Our take
Growth to value, and back via quality
Inflation-fuelled stock rotations are full of complexity
Should you hedge or should you wait?
New paper introduces quantitative framework for optimal FX hedging
Net-zero pledges bring big unknown for credit risk
Uncertainty on how governments plan to curb emissions adds political dimension to credit quality assessments
Time to shine: corporate FX’s surprise glow-up
Corporate FX enjoys its time in the sun as currency headwinds spark corporate hedging needs
Can the EC reach consensus in clearing countdown?
Brussels faces a cold, hard deadline to build clearing regulation accord in Europe
The ghost of Archegos returns to haunt Simm
UK regulator’s attack on Simm may have more to do with the failed family office than meets the eye
Getting the jump on pricing dividend-protected derivatives
Morgan Stanley quants show how to avoid mispricing corporate options and convertible bonds
Regulators should be careful what they wish for on FRTB
New framework likely to reduce use of internal models, as planned; but is that a good thing?
Commodities surge presents UMR test for Asia’s sell side
Increased interest in commodity exotics comes amid scrutiny of margin calculation models
Will last look disclosures come to FX derivatives?
JPM and NatWest have published their swaps and options last look windows – will others follow suit?
Mediobanca’s Generali deal revives an old sec lending concern
BoE warns against lending shares to borrowers aiming to influence AGM votes, but will anyone outside the UK listen?
A new way to calculate conditional expectations
Gaussian distributions can sharpen one of the most commonly used tools in quant finance
EU G-Sibs’ score win is political boost, but no panacea
Carve-out of intra-bloc exposures from BCBS score enshrines banking union, but produces little
Nickel debacle weakens UK’s case on clearing supervision
LME episode comes amid scrutiny of UK regime and fresh Brexit row
Why machine learning quants need ‘golden’ datasets
An absence of shared datasets is holding back the development of ML models in finance
Reviving the lost art of perturbation for exotic pricing
Natixis quants find novel way to speed up volatility smile modelling
Why even the safest stablecoins could fail
Settlement delays, insolvency risks mean collateralised coins could falter
No soft landings in flight to safety from Russia
Impact of Ukraine invasion hit bank balance sheets hard; its effects look set to continue
Is Citi’s SA-CCR hit a sign of things to come?
Higher capital costs for dealing in uncollateralised FX swaps and forwards could impact banks and clients alike
Only regulators can clear up Credit Suisse’s Archegos mess
Shareholders were right to keep officers and directors on the hook until all the facts are known
How to model potential exposure, post-Archegos
BofA quant’s model considers the correlation between market shocks and counterparty defaults
Hedging inflation may never have been trickier
Effective hedging depends on what’s causing prices to rise
Russian ruble trading steps back in time
Wild spread swings see offshore RUB market and electronic trading disappear
The murky world of transparency disclosures
Lack of data granularity on Russian exposures should prompt a rethink by regulators and banks alike