Our take
A real-life stress test for CCP margin
Thanks to standardised reporting, we can track how clearing houses’ risk profiles have changed over time
Swaptions vol modelling tweak opens up pricing possibilities
Nomura quant proposes local volatility model that can directly calibrate to swaption smiles
No escape from climate change tail risks
Harsh decisions need to be made on the future of energy financing now, before we run out of time
Asian NDF fixings threat signals yet another deadline drama
Extraterritorial reach is not new to region, but EU Benchmarks Regulation poses real risks
How machine learning could aid interest rate modelling
Standard Chartered quant proposes machine-learning technique to better capture rate dynamics
Modelling correlation: from zig-zag to zig-zig
Research is starting to show the stock-bond link in a new light
Replacing too big to fail with too small to survive
Subordinated debt requirement will hit smaller banks hardest
Keeping the lights on
Power companies need to focus on resilient networks
Swaptions CCP basis arrival raises wider valuation questions
Halting rollout of new prices highlights potential weak points in valuing illiquid products
Rolet is right – for now
CME/Nex deal could change the established logic on how to deliver rates market savings
Putting swaptions pricing in the fast lane
Derivatives consultant proposes a model for arbitrage-free pricing
Europe struggles to get a grip on derivatives transparency
Mifid reporting has fallen short of US swaps data, but national regulators are partly to blame
Why Asia should hold fire on replicating EU holdco rules
China and Japan should wait for outcome of US regulatory review and Brexit before retaliating
From prophets to ‘parasites’
How post-trade vendors went from problem-solvers to ‘rent-seekers’
How not to control trading behaviour
Quants show popular risk measures fail to limit risk-seeking behaviour among traders
ECL regimes a volatile brew of risk and accounting
Fed asks banks to propose a solution to address CECL-CCAR mismatch
The renewable future
The shift to solar and wind is creating new challenges
Regulatory merger keeps China on course for deleveraging
Combination of banking and insurance regulators offers opportunity to co-ordinate debt reduction measures
A Brexit financial services deal and the 12 tasks of Hammond
UK call for turbo-charged equivalence with the EU faces big hurdles
Buyer beware: the FX code has not gone far enough
New standards for currency dealers have brought some big improvements, but many practices remain hazy
Multicurve modelling is about to get more complex
Research into rates pricing is becoming more urgent given recent regulatory changes
The top 10 op risks – a field guide
Survey should be read as industrywide attempt to relay and share worries anonymously
Bitcoin’s busy month
Bitcoin could give us a safer central clearing mechanism
Waiting for Giancarlo
CFTC no-action relief to be codified, but big changes on de minimis and position limits still distant