Our take
Climate change spells death of certainty
Global warming threatens to upend everything risk models take for granted
Quants bring ‘triptych’ of variables to risk measurement
Risk and portfolio managers at La Francaise and LFIS are squeezing more information out of stress tests
Swiss banks ask, how about a magic trick?
Banks pull off an accounting trick – with the help of their regulator
Plumbing problems in the repo market
On September 17, three banks may have sucked up nearly a quarter of money market fund cash
How slower growth in China could threaten financial reforms
Low GDP could mean reforms are forgotten
Stress-testing: still worth the stress?
There may be more efficient ways to assess if banks are misjudging their risks
UK swaps carrot for stick in Libor switch
BoE committee mulls policy action, which could include capital hikes on Libor exposures
Futures rise to the occasion as SOFR surges
It's SOFR's time to shine
US clearing houses need not take collateral damage from Brexit
There are signs the US and EU will pull back from the brink in dispute over CCPs
In stress-test window-dressing, timing is everything
EBA and Fed stress tests would have to be in perfect sync to stamp out transatlantic arbitrage
Game theory plays well for capital management
Barclays quants use Shapley method to optimise capital allocation
We’ve been here before: LEIs take two
LEIs are catching on in Asia
When regulators become nationalists
EU’s new treatment of bank software assets is partly a response to global competitive pressures
Time for a (proper) G-Sib speeding ticket
Fed’s systemic risk assessment has become box-ticking exercise, and US banks are getting away with it
Span 2: a fine balance
Switching margin model means walking a tightrope of competing interests amid regulatory scrutiny
Backtesting expected shortfall: mission accomplished?
A rigorous backtest for ES cannot exist, but a good approximation might do the job
Why Asia is so desperate for a term SOFR
With US dollar Libor embedded in local benchmarks, users need a similar replacement
Trading venues could help enforce the forex code
ECNs have the power to boost last look disclosures, but aren’t keen to be the code police
The machines are coming for your pricing models
Deep learning is opening up new frontiers in financial engineering and risk management
Fishing for collateral with neural nets
SocGen quant uses deep learning technique to optimise collateral substitution
Fixing the roof while the sun – wait, is that rain?
The Fed is split on whether to apply a countercyclical buffer. But so is everyone else
The BoE leverage ratio: welcome relief or regulatory arbitrage?
UK banks are reaping higher capital savings through the BoE's leverage measure
Can robots learn to manage risk?
Will machine learning transform risk management or give birth to a new breed of model risk? Probably both
No forward-looking rates? No problem
A commonly used quant model could be the answer to the replacement of forward-looking Libor