New paper shows how creditworthiness and concentrations can be reflected into margin requirements
Climate, crypto and market impact also featured among the top research topics in 2023
Chinese houses’ success in Korean autocalls could stymie hopes of diversifying the product mix
New swap platform hopes to ease funding pains, but can it promote more use of PvP?
Banks are looking to reclaim territory they previously ceded to market-makers and private funds
Emergence of execution-only ECNs, prime brokers and clearing houses brings new confidence in crypto
Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant
Liquidity recycling by clients has made it more difficult for banks to keep skews quiet
MUFG Securities quant uses variational inference to control the mid volatility of options
After March’s banking crisis, Fed stress tests should adopt harsher and wider ranging rate scenarios
Increasing HKMA’s CNH debt issuance could help cement renminbi’s role in financial markets
QRM quants claim to have bridged divide across ‘multiverse’ of fixed-income models
Citibank quant’s triangle method allows information geometry to be applied to hedge structuring
Contagion episodes show importance of network effects in finance
The Fed chastised SVB for poor rate-risk monitoring, but most US banks’ disclosures remain focused on earnings alone
Trading has boomed despite recent criticism, but can the market regain its former strength?
HSBC quant makes case for looking at collateral and funding rates in concert
US banks are using held-to-maturity bonds to underpin liquidity adequacy, grating against accounting guidance. What happens if they’re forced to sell?
Ion Group is the latest ransomware victim to stay mum about how it was compromised. No-one benefits from this code of silence
Bank of America quants propose comprehensive framework for modelling rate derivatives
The hold of central banks over inflation may be weaker than we thought