Our take
Trump’s FX impact: a tale of two terms
Traders say Trump version 2.0 is already proving a much trickier task to manage than the original, and have had to adapt
Turn of the skew: FX options dealers balance fragile market
Calls-versus-puts demand flips wildly in response to geopolitical events
Libor appeals leave future misconduct cases Hayes-y
UK authorities must develop a more effective framework for punishing bad bankers
Was a big US bank close to collapse in 2023?
PNC’s Bill Demchak says it was. And the data suggests he was talking about BofA
Lessons from chaos theory on Trump tariff bottlenecks
Forecasting the ripple effects of trade policies presents a special challenge
Sebi unravels Jane Street’s ‘sinister’ trades
US trading firm barred from Indian securities market after “disregarding” February warnings
US banks’ VAR shortfalls are wrapped in a black box
Public disclosures only allow crude approximations of loss size and timing
The VAR-centric models that never were
Often spotlighted, rarely dominant – VAR plays a surprisingly small role in most IMA stacks
A mix of Gaussian distributions can beat GenAI at its own game
Synthetic data is seen as the preserve of AI models. A new paper shows old methods still have legs
Bunds’ hedging role for euro swaps still in question
Dealers seek ultimate hedge for euro swaps amid EGB rush following Trump tariffs
Why EU banks have snubbed revised green finance metric
Banks steer clear of Banking Book Taxonomy Alignment Ratio in droves
Banks seek to advance predictive pricing models
AI and machine learning-based tools could give FX desks the power to forecast currency movements
Getting a handle on model parameters
Mean reversion in rate parameters opens the door to dimensionality reduction
The case for believing in a Bessent put
Money market funds could prove critical in efforts to control 10-year yields
FRTB may bite harder for Europe’s CVA modellers
Farther reach of advanced approach and lighter load on total requirements mean limited takeaways from Canada and Japan’s implementation
Japan, Basel III and the pitfalls of being on time
Capital floor phase-in delay may be least-worst option for JFSA as US and Europe waver
FX traders revel in March Madness
Chaotic Trump policies finally bring diversity to flows – to the delight of market-makers
Market knee-jerks keep VAR models on their toes
With a return to volatility, increased backtesting exceptions show banks’ algos are stretched
A market-making model for an options portfolio
Vladimir Lucic and Alex Tse fill a glaring gap in European-style derivatives modelling
How AI agents could become investing’s crash test dummies
Firms mull the use of chatbot simulations to test organisational set-ups
Degree of influence 2024: volatility and credit risk keep quants alert
Quantum-based models and machine learning also contributed to Cutting Edge’s output
Why did UK keep the pension fund clearing exemption?
Liquidity concerns, desire for higher returns and clearing capacity all possible reasons for going its own way
UBS’s Iabichino holds a mirror to bank funding risks
Framing funding management as an optimal control problem affords an alternative to proxy hedging
Trump 2.0 bank supervision: simpler but no soft touch?
Republican FDIC vice-chair Travis Hill wants more focus on financial risk instead of process