Our take
November 9: the day the Brexodus started?
The UK Treasury’s equivalence verdict is a positive gesture, but could backfire if not reciprocated
Warrants proving a big opportunity for Asia private banks
While the products are booming amid fall-off in principal-protected structures, some distributors are missing out
Breaking barriers in options pricing
A new technique for pricing exotic options unifies two classic models
SME risks take centre stage at European banks
Lenders could suffer if government support for small business starts to wane
Why the US election fallout was not a surprise to banks
A contested result was unexpected, but scenario planning meant banks weren’t unprepared
Basis trades: a test case for regulating risky activities
FSOC is right to focus on dangerous behaviour, but Treasury meltdown reveals a complex chain of actors
One man’s trash is another man’s Treasury
With yields at record lows, investors are asking how much protection bonds will offer in a future crisis
Time to rethink Korean structured products
New battle lines are being drawn in Korea’s structured products market
Pandemic exposes design flaws in bank capital buffers
The banking system’s shock-absorbers did not work as intended during the Covid-19 crisis
‘Big bang’ sends basis swaps on roller-coaster ride
Secrecy at CME is contributing to volatility ahead of next week’s switch to SOFR discounting
Danske quants discover speedier way to crunch XVAs
Differential machine learning produces results “thousands of times faster and with similar accuracy”
Corporate bond markets need more transparency – not less
Regulators should do more to promote pre- and post-trade transparency in corporate bonds
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