Asset managers’ ESG claims will now be more closely scrutinised following DWS allegations
OTC derivatives clearing: no turning back
Clearing advocates have plenty of reasons to feel optimistic about the future
Algo sniffers make a tough business tougher
FX spot is already a hard game for many LPs and the rise of skew sniping only makes things harder
Machines can read, but do they understand?
A novel NLP application built on a Google transformer model can help predict ratings transitions
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
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
Derivatives pricing starts feeling the heat of climate change
Quants find physical and transition risks can lead to significant rise in CVA
G-Sib regime: something’s broken
US banks are taking the Fed for a ride – it’s time to address the issue
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
Fake data can help backtesters, up to a point
Synthetic data made with machine learning will struggle to capture the caprice of financial markets