Our take
Can ESG trading and best execution coexist?
Not everyone thinks making a statement on ESG would work against client interests
Direction of travel on last look becomes clear
Hold time holdouts likely to fall into line in face of increased regulatory scrutiny
NSCC’s year of living dangerously
The CCP’s models are falling short time and time again, and the consequences could be disastrous
Libor battles aren’t over, but the war is won
Transition will shift into new phase next year, leaving systemic threats behind
China regulation: the path clears slowly
Co-ordination among Chinese regulators has improved, but new data law shows continued tensions
Systemic banks: black boxes on green issues
Less talk and more action needed around climate disclosures linked to carbon emissions
Follow the moneyness
Barclays quants extend Bergomi’s skew stickiness ratio to all strikes
Degree of influence 2021: XVA marks the spot
Research into valuation adjustments is back on quants’ to-do list
EU’s Basel III delay invites all to play for time
The message not to dilute reforms got lost on the way from Frankfurt to Brussels
Blame to spare in UK energy supplier debacle
Price cap was part of the problem, but lack of hedging and oversight also contributed
Estimating loan loss provisions may have just got easier
Commerzbank quant proposes shortcut to calculate lifetime loan loss reserves
Bond hedging: China must be bolder
Opening access to bond futures market for foreigners could give big boost to China govvies market
An ‘optimal’ way to calculate future P&L distributions?
Quants use neural networks to upgrade classic options pricing model
Citi reorg the final note in failed swaps clearing model
Strategic shift from OTC clearing powerhouse to client support function marks the end of an era
Climate risk: the writing is on the wall
For the EU financial sector, climate risk is inescapable, but it could be tamed
Overhyped green status is no longer a risk-free sales tool
Asset managers’ ESG claims will now be more closely scrutinised following DWS allegations
OTC derivatives clearing: no turning back
Clearing advocates have plenty of reasons to feel optimistic about the future
Algo sniffers make a tough business tougher
FX spot is already a hard game for many LPs and the rise of skew sniping only makes things harder
Machines can read, but do they understand?
A novel NLP application built on a Google transformer model can help predict ratings transitions
Could prime of primes go pop?
The PoP market is booming, but some tier one banks are wary
The unintended consequences of ring-fencing
Rules aimed at protecting UK depositors may be putting too much froth into the credit market
It’s time to call time on leisurely disclosures by CCPs
When clearing houses falter, markets should not be kept in the dark for months on end
Derivatives pricing starts feeling the heat of climate change
Quants find physical and transition risks can lead to significant rise in CVA
G-Sib regime: something’s broken
US banks are taking the Fed for a ride – it’s time to address the issue